全部 标题 作者
关键词 摘要

OALib Journal期刊
ISSN: 2333-9721
费用:99美元

查看量下载量

相关文章

更多...

Markowitz versus Regime Switching: An Empirical Approach

Keywords: Mean-Variance Optimization , Regime Switching , Optimal Portfolio Selection

Full-Text   Cite this paper   Add to My Lib

Abstract:

This article discusses an adjusted regime switching model in the context of portfoliooptimization and compares the attained portfolio weights and the performance to aclassical mean-variance set-up as introduced by Markowitz (1952). The model postulatesdifferent asset price dynamics under different regimes, and jumps between regimes are drivenby a Markov process. For examples, ’bear’ and ’bull’ markets could be such regimes. Givena particular regime, portfolio weights are set based on the conditional means and variancecovariancestructure of the asset dynamics. The model is evaluated in an out-of-sampleperiod of the last three years with a moving window and a forecast of only one period. It isfound that with the adjusted regime switching portfolio selection algorithm as applied here,the performance of the optimal portfolio is highly improved even where portfolio weights areconstrained to realistic values.

Full-Text

Contact Us

service@oalib.com

QQ:3279437679

WhatsApp +8615387084133