Dynamic Asset Allocation by Applying Regime Detection Analysis Regime 탐지 분석을 이용한 동적 자산 배분 기법

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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
Publisher
대한산업공학회
Issue Date
2012-12
Language
Korean
Citation

대한산업공학회지, v.38, no.4, pp.258 - 261

ISSN
1225-0988
URI
http://hdl.handle.net/10203/102580
Appears in Collection
IE-Journal Papers(저널논문)
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