Regime Switching Portfolios
Regime Switching Portfolios
复制标题
政权转换投资组合
DOI：
10.1007/s10690-010-9129-x
复制
发表时间：
2011
影响因子：
1.7
通讯作者：
M.Uchida
中科院分区：
文献类型：
--
作者：
Ishijima;H.;M.Uchida
本文建立了制度转换手段和波动率下的投资组合选择理论。我们使用对数均值-方差作为投资组合选择标准，因此，该理论比其他现有理论更容易实施。此外，估计的制度很容易解释为其中一个制度对应于商业周期转折点。最后，通过引入波动率目标切换的思想，进行了资产配置仿真，得到了合理的结果。
In this paper we develop a portfolio selection theory under regime switching means and volatilities. We use log mean-variance as the portfolio selection criteria and, as a result, the theory is made substantially easier to implement than other existing theories. Moreover, the estimated regimes are easy to interpret as one of the regimes corresponds to the business cycle turning points. Finally, we conduct an asset allocation simulation and obtain reasonable results by introducing an idea of switching volatility targets.