Proceedings of the 9th Joint International Conference on Information Sciences (JCIS-06)

Dynamic Asset Allocation under Stochastic Volatility - Theory and Practice

Authors
Chung-Gee Lin 0
Corresponding Author
Chung-Gee Lin
0Department of Business Mathematics, Soochow University.
Available Online October 2006.
DOI
https://doi.org/10.2991/jcis.2006.93How to use a DOI?
Keywords
asset allocation, stochastic volatility, transaction cost
Abstract
This study develops inter-temporal dynamic asset allocation with stochastic volatility (DAASV) models. The DAASV models integrate the stochastic volatility feature inherent in asset returns into the allocation procedure. By applying the DAASV, an investor can more efficiently diversify the unsystematic risks, so as to achieve better performance. We demonstrate that the DAASV models dominate the traditional mean-variance portfolio models by using Taiwan equity market empirical data. Finally, we show that under the consideration of trade-off between transaction costs and rebalancing timing, an optimal asset allocation rebalancing frequency can be derived.
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Proceedings
9th Joint International Conference on Information Sciences (JCIS-06)
Part of series
Advances in Intelligent Systems Research
Publication Date
October 2006
ISBN
978-90-78677-01-7
ISSN
1951-6851
DOI
https://doi.org/10.2991/jcis.2006.93How to use a DOI?
Open Access
This is an open access article distributed under the CC BY-NC license.

Cite this article

TY  - CONF
AU  - Chung-Gee Lin
PY  - 2006/10
DA  - 2006/10
TI  - Dynamic Asset Allocation