Arbeitspapier
Asset allocation with recursive parameter updating and macroeconomic regime identifiers
This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio strategy cannot be determined due to computational complexity. Among a set of suboptimal strategies, the portfolio performance can be improved substantially if the dynamics of the regimes are estimated from fundamental macroeconomic instead of financial return data. Especially after highly uncertain times, the estimation based on financial market data identifies extreme regimes, leading to extreme hedging demands against regime changes.
- ISBN
-
978-3-95729-937-6
- Sprache
-
Englisch
- Erschienen in
-
Series: Deutsche Bundesbank Discussion Paper ; No. 06/2023
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
Financial Markets and the Macroeconomy
- Thema
-
Regime switching models
asset allocation
macro-based portfolio strategies
parameter updating
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Goodarzi, Milad
Meinerding, Christoph
- Ereignis
-
Veröffentlichung
- (wer)
-
Deutsche Bundesbank
- (wo)
-
Frankfurt a. M.
- (wann)
-
2023
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Goodarzi, Milad
- Meinerding, Christoph
- Deutsche Bundesbank
Entstanden
- 2023