Dynamic allocations for currency futures under switching regimes signals
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DOI: 10.1016/j.ejor.2016.02.024
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Cited by:
- Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Downside risk reduction using regime-switching signals: a statistical jump model approach," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 493-507, September.
- Xiaoyue Li & A. Sinem Uysal & John M. Mulvey, 2021. "Multi-Period Portfolio Optimization using Model Predictive Control with Mean-Variance and Risk Parity Frameworks," Papers 2103.10813, arXiv.org.
- Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Dynamic Asset Allocation with Asset-Specific Regime Forecasts," Papers 2406.09578, arXiv.org, revised Aug 2024.
- Naumzik, Christof & Feuerriegel, Stefan & Nielsen, Anne Molgaard, 2023. "Data-driven dynamic treatment planning for chronic diseases," European Journal of Operational Research, Elsevier, vol. 305(2), pages 853-867.
- Li, Xiaoyue & Uysal, A. Sinem & Mulvey, John M., 2022. "Multi-period portfolio optimization using model predictive control with mean-variance and risk parity frameworks," European Journal of Operational Research, Elsevier, vol. 299(3), pages 1158-1176.
- Reaz, Md & Mahat, Fauziah & Dahir, Ahmed Mohamed & Sahabuddin, Mohammad & Al Mahi, Abu Saad Md Masnun, 2017. "Exchange rate volatility and financial performance of agriculture firms in Malaysia: An empirical analysis using GARCH, wavelet and system GMM," Business and Economic Horizons (BEH), Prague Development Center (PRADEC), vol. 13(3).
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Keywords
Investment analysis; Currency futures; Carry trade; Regime identification; Mean-semivariance portfolio optimization;All these keywords.
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