Dynamic asset allocation with asset-specific regime forecasts

DOI10.1007/S10479-024-06266-0MaRDI QIDQ7008523zbMATH OpenFDO

Authors Yizhan Shu, Chenyu Yu, John M. Mulvey

Publication date 21 March 2025

Published in Annals of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/S10479-024-06266-0

zbMATH Keywords

asset allocationfinancial market regimesMarkowitzmean-varianceportfolio optimizationregime forecastingregime identificationstatistical jump models

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A new polynomial-time algorithm for linear programming
• A Regime-Switching Model of Long-Term Stock Returns
• Dynamic allocations for currency futures under switching regimes signals
• Dynamic asset allocation for varied financial markets under regime switching framework
• Fitting jump models
• scientific article; zbMATH DE number 729680 (Why is no real title available?)
• Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks
• Regime switching model estimation: spectral clustering hidden Markov model
• Short rate nonlinearities and regime switches.
• The challenges of clustering high dimensional data
• The Simplex Method for Quadratic Programming

Cited in

(1)

• Generative-discriminative machine learning models for high-frequency financial regime classification

This page was built for publication: Dynamic asset allocation with asset-specific regime forecasts

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7008523)