대한산업공학회지 (Journal of Korean Institute of Industrial Engineers)

  • 제38권4호
  • /
  • Pages.258-261
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  • 2012
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  • 1225-0988(pISSN)
  • /
  • 2234-6457(eISSN)
대한산업공학회 (Korean Institute of Industrial Engineers)
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Regime 탐지 분석을 이용한 동적 자산 배분 기법

Dynamic Asset Allocation by Applying Regime Detection Analysis

  • 김우창 (KAIST 산업및시스템공학과)
  • Kim, Woo Chang (Industrial and Systems Engineering Department, KAIST)
  • 투고 : 2012.11.06
  • 심사 : 2012.11.20
  • 발행 : 2012.12.01
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초록

In this paper, I propose a new asset allocation framework to cope with the dynamic nature of the financial market. The investment performance can be much improved by protecting the capital from the market crashes, and such crashes can be pre-identified with high probabilities by regime detection analysis via a specialized unsupervised machine learning technique.

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참고문헌

  1. Bae, G. I. (2012), What are the Regimes in the Commodity Market?, Master's Thesis, KAIST.
  2. Gorton, G. and Rouwenhorst, K. G. (2006), Facts and Fantasies about Commodity Futures, Financial Analysts Journal, 62, 47-68.
  3. Merton, R. C. (1969), Lifetime Portfolio Selection under Uncertainty : the Continuous-Time Case, Rev. Economics Statistics, 51, 247 257.
  4. Mulvey, J. M., Pauling, B., and Madey, R. E. (2003), Advantages of Multiperiod Portfolio Models, Journal of Portfolio Management, 29, 35-45.
  5. Prajogo, A. (2011), Analyzing Patterns in the Equity Market : ETF Investor Sentiment and Corporate Cash Holding, Ph.D. Thesis, Princeton University.