Smart Indexing Under Regime-Switching Economic States

DOI10.1080/1350486X.2021.1891554zbMath1466.91283OpenAlexW3138323308MaRDI QIDQ4994677

Yonggan Zhao, N. Chanaka P. Edirisinghe

Publication date: 21 June 2021

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/1350486x.2021.1891554

zbMATH Keywords

hidden Markov modelsportfolio optimizationrisk functionsindex-trackingactively-managed fundsregime-switching uncertaintysmart indexing

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10)

Related Items (1)

Estimation risk and the implicit value of index-tracking

Cites Work

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• Dynamic credit investment in partially observed markets
• Asset allocation under multivariate regime switching
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• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• Information and option pricings
• DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME‐SWITCHING
• Common risk factors in the returns on stocks and bonds

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