Smart Indexing Under Regime-Switching Economic States

DOI10.1080/1350486X.2021.1891554MaRDI QIDQ4994677zbMATH OpenOpenAlexFDO

Authors Yonggan Zhao, N. Chanaka P. Edirisinghe

Publication date 21 June 2021

Published in Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/1350486x.2021.1891554

zbMATH Keywords

actively-managed fundshidden Markov modelsindex-trackingportfolio optimizationregime-switching uncertaintyrisk functionssmart indexing

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Asset allocation under multivariate regime switching
• Autoregressive conditional heteroskedasticity and changes in regime
• Common risk factors in the returns on stocks and bonds
• Dynamic credit investment in partially observed markets
• Dynamic portfolio optimization with a defaultable security and regime-switching
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• Information and option pricings
• Is regime switching in stock returns important in portfolio decisions?
• Portfolio selection with robust estimation
• Pricing and hedging contingent claims with regime switching risk

Cited in

(3)

• Why indexing works
• Estimation risk and the implicit value of index-tracking
• Empirical examination of fundamental indexation in the German market

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