Asset allocation under regime-switching models

Na Song; Wai Ki Ching; Dong Mei Zhu; Tak Kuen Siu

doi:10.1109/BIFE.2012.38

Asset allocation under regime-switching models

Na Song^*, Wai Ki Ching, Dong Mei Zhu, Tak Kuen Siu

^*Corresponding author for this work

Department of Applied Finance

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

1 Citation (Scopus)

Abstract

We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies.

Original language	English
Title of host publication	Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012
Editors	Lean Yu, Guoxing Zhang, Shouyang Wang
Place of Publication	Piscataway, NJ
Publisher	Institute of Electrical and Electronics Engineers (IEEE)
Pages	144-148
Number of pages	5
ISBN (Print)	9780769547503
DOIs	https://doi.org/10.1109/BIFE.2012.38
Publication status	Published - 2012
Event	2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012 - Lanzhou, Gansu, China Duration: 18 Aug 2012 → 21 Aug 2012

Other

Other	2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012
Country/Territory	China
City	Lanzhou, Gansu
Period	18/08/12 → 21/08/12

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10.1109/BIFE.2012.38

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Song, N., Ching, W. K., Zhu, D. M., & Siu, T. K. (2012). Asset allocation under regime-switching models. In L. Yu, G. Zhang, & S. Wang (Eds.), Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012 (pp. 144-148). Article 6305098 Institute of Electrical and Electronics Engineers (IEEE). https://doi.org/10.1109/BIFE.2012.38

@inproceedings{49b9736be1a24975aad509c6df27e0fb,

title = "Asset allocation under regime-switching models",

abstract = "We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies.",

author = "Na Song and Ching, \{Wai Ki\} and Zhu, \{Dong Mei\} and Siu, \{Tak Kuen\}",

year = "2012",

doi = "10.1109/BIFE.2012.38",

language = "English",

isbn = "9780769547503",

pages = "144--148",

editor = "Lean Yu and Guoxing Zhang and Shouyang Wang",

booktitle = "Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012",

publisher = "Institute of Electrical and Electronics Engineers (IEEE)",

address = "United States",

note = "2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012 ; Conference date: 18-08-2012 Through 21-08-2012",

}

Song, N, Ching, WK, Zhu, DM & Siu, TK 2012, Asset allocation under regime-switching models. in L Yu, G Zhang & S Wang (eds), Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012., 6305098, Institute of Electrical and Electronics Engineers (IEEE), Piscataway, NJ, pp. 144-148, 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012, Lanzhou, Gansu, China, 18/08/12. https://doi.org/10.1109/BIFE.2012.38

Asset allocation under regime-switching models. / Song, Na; Ching, Wai Ki; Zhu, Dong Mei et al.
Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012. ed. / Lean Yu; Guoxing Zhang; Shouyang Wang. Piscataway, NJ: Institute of Electrical and Electronics Engineers (IEEE), 2012. p. 144-148 6305098.

Research output: Chapter in Book/Report/Conference proceeding › Conference proceeding contribution › peer-review

TY - GEN

T1 - Asset allocation under regime-switching models

AU - Song, Na

AU - Ching, Wai Ki

AU - Zhu, Dong Mei

AU - Siu, Tak Kuen

PY - 2012

Y1 - 2012

N2 - We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies.

AB - We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching (HMRS) model, the interactive hidden Markovian regime-switching (IHMRS) model and the self-exciting threshold autoregressive (SETAR) model. In the optimal asset allocation problem, the object of the investor is to select an optimal portfolio strategy so as to maximize the expected utility of wealth over a finite investment horizon. We solve the optimal portfolio problem using a dynamic programming approach in a discrete-time set up. Numerical results are provided to illustrate the practical implementation of the models and the impacts of different types of regime switching on optimal portfolio strategies.

UR - https://www.scopus.com/pages/publications/84868125208

U2 - 10.1109/BIFE.2012.38

DO - 10.1109/BIFE.2012.38

M3 - Conference proceeding contribution

AN - SCOPUS:84868125208

SN - 9780769547503

SP - 144

EP - 148

BT - Proceedings of the 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

A2 - Yu, Lean

A2 - Zhang, Guoxing

A2 - Wang, Shouyang

PB - Institute of Electrical and Electronics Engineers (IEEE)

CY - Piscataway, NJ

T2 - 2012 5th International Conference on Business Intelligence and Financial Engineering, BIFE 2012

Y2 - 18 August 2012 through 21 August 2012

ER -

Asset allocation under regime-switching models

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