Log mean-variance portfolio selection under regime switching

DOI10.1007/S10690-010-9132-2zbMath1278.91145OpenAlexW2013095020MaRDI QIDQ538328

Masaki Uchida, Hiroshi Ishijima

Publication date: 25 May 2011

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-010-9132-2

zbMATH Keywords

quadratic programmingEM algorithmdiscrete-timeregime switching modeldynamic portfolio selectionlog mean-variance criteria

Mathematics Subject Classification ID

Classification and discrimination; cluster analysis (statistical aspects) (62H30) Statistical methods; risk measures (91G70) Quadratic programming (90C20) Markov processes: hypothesis testing (62M02) Portfolio theory (91G10)

Related Items (1)

Predictive control of investment portfolio on the financial market with hidden regime switching and MS VAR model of returns

Cites Work

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• The regime switching portfolios
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• Finite-sampling properties of the maximum likelihood estimator in autoregressive models with Markov switching
• Optimal portfolios with asymptotic criteria
• Dynamic linear models with Markov-switching
• Moments of Markov switching models
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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