Portfolio selection in a two-regime world

DOI10.1016/J.EJOR.2014.10.012MaRDI QIDQ2630104zbMATH OpenOpenAlexFDO

Authors Moshe Levy, Guy Kaplanski

Publication date 25 July 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.10.012

zbMATH Keywords

mean-varianceportfolio optimizationregimesstochastic dominance

Mathematics Subject Classification ID

Analysis of variance and covariance (ANOVA) (62J10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10) Statistical methods; risk measures (91G70)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• A regime switching long memory model for electricity prices
• Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
• Autoregressive conditional heteroskedasticity and changes in regime
• Dynamic asset allocation for varied financial markets under regime switching framework
• Forecasting Stock Market Volatility with Regime-Switching GARCH Models
• Is regime switching in stock returns important in portfolio decisions?
• Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
• Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
• Mean-variance approximations to expected utility
• On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
• Portfolio optimization in a regime-switching market with derivatives
• Portfolio optimization when asset returns have the Gaussian mixture distribution
• Portfolio selection in the enlarged Markovian regime-switching market
• Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
• Regime switching for dynamic correlations
• Regime switching in foreign exchange rates: Evidence from currency option prices
• Short rate nonlinearities and regime switches.
• Stochastic Dominance
• Sufficient conditions under which SSD- and MR-efficient sets are identical
• The Efficiency Analysis of Choices Involving Risk

Cited in

(12)

• Optimal investment of variance-swaps in jump-diffusion market with regime-switching
• Volatility forecasting via SVR-GARCH with mixture of Gaussian kernels
• Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
• Optimal consumption and investment strategies with liquidity risk and lifetime uncertainty for Markov regime-switching jump diffusion models
• A two-asset stochastic model for long-term portfolio selection
• A two-period portfolio selection model for Asset-Backed Securitization
• Is regime switching in stock returns important in portfolio decisions?
• Normally distributed admissible choices are optimal
• Mean-Variance-Instability Portfolio Analysis: A Case of Taiwan's Stock Market
• Model predictive control design for constrained Markov jump bilinear stochastic systems with an application in finance
• The Application of Two-Stage Diversification to Portfolios from the WSE
• A two-stage method for member selection of emergency medical service

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