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Optimal portfolio choice for unobservable and regime-switching mean returns

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Cited by:

  1. Jang, Bong-Gyu & Kim, Kyeong Tae, 2015. "Optimal reinsurance and asset allocation under regime switching," Journal of Banking & Finance, Elsevier, vol. 56(C), pages 37-47.
  2. Anton A. Shardin & Michaela Szolgyenyi, 2016. "Optimal Control of an Energy Storage Facility Under a Changing Economic Environment and Partial Information," Papers 1602.04662, arXiv.org, revised Apr 2016.
  3. Luz Rocío Sotomayor & Abel Cadenillas, 2009. "Explicit Solutions Of Consumption‐Investment Problems In Financial Markets With Regime Switching," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 251-279, April.
  4. Wang, Haijun, 2016. "Precautionary saving demand and consumption dynamics with the spirit of capitalism and regime switching," Journal of Mathematical Economics, Elsevier, vol. 64(C), pages 48-65.
  5. Guidolin, Massimo & Timmermann, Allan, 2007. "Asset allocation under multivariate regime switching," Journal of Economic Dynamics and Control, Elsevier, vol. 31(11), pages 3503-3544, November.
  6. Donatien Hainaut & Griselda Deelstra, 2019. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for Asset Prices," Methodology and Computing in Applied Probability, Springer, vol. 21(4), pages 1337-1375, December.
  7. Patrick Konermann & Christoph Meinerding & Olga Sedova, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, John Wiley & Sons, vol. 22(1), pages 36-46, January.
  8. Su, EnDer, 2014. "Measuring Contagion Risk in High Volatility State between Major Banks in Taiwan by Threshold Copula GARCH Model," MPRA Paper 58161, University Library of Munich, Germany.
  9. Michele Longo & Alessandra Mainini, 2017. "Welfare effects of information and rationality in portfolio decisions under parameter uncertainty," Papers 1709.04387, arXiv.org.
  10. Reza Keykhaei, 2020. "Portfolio selection in a regime switching market with a bankruptcy state and an uncertain exit-time: multi-period mean–variance formulation," Operational Research, Springer, vol. 20(3), pages 1231-1254, September.
  11. Hematizadeh, Roksana & Tajaddini, Reza & Hallahan, Terrence, 2022. "Dynamic asset allocation strategy using a state-dependent Markov model: Applications to international equity markets," Journal of International Money and Finance, Elsevier, vol. 128(C).
  12. Jianmin Shi, 2020. "Optimal control of multiple Markov switching stochastic system with application to portfolio decision," Papers 2010.16102, arXiv.org.
  13. Balcılar, Mehmet & Demirer, Rıza & Hammoudeh, Shawkat, 2015. "Regional and global spillovers and diversification opportunities in the GCC equity sectors," Emerging Markets Review, Elsevier, vol. 24(C), pages 160-187.
  14. Deng, Kebin & Peng, Jiaxin & Peng, Juan & Zhang, Yuhua, 2022. "Real options with overextrapolation," Economic Modelling, Elsevier, vol. 114(C).
  15. Chen, Zhiping & Li, Gang & Zhao, Yonggan, 2014. "Time-consistent investment policies in Markovian markets: A case of mean–variance analysis," Journal of Economic Dynamics and Control, Elsevier, vol. 40(C), pages 293-316.
  16. Vladimir Dombrovskii & Tatyana Obyedko, 2014. "Dynamic Investment Portfolio Optimization under Constraints in the Financial Market with Regime Switching using Model Predictive Control," Papers 1410.1136, arXiv.org.
  17. Guo, Ming & Ou-Yang, Hui, 2021. "Alpha decay and Sharpe ratio: Two measures of investor performance," Economic Modelling, Elsevier, vol. 104(C).
  18. Lubos Pastor & Pietro Veronesi, 2009. "Learning in Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 361-381, November.
