Log mean-variance portfolio selection under regime switching

DOI10.1007/S10690-010-9132-2MaRDI QIDQ538328zbMATH OpenOpenAlexFDO

Authors Hiroshi Ishijima, Masaki Uchida

Publication date 25 May 2011

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

Full work available at URL https://doi.org/10.1007/s10690-010-9132-2

zbMATH Keywords

discrete-timedynamic portfolio selectionEM algorithmlog mean-variance criteriaquadratic programmingregime switching model

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Markov processes: hypothesis testing (62M02) Quadratic programming (90C20) 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 preference foundation for log mean-variance criteria in portfolio choice problems
• Analysis of time series subject to changes in regime
• Dynamic linear models with Markov-switching
• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• scientific article; zbMATH DE number 3567782 (Why is no real title available?)
• scientific article; zbMATH DE number 722978 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Moments of Markov switching models
• Optimal portfolios with asymptotic criteria
• The regime switching portfolios

Cited in

(7)

• Portfolio selection with jumps under regime switching
• Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns
• Portfolio selection in a two-regime world
• Is regime switching in stock returns important in portfolio decisions?
• Recursive risk measures under regime switching applied to portfolio selection
• The regime switching portfolios
• Dynamic portfolio optimization under regime-based firm strength

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