Optimal Asset Allocation Problems Under the Discrete-time Regime-switching Model PDF Download
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Author: Ka-chun Cheung (Ph.D.)
Publisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 240
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Book Description
Author: Ka-Chun Cheung
Publisher:
ISBN: 9781361203781
Category :
Languages : en
Pages :
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Book Description
This dissertation, "Optimal Asset Allocation Problems Under the Discrete-time Regime-switching Model" by Ka-chun, Cheung, 張家俊, was obtained from The University of Hong Kong (Pokfulam, Hong Kong) and is being sold pursuant to Creative Commons: Attribution 3.0 Hong Kong License. The content of this dissertation has not been altered in any way. We have altered the formatting in order to facilitate the ease of printing and reading of the dissertation. All rights not granted by the above license are retained by the author. Abstract: Abstract of the thesis entitled OPTIMAL ASSET ALLOCATION PROBLEMS UNDER THE DISCRETE-TIME REGIME-SWITCHING MODEL submitted by Cheung, Ka Chun for the degree of Doctor of Philosophy at The University of Hong Kong in January 2005 Recently, academics and practitioners have started paying attention to using the Markov Regime-Switching process to model asset price dynamics. The Markov Regime-Switchingmodelcancapturetherealitythattheinvestmentenvironment is changing over time and hence is non-stationary. Another merit of the model is that it can provide a reasonable degree of analytical tractability. In this thesis, the optimal behavior of an investor in a Markov regime-switching environment will be examined. The thesis studies the optimal dynamic asset allocation strategy, the optimal consumption strategy in the presence of default risk, and the optimal surrender strategy of an equity-linked investment product. By employing the concept of stochastic dominance and assuming that the transition matrix is stochasticallymonotone, where both the concept and assumption have natural and appealing financial interpretations, it was shown that the optimal behavior of the investor is consistent with our intuition. As default risk is an important subject in mod- ern finance and actuarial science, this thesis also studies the optimal portfolio problem in which financial instruments are subject to dependent default risks. Sufficient condition to order the optimal allocations was obtained. The analy- sis demonstrates that in the optimal portfolio problem context, the dependency structure between the default risks is essential and cannot be ignored. DOI: 10.5353/th_b3131123 Subjects: Asset allocation - Mathematical models Markov processes
Author: Ka-chun Cheung (Ph.D.)
Publisher:
ISBN:
Category : Asset allocation
Languages : en
Pages : 240
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Book Description
Author: Adam Butler
Publisher: John Wiley & Sons
ISBN: 1119220351
Category : Business & Economics
Languages : en
Pages : 244
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Book Description
Build an agile, responsive portfolio with a new approach to global asset allocation Adaptive Asset Allocation is a no-nonsense how-to guide for dynamic portfolio management. Written by the team behind Gestaltu.com, this book walks you through a uniquely objective and unbiased investment philosophy and provides clear guidelines for execution. From foundational concepts and timing to forecasting and portfolio optimization, this book shares insightful perspective on portfolio adaptation that can improve any investment strategy. Accessible explanations of both classical and contemporary research support the methodologies presented, bolstered by the authors' own capstone case study showing the direct impact of this approach on the individual investor. Financial advisors are competing in an increasingly commoditized environment, with the added burden of two substantial bear markets in the last 15 years. This book presents a framework that addresses the major challenges both advisors and investors face, emphasizing the importance of an agile, globally-diversified portfolio. Drill down to the most important concepts in wealth management Optimize portfolio performance with careful timing of savings and withdrawals Forecast returns 80% more accurately than assuming long-term averages Adopt an investment framework for stability, growth, and maximum income An optimized portfolio must be structured in a way that allows quick response to changes in asset class risks and relationships, and the flexibility to continually adapt to market changes. To execute such an ambitious strategy, it is essential to have a strong grasp of foundational wealth management concepts, a reliable system of forecasting, and a clear understanding of the merits of individual investment methods. Adaptive Asset Allocation provides critical background information alongside a streamlined framework for improving portfolio performance.
Author: Abraham Lioui
Publisher: Springer Science & Business Media
ISBN: 9780387241074
Category : Business & Economics
Languages : en
Pages : 290
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Book Description
This is an advanced text on the theory of forward and futures markets which aims at providing readers with a comprehensive knowledge of how prices are established and evolve over time, what optimal strategies one can expect from the participants, what characterizes such markets and what major theoretical and practical differences distinguish futures from forward contracts. It should be of interest to students (majoring in finance with quantitative skills) academics (both theoreticians and empiricists), practitioners, and regulators.
