Asset allocation under threshold autoregressive models

DOI10.1002/ASMB.897MaRDI QIDQ5414497zbMATH OpenOpenAlexFDO

Authors Na Song, Tak Kuen Siu, Wa-Ki Ching, Howell Tong, Hailiang Yang

Publication date 6 May 2014

Published in Applied Stochastic Models in Business and Industry (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1002/asmb.897

zbMATH Keywords

asset allocationnonlinearitystochastic dynamical systemdynamical programmingconditional heteroscedasticitySETAR modelSTAR model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Dynamic programming (90C39) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3742453 (Why is no real title available?)
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A note on time-reversibility of multivariate linear processes
• Admissible investment strategies in continuous trading
• Asset allocation under multivariate regime switching
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Chaos: A statistical perspective
• Generalized autoregressive conditional heteroscedasticity
• Investing for Retirement
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• ON ESTIMATING THRESHOLDS IN AUTOREGRESSIVE MODELS
• On Tests for Self-Exciting Threshold Autoregressive-Type Non-Linearity in Partially Observed Time Series
• On a Mixture Autoregressive Model
• Optimum consumption and portfolio rules in a continuous-time model
• Optimum portfolio diversification in a general continuous-time model
• Ruin problems and myopic portfolio optimization in continuous trading
• Threshold models in non-linear time series analysis

Cited in

(3)

• Bayesian modeling and forecasting of value-at-risk via threshold realized volatility
• Optimal investment-consumption-insurance strategy in a continuous-time self-exciting threshold model
• A self-exciting threshold jump-diffusion model for option valuation

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