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Document Details : Title: Asset Allocation with Regime-Switching: Discrete-Time Case Author(s): CHEUNG, K.C. , YANG, H. Journal: ASTIN Bulletin Volume: 34 Issue: 1 Date: May 2004 Pages: 99-111 DOI: 10.2143/AST.34.1.504957 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. |