Author: Sarthak Garg
Publisher:
ISBN:
Category :
Languages : en
Pages : 0
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Book Description
The aim of this thesis is to develop a Markov Regime Switching framework that can be used in asset allocation in conjunction with Modern Portfolio Theory. Modern Portfolio Theory has long been a popular tool among big financial institutions. However, one of its major limitations is assumption of stationary market volatility. In this paper, we develop a single period Mean Variance Optimization model that minimizes the variance of a portfolio subject to a specified expected return by combining Modern Portfolio Theory with a Markov Regime Switching framework. Then, we extend the above developed framework to be used in conjunction with a robust optimization framework as proposed by Goldfarb Iyengar in which regards we were partially successful. The portfolios constructed by the Markov Regime-Switching framework were tested out of sample to outperform those suggested by a Simple MVO One Factor model and the Robust MVO One Factor Model.
Author: Yang Shen
Publisher:
ISBN:
Category : Assets (Accounting)
Languages : en
Pages : 157
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Book Description
Regime-switching models are very useful to describe structural changes in macro-economic conditions, periodical fluctuations in business cycles and sudden transitions in market modes. In this these, a continuous-time, finite-state, observable Markov chain is adopted to model the regime switches. The first part of the thesis is devoted to asset pricing problems under regime-switching models. In the second part stochastic optimal control theory is applied to explore portfolio optimization problems under regime-switching models.
Author: Massimo Guidolin
Publisher:
ISBN:
Category : Investments
Languages : en
Pages : 0
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Book Description
Author: Allan Timmermann
Publisher:
ISBN:
Category :
Languages : en
Pages : 51
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Book Description
This paper proposes a new tractable approach to solving asset allocation problems in situations with a large number of risky assets which pose problems for standard approaches. Investor preferences are assumed to be defined over moments of the wealth distribution such as its mean, variance, skew and kurtosis. Time-variations in investment opportunities are represented by a flexible regime switching process. We develop analytical methods that only require solving a small set of difference equations and can be applied even in the presence of large numbers of risky assets. In the context of a four-moment international CAPM specification that relates stock returns in five regions to returns on a global market portfolio, we find evidence of distinct bull and bear states. Ignoring regimes, an unhedged US investor's optimal portfolio is strongly diversified internationally. The presence of regimes in the return distribution leads to a large increase in the investor's optimal holdings of US stocks as does the introduction of skew and kurtosis preferences. Our paper therefore offers an explanation of the strong home bias observed in US investors' asset allocation based on regime switching and skew and kurtosis preferences.
Author: Ralf Korn
Publisher: World Scientific
ISBN: 9814497126
Category : Business & Economics
Languages : en
Pages : 352
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Book Description
The focus of the book is the construction of optimal investment strategies in a security market model where the prices follow diffusion processes. It begins by presenting the complete Black-Scholes type model and then moves on to incomplete models and models including constraints and transaction costs. The models and methods presented will include the stochastic control method of Merton, the martingale method of Cox-Huang and Karatzas et al., the log optimal method of Cover and Jamshidian, the value-preserving model of Hellwig etc.Stress is laid on rigorous mathematical presentation and clear economic interpretations while technicalities are kept to the minimum. The underlying mathematical concepts will be provided. No a priori knowledge of stochastic calculus, stochastic control or partial differential equations is necessary (however some knowledge in stochastics and calculus is needed).
Author: Philipp Kowollik
Publisher: GRIN Verlag
ISBN: 3638352692
Category : Business & Economics
Languages : en
Pages : 23
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Book Description
Seminar paper from the year 2004 in the subject Business economics - Investment and Finance, grade: 1,3, European Business School - International University Schloß Reichartshausen Oestrich-Winkel, language: English, abstract: The decision as to which Assets should be included in a portfolio is first addressed in a Strategic Asset Allocation policy. The determination of the Strategic Asset Allocation is one of the most important factors that influences a portfolio’s performance. The process of defining a policy within the Strategic Asset Allocation should be done by both the portfolio manager and the potential investor. Together with the International Capital Asset Pricing Model the Strategic Asset Allocation tries to find an optimal portfolio which maximizes return and, at the same time, tries to minimize the possible risk. Due to currency and inflation risk, hedging should be considered as crucial point during the Strategic Asset Allocation. 1 2 Strategic Asset Allocation under consideration of the International Capital Asset Pricing Model decides to which asset classes a portfolio should be divided. Factors which determine the decision are expected returns, variances and covariances as well as the degree of risk aversion. The analysis of mean-variance which was mostly developed by Harry Markowitz gave portfolio advice until the early eighties concerning the optimal asset allocation. The aims of this approach were to minimize risk while receiving the highest possible return. Over the years the method was critized several times because of a lack of decisive factors. Markowitz only assumed a one period model and permanent income, currency and inflation risk were also ignored.3 Strategic Asset Allocation is much more than investing short- term. Investors care about inflation and currency risk. Hedging is particularly needed.
