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Article: Asset allocation with regime-switching: discrete-time case

TitleAsset allocation with regime-switching: discrete-time case
Authors
Issue Date2004
PublisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST
Citation
Astin Bulletin, 2004, v. 34 n. 1, p. 99-111 How to Cite?
AbstractIn this paper, we study the optimal asset allocation problem under a discrete regime switching model. Under the short-selling and leveraging constraints, the existence and uniqueness of the optimal trading strategy are obtained. We also obtain some natural properties of the optimal strategy. In particular, we show that if there exists a stochastic dominance order relationship between the random returns at different regimes, then we can order the optimal proportions we should invest in such regimes.
Persistent Identifierhttp://hdl.handle.net/10722/82693
ISSN
2015 Impact Factor: 0.732
2015 SCImago Journal Rankings: 0.979

 

DC FieldValueLanguage
dc.contributor.authorCheung, KCen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2010-09-06T08:32:19Z-
dc.date.available2010-09-06T08:32:19Z-
dc.date.issued2004en_HK
dc.identifier.citationAstin Bulletin, 2004, v. 34 n. 1, p. 99-111en_HK
dc.identifier.issn0515-0361en_HK
dc.identifier.urihttp://hdl.handle.net/10722/82693-
dc.description.abstractIn this paper, we study the optimal asset allocation problem under a discrete regime switching model. Under the short-selling and leveraging constraints, the existence and uniqueness of the optimal trading strategy are obtained. We also obtain some natural properties of the optimal strategy. In particular, we show that if there exists a stochastic dominance order relationship between the random returns at different regimes, then we can order the optimal proportions we should invest in such regimes.-
dc.languageengen_HK
dc.publisherPeeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=ASTen_HK
dc.relation.ispartofAstin Bulletinen_HK
dc.titleAsset allocation with regime-switching: discrete-time caseen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0515-0361&volume=34&issue=1&spage=99&epage=111&date=2004&atitle=Asset+allocation+with+regime-switching:+discrete-time+caseen_HK
dc.identifier.emailYang, H: hlyang@hkusua.hku.hken_HK
dc.identifier.doi10.2143/AST.34.1.504957-
dc.identifier.hkuros91548en_HK

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