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Quantitative Finance Volume 11, 2011 - Issue 10: Themed Issue on Asset Allocation
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Research Papers

Long-term strategic asset allocation with inflation risk and regime switching

Tak Kuen Siu Department of Actuarial Studies, Faculty of Business and Economics, Macquarie University, Sydney, NSW 2109, AustraliaCorrespondence[email protected]
Pages 1565-1580 | Received 25 Aug 2008, Accepted 18 May 2009, Published online: 02 Nov 2009

Citations (24)

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Read on this site (3)

Ning Wang, Zhuo Jin, Tak Kuen Siu & Ming Qiu. (2021) Household consumption-investment-insurance decisions with uncertain income and market ambiguity. Scandinavian Actuarial Journal 2021:10, pages 832-865.
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Juan Li & Dengfeng Xia. (2019) The optimal investment strategy under the disordered return and random inflation. Systems Science & Control Engineering 7:3, pages 82-93.
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Massimo Guidolin & Stuart Hyde. (2014) Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data. Quantitative Finance 14:12, pages 2135-2153.
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Articles from other publishers (21)

Nick James, Max Menzies & Kevin Chin. (2022) Economic state classification and portfolio optimisation with application to stagflationary environments. Chaos, Solitons & Fractals 164, pages 112664.
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Nick James & Kevin Chin. (2022) On the systemic nature of global inflation, its association with equity markets and financial portfolio implications. Physica A: Statistical Mechanics and its Applications 593, pages 126895.
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Yu-Song Zhang, Chen Fei, Hai-Feng Pan & Jian Huang. (2022) Optimal Consumption, Leisure and Job Choice under Inflationary Environment. Journal of the Operations Research Society of China.
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Giuliano Curatola. (2022) Price impact, strategic interaction and portfolio choice. The North American Journal of Economics and Finance 59, pages 101594.
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Chen Fei, Weiyin Fei, Fanhong Zhang & Xiaoguang Yang. (2022) Agent’s Optimal Compensation Under Inflation Risk by Using Dynamic Contract Model. Journal of Systems Science and Complexity 34:6, pages 2291-2309.
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Sini Guo & Wai-Ki Ching. (2021) High-order Markov-switching portfolio selection with capital gain tax. Expert Systems with Applications 165, pages 113915.
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Sini Guo, Wai-Ki Ching, Wai-Keung Li, Tak-Kuen Siu & Zhiwen Zhang. (2020) Fuzzy hidden Markov-switching portfolio selection with capital gain tax. Expert Systems with Applications 149, pages 113304.
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Xin Zhang & Xiaoxiao Zheng. (2019) Optimal Investment-Reinsurance Policy with Stochastic Interest and Inflation Rates. Mathematical Problems in Engineering 2019, pages 1-14.
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TAK KUEN SIU & ROBERT J. ELLIOTT. (2019) HEDGING OPTIONS IN A DOUBLY MARKOV-MODULATED FINANCIAL MARKET VIA STOCHASTIC FLOWS. International Journal of Theoretical and Applied Finance 22:08, pages 1950047.
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Tak Kuen Siu, Jinxia Zhu & Hailiang Yang. (2019) A martingale approach for asset allocation with derivative security and hidden economic risk. Journal of Applied Probability 56:3, pages 723-749.
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Dong-Mei Zhu, Jiejun Lu, Wai-Ki Ching & Tak-Kuen Siu. (2017) Option Pricing Under a Stochastic Interest Rate and Volatility Model with Hidden Markovian Regime-Switching. Computational Economics 53:2, pages 555-586.
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Vikram Krishnamurthy, Elisabeth Leoff & Jörn Sass. (2018) Filterbased stochastic volatility in continuous-time hidden Markov models. Econometrics and Statistics 6, pages 1-21.
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Yang Shen & Tak Kuen Siu. (2017) Consumption-portfolio optimization and filtering in a hidden Markov-modulated asset price model. Journal of Industrial & Management Optimization 13:1, pages 23-46.
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Dong-Mei Zhu, Yue Xie, Wai-Ki Ching & Tak-Kuen Siu. (2016) Optimal portfolios with maximum Value-at-Risk constraint under a hidden Markovian regime-switching model. Automatica 74, pages 194-205.
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Zongxia Liang & Xiaoyang Zhao. (2016) Optimal mean–variance efficiency of a family with life insurance under inflation risk. Insurance: Mathematics and Economics 71, pages 164-178.
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Jingzhen Liu, Ka Fai Cedric Yiu & Alain Bensoussan. (2015) The optimal mean variance problem with inflation. Discrete and Continuous Dynamical Systems - Series B 21:1, pages 185-203.
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Tak Kuen Siu. (2015) A Stochastic Flows Approach for Asset Allocation with Hidden Economic Environment. International Journal of Stochastic Analysis 2015, pages 1-11.
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Minsuk Kwak & Byung Hwa Lim. (2014) Optimal portfolio selection with life insurance under inflation risk. Journal of Banking & Finance 46, pages 59-71.
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Agostino Capponi & José E. Figueroa-López. (2014) DYNAMIC PORTFOLIO OPTIMIZATION WITH A DEFAULTABLE SECURITY AND REGIME-SWITCHING. Mathematical Finance 24:2, pages 207-249.
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Yang Shen & Tak Kuen Siu. (2012) Asset allocation under stochastic interest rate with regime switching. Economic Modelling 29:4, pages 1126-1136.
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Jun Cai & Chenliang Ge. (2012) Multi-objective private wealth allocation without subportfolios. Economic Modelling 29:3, pages 900-907.
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