Journal of Korean Institute of Industrial Engineers (대한산업공학회지)

Korean Institute of Industrial Engineers (대한산업공학회)
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Dynamic Asset Allocation by Applying Regime Detection Analysis

Regime 탐지 분석을 이용한 동적 자산 배분 기법

  • Kim, Woo Chang (Industrial and Systems Engineering Department, KAIST)
  • 김우창 (KAIST 산업및시스템공학과)
  • Received : 2012.11.06
  • Accepted : 2012.11.20
  • Published : 2012.12.01
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Abstract

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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References

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