  19. Kexin Chen & Hoi Ying Wong, 2024. "Duality in optimal consumption–investment problems with alternative data," Finance and Stochastics, Springer, vol. 28(3), pages 709-758, July.
  20. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  21. Zhang, Ling & Zhang, Hao & Yao, Haixiang, 2018. "Optimal investment management for a defined contribution pension fund under imperfect information," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 210-224.
  22. Luo, Yulei & Nie, Jun & Young, Eric, 2015. "Robust Permanent Income in General Equilibrium," MPRA Paper 63985, University Library of Munich, Germany.
  23. Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
  24. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 18-36.
  25. Hainaut, Donatien & Deelstra, Griselda, 2018. "A Bivariate Mutually-Excited Switching Jump Diffusion (BMESJD) for asset prices," LIDAM Discussion Papers ISBA 2018011, Université catholique de Louvain, Institute of Statistics, Biostatistics and Actuarial Sciences (ISBA).
  26. Anna Battauz & Alessandro Sbuelz, 2018. "Non†myopic portfolio choice with unpredictable returns: The jump†to†default case," European Financial Management, European Financial Management Association, vol. 24(2), pages 192-208, March.
  27. Kraft, Holger & Weiss, Farina, 2023. "Pandemic portfolio choice," European Journal of Operational Research, Elsevier, vol. 305(1), pages 451-462.
  28. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31, Puey Ungphakorn Institute for Economic Research.
  29. Goodarzi, Milad & Meinerding, Christoph, 2023. "Asset allocation with recursive parameter updating and macroeconomic regime identifiers," Discussion Papers 06/2023, Deutsche Bundesbank.
  30. Haijun Wang & L. Steven Hou, 2015. "Robust Consumption and Portfolio Choice with Habit Formation, the Spirit of Capitalism and Recursive Utility," Annals of Economics and Finance, Society for AEF, vol. 16(2), pages 393-416, November.
  31. Frederik Lundtofte, 2009. "Can An 'Estimation Factor' Help Explain Cross-Sectional Returns?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5-6), pages 705-724.
  32. Bruno Solnik & Thaisiri Watewai, 2016. "International Correlation Asymmetries: Frequent-but-Small and Infrequent-but-Large Equity Returns," PIER Discussion Papers 31., Puey Ungphakorn Institute for Economic Research, revised Jun 2016.
  33. Campani, Carlos Heitor & Garcia, René & Lewin, Marcelo, 2021. "Optimal portfolio strategies in the presence of regimes in asset returns," Journal of Banking & Finance, Elsevier, vol. 123(C).
  34. Su, EnDer, 2013. "Stock index hedge using trend and volatility regime switch model considering hedging cost," MPRA Paper 49190, University Library of Munich, Germany.
  35. Jörn Sass & Dorothee Westphal & Ralf Wunderlich, 2017. "Expert Opinions And Logarithmic Utility Maximization For Multivariate Stock Returns With Gaussian Drift," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(04), pages 1-41, June.
  36. Michele Longo & Alessandra Mainini, 2016. "Learning And Portfolio Decisions For Crra Investors," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(03), pages 1-21, May.
  37. Kristoffer Lindensjö, 2016. "Optimal investment and consumption under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 83(1), pages 87-107, February.
  38. Lee, Hyun-Tak, 2016. "Dynamic consumption and portfolio choice with permanent learning," Finance Research Letters, Elsevier, vol. 19(C), pages 112-118.
  39. Herve Roche, 2004. "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings 79, Econometric Society.
  40. Yingshan Chen & Min Dai & Luis Goncalves-Pinto & Jing Xu & Cheng Yan, 2021. "Incomplete Information and the Liquidity Premium Puzzle," Management Science, INFORMS, vol. 67(9), pages 5703-5729, September.
  41. Tomas Björk & Mark Davis & Camilla Landén, 2010. "Optimal investment under partial information," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 71(2), pages 371-399, April.
