Optimal portfolio choice for unobservable and regime-switching mean returns

By Toshiki Honda. 2003

137 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d9833ae38e61d3b2451aabfd58a99f9fbb4ccaa1

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Citations in the corpus

Learning in Financial Markets (2009, background): “David (1997) and Honda (2003) solve for optimal allocations when µt undergoes unobservable regime-shifts.”
Pricing variance and volatility swaps in a stochastic volatility model with regime switching: discrete observations case (2013, methodology): “Some typical formulae that have been alternatively used in the literature (see, for example, Little and Pant (2001), Howison et al. (2004), Windcliff et al.”
Asset Allocation Under Multivariate Regime Switching (2005, unknown): “Honda (2003) solves a continuous-time portfolio and consumption problem in which the expected return (drift) of a single risky asset depends on an unobservable regime governed by a continuous Markov chain with two states.5 Optimal policies are computed using Monte Carlo methods.”
EXPLICIT SOLUTIONS OF CONSUMPTION‐INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING (2009, background): “Honda (2003) considers a risk-averse investor that wants to maximize his expected total discounted utility of consumption plus his expected utility of terminal wealth, in a market with a riskless asset and one risky asset.”
PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS (2007, unknown): “The most recent papers by Honda (2003), Sass and Haussmann (2004), Haussmann and Sass (2004), and Rieder and Bäuerle (2005) consider a Hidden Markov Model for (µt).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “Ju and Miao (2011) work with the recursive functional () = (Γ(+1())) Γ(·) ≡ −1 3R   ¡ −1 R (·)¢ () ́  (65)”