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.
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.
| Original language | English |
|---|---|
| Pages (from-to) | 99 |
| Number of pages | 111 |
| Journal | ASTIN Bulletin |
| Volume | 34 |
| Issue number | 1 |
| DOIs | |
| Publication status | Published - 2004 |
| Externally published | Yes |