  42. Anton A. Shardin & Michaela Szölgyenyi, 2016. "Optimal Control Of An Energy Storage Facility Under A Changing Economic Environment And Partial Information," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(04), pages 1-27, June.
  43. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
  44. Dewandaru, Ginanjar & Masih, Rumi & Bacha, Obiyathulla Ismath & Masih, A. Mansur M., 2017. "The role of Islamic asset classes in the diversified portfolios: Mean variance spanning test," Emerging Markets Review, Elsevier, vol. 30(C), pages 66-95.
  45. Abdelali Gabih & Hakam Kondakji & Jorn Sass & Ralf Wunderlich, 2014. "Expert Opinions and Logarithmic Utility Maximization in a Market with Gaussian Drift," Papers 1402.6313, arXiv.org.
  46. Weiwei Shen, 2024. "Optimal investment and reinsurance strategies for an insurer with regime-switching," Mathematics and Financial Economics, Springer, volume 18, number 1, February.
  47. Nicole Bäuerle & Stefanie Grether, 2017. "Extremal Behavior Of Long-Term Investors With Power Utility," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 20(05), pages 1-13, August.
  48. Kexin Chen & Hoi Ying Wong, 2022. "Duality in optimal consumption--investment problems with alternative data," Papers 2210.08422, arXiv.org, revised Jul 2023.
  49. Ma, Jingtang & Li, Wenyuan & Zheng, Harry, 2017. "Dual control Monte-Carlo method for tight bounds of value function in regime switching utility maximization," European Journal of Operational Research, Elsevier, vol. 262(3), pages 851-862.
  50. Bäuerle, Nicole & Mahayni, Antje, 2024. "Optimal investment in ambiguous financial markets with learning," European Journal of Operational Research, Elsevier, vol. 315(1), pages 393-410.
  51. Christoph Knochenhauer & Alexander Merkel & Yufei Zhang, 2024. "Optimal Investment with Costly Expert Opinions," Papers 2409.11569, arXiv.org.
  52. Su, EnDer, 2017. "Stock index hedging using a trend and volatility regime-switching model involving hedging cost," International Review of Economics & Finance, Elsevier, vol. 47(C), pages 233-254.
  53. Michele Longo & Alessandra Mainini, 2015. "Learning and Portfolio Decisions for HARA Investors," Papers 1502.02968, arXiv.org.
  54. Nguyet Nguyen, 2018. "Hidden Markov Model for Stock Trading," IJFS, MDPI, vol. 6(2), pages 1-17, March.
  55. Nicole Bauerle & An Chen, 2022. "Optimal investment under partial information and robust VaR-type constraint," Papers 2212.04394, arXiv.org, revised Sep 2023.
  56. Jorn Sass & Dorothee Westphal & Ralf Wunderlich, 2016. "Expert Opinions and Logarithmic Utility Maximization for Multivariate Stock Returns with Gaussian Drift," Papers 1601.08155, arXiv.org, revised Mar 2016.
  57. Chung, San-Lin & Hung, Mao-Wei & Wei, Tzu-Wen & Yeh, Chung-Ying, 2024. "Strategic asset allocation with distorted beliefs," International Review of Economics & Finance, Elsevier, vol. 89(PB), pages 804-831.
  58. David Feldman, 2007. "Incomplete information equilibria: Separation theorems and other myths," Annals of Operations Research, Springer, vol. 151(1), pages 119-149, April.
  59. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  60. Frederik Lundtofte, 2009. "Can An ‘Estimation Factor’ Help Explain Cross‐Sectional Returns?," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 36(5‐6), pages 705-724, June.
  61. Kim, Woo Chang & Kim, Jang Ho & Mulvey, John M. & Fabozzi, Frank J., 2015. "Focusing on the worst state for robust investing," International Review of Financial Analysis, Elsevier, vol. 39(C), pages 19-31.
  62. Jianmin Shi, 2023. "Dynamic asset allocation with multiple regime‐switching markets," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(2), pages 1741-1755, April.
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