Dynamic investment strategy with factor models under regime switches

DOI10.1007/S10690-015-9200-8MaRDI QIDQ2013300zbMATH OpenOpenAlexFDO

Authors Takahiro Komatsu, Naoki Makimoto

Publication date 17 August 2017

Published in Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10690-015-9200-8

zbMATH Keywords

optimal portfolioBellman's equationregime switchmulti-factor model

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84) Portfolio theory (91G10)

Recommendations

• Dynamic asset allocation for varied financial markets under regime switching framework
• Asset allocation using flexible dynamic correlation models with regime switching
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• Multi-factor dynamic investment under uncertainty
• Dynamic optimal capital structure with regime switching
• Asset allocation under multivariate regime switching
• Strategic asset allocation with switching dependence
• INVESTMENT TIMING UNDER REGIME SWITCHING
• Portfolio selection with jumps under regime switching
• Dynamic portfolio optimization under multi-factor model in stochastic markets

Cites work

• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• scientific article; zbMATH DE number 967931 (Why is no real title available?)
• A smoothness priors time-varying AR coefficient modeling of nonstationary covariance time series
• Finite mixture and Markov switching models.
• Stationarity of multivariate Markov-switching ARMA models
• Statistical Inference for Probabilistic Functions of Finite State Markov Chains
• Statistical analysis of finite mixture distributions

Cited in

(5)

• Investing in the size factor
• Dynamic portfolio optimization under regime-based firm strength
• Dynamic investment strategies with demand-side and cost-side risks
• Time series prediction with LSTM networks and its application to equity investment
• Regime-switching recurrent reinforcement learning for investment decision making

This page was built for publication: Dynamic investment strategy with factor models under regime switches

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2013300)