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http://dx.doi.org/10.7232/JKIIE.2012.38.4.258

Dynamic Asset Allocation by Applying Regime Detection Analysis  

Kim, Woo Chang (Industrial and Systems Engineering Department, KAIST)
Publication Information
Journal of Korean Institute of Industrial Engineers / v.38, no.4, 2012 , pp. 258-261 More about this Journal
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.
Keywords
Asset Allocation; Regime Detection; Machine Learning;
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  • Reference
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