Market timing in parametric portfolio policies

DOI10.1142/S0219024922500182MaRDI QIDQ5866976zbMATH OpenOpenAlexFDO

Authors Carlos Osorio, Thorsten Poddig, Christian Fieberg, Michael Olschewsky, Michael Falge

Publication date 22 September 2022

Published in International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0219024922500182

zbMATH Keywords

portfolio optimizationmarket timingasset selectionparametric portfolio policy

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

• Time cardinality constrained mean-variance dynamic portfolio selection and market timing: a stochastic control approach
• Market timing with option-implied distributions: A forward-looking approach
• Strategic asset allocation and market timing: a reinforcement learning approach
• Dynamic portfolio selection with market impact costs
• Feature selection for portfolio optimization

Cites work

• Automatic Block-Length Selection for the Dependent Bootstrap
• Common risk factors in the returns on stocks and bonds
• Computing efficient frontiers using estimated parameters
• Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
• Prospect Theory: An Analysis of Decision under Risk
• The Stationary Bootstrap

Cited in

(5)

• Timing portfolio strategies with exponential Lévy processes
• The Performance of Market Timing Measures in a Simulated Environment *
• Pitfalls in market timing test
• Market timing with option-implied distributions: A forward-looking approach
• Minimizing the Expected Market Time to Reach a Certain Wealth Level

This page was built for publication: Market timing in parametric portfolio policies

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5866976)