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ArticleDynamic asset allocation for varied financial markets under regime switching framework

Geum Il Bae2013

Article2013

Dynamic asset allocation for varied financial markets under regime switching framework

Geum Il Bae · Woo Chang Kim · John M. Mulvey

98 citations·0/0 files stored·European Journal of Operational Research

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1952PORTFOLIO SELECTION*1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1975THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.]2011Introduction to Stochastic Programming 1959Portfolio Selection: Efficient Diversification of Investments 1962

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2007Estimates of the ICAPM with regime-switching betas: evidence from four pacific rim economiesarticle · 8 shared references 2006Democratic Processes and Financial Markets: Pricing Politicsarticle · 7 shared references 2008Stochastic programming models for asset liability managementchapter · 7 shared references 2011Regime Changes and Financial Marketsreport · 7 shared references 2017Portfolio selection problem: a review of deterministic and stochastic multiple objective programming modelsarticle · 7 shared references 1969PORTFOLIO ANALYSIS, MARKET EQUILIBRIUM AND CORPORATION FINANCEarticle · 6 shared references

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Year2013

Typearticle

Published2013-03-30

VenueEuropean Journal of Operational Research

ISSN-L0377-2217

Languageen

Citations98

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.ejor.2013.03.032

openalex_workW2140688168

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Portfolio Selection: Efficient Diversification of Investments.

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