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Article: Asset allocation with regime-switching: discrete-time case
| Title | Asset allocation with regime-switching: discrete-time case |
|---|---|
| Authors | |
| Issue Date | 2004 |
| Publisher | Peeters 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? |
| Abstract | In 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 Identifier | http://hdl.handle.net/10722/82693 |
| ISSN | 2021 Impact Factor: 2.545 2020 SCImago Journal Rankings: 1.113 |
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Cheung, KC | en_HK |
| dc.contributor.author | Yang, H | en_HK |
| dc.date.accessioned | 2010-09-06T08:32:19Z | - |
| dc.date.available | 2010-09-06T08:32:19Z | - |
| dc.date.issued | 2004 | en_HK |
| dc.identifier.citation | Astin Bulletin, 2004, v. 34 n. 1, p. 99-111 | en_HK |
| dc.identifier.issn | 0515-0361 | en_HK |
| dc.identifier.uri | http://hdl.handle.net/10722/82693 | - |
| dc.description.abstract | In 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.language | eng | en_HK |
| dc.publisher | Peeters Publishers. The Journal's web site is located at http://poj.peeters-leuven.be/content.php?url=journal&journal_code=AST | en_HK |
| dc.relation.ispartof | Astin Bulletin | en_HK |
| dc.title | Asset allocation with regime-switching: discrete-time case | en_HK |
| dc.type | Article | en_HK |
| dc.identifier.openurl | http://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+case | en_HK |
| dc.identifier.email | Yang, H: hlyang@hkusua.hku.hk | en_HK |
| dc.identifier.doi | 10.2143/AST.34.1.504957 | - |
| dc.identifier.hkuros | 91548 | en_HK |
| dc.identifier.issnl | 0515-0361 | - |