Strategic asset allocation with switching dependence

DOI10.1007/S10436-011-0183-9MaRDI QIDQ470426zbMATHOpenAlexFDO

Authors Renaud MacGilchrist, Donatien Hainaut

Publication date 12 November 2014

Published in Annals of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10436-011-0183-9

zbMATH Keywords

copulaswitching regime

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites work

• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• An introduction to copulas. Properties and applications
• Extreme Financial Risks
• Families of Multivariate Distributions
• Regime switching for dynamic correlations
• The Use of Archimedean Copulas to Model Portfolio Allocations

Cited in

(14)

• An intensity model for credit risk with switching Lévy processes
• A switching self-exciting jump diffusion process for stock prices
• Strategic asset allocation under a fractional hidden Markov model
• Strategic asset allocation with liabilities: beyond stocks and bonds
• A switching microstructure model for stock prices
• A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices
• Strategic asset allocation
• Strategic asset allocation in a continuous-time VAR model
• How do capital structure and economic regime affect fair prices of bank's equity and liabilities?
• Asset allocation under multivariate regime switching
• Impulse control of pension fund contributions, in a regime switching economy
• An examination of HMM-based investment strategies for asset allocation
• Dynamic investment strategy with factor models under regime switches
• Long-term strategic asset allocation with inflation risk and regime switching

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