Strategic asset allocation and market timing: a reinforcement learning approach

DOI10.1007/S10614-006-9064-0MaRDI QIDQ2642598zbMATH OpenOpenAlexFDO

Authors Thorsten Hens, Peter Woehrmann

Publication date 17 August 2007

Published in Computational Economics (Search for Journal in Brave)

Full work available at URL https://www.zora.uzh.ch/id/eprint/97409/1/ZORA_NL_97409.pdf

zbMATH Keywords

Bond/equity ratioDynamic asset allocationReinforcement Learning

Mathematics Subject Classification ID

Recommendations

• Strategic asset allocation
• Asset allocation with time series momentum and reversal
• Machine Learning: ECML 2004
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Cites work

• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Solving dynamic portfolio choice problems by recursing on optimized portfolio weights or on the value function?
• Strategic asset allocation
• Strategic asset allocation in a continuous-time VAR model
• Using conditional moments of asset payoffs to infer the volatility of intertemporal marginal rates of substitution

Cited in

(7)

• Asset allocation with time series momentum and reversal
• Towards the real time solution of strike force asset allocation problems
• Market timing with option-implied distributions: A forward-looking approach
• Regime-switching recurrent reinforcement learning for investment decision making
• Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
• Machine Learning: ECML 2004
• Market timing in parametric portfolio policies

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