Dynamic Asset Allocation Using Systematic Sector Rotation

Optimal Asset Allocation using Adaptive Dynamic Programming

In recent years, the interest of investors has shifted to computerized asset allocation (portfolio management) to exploit the growing dynamics of the capital markets. In this paper, asset allocation is formalized as a Markovian Decision Problem which can be optimized by applying dynamic programming or reinforcement learning based algorithms. Using an artificial exchange rate, the asset allocati...

Dynamic asset allocation techniques

Investment strategy is often static, punctuated by infrequent reviews. For most long-term investors, this practice results in large risks being taken that could otherwise be managed with a more dynamic investment policy. The bulk of this paper is aimed at analysing and describing two multi-period investment strategy problems – in order to derive potential dynamic strategies. Along the way, we s...

Dynamic Asset Allocation ∗ Claus

Dynamic Asset Allocation Strategies Using a Stochastic Dynamic Programming Approach∗

A major investment decision for individual and institutional investors alike is to choose between different asset classes, i.e., equity investments and interest-bearing investments. The asset allocation decision determines the ultimate risk and return of a portfolio. The asset allocation problem is frequently addressed either through a static analysis, based on Markowitz’ mean-variance model, o...

Risk Sensitive Dynamic Asset Allocation

This paper develops a continuous time portfolio optimization model where the mean returns of individual securities or asset categories are explicitly affected by underlying economic factors such as dividend yields, a firm's ROE, interest rates, and unemployment rates. The factors are Gaussian processes, and the drift coefficients for the securities are aEne hnctions of these factors. We employ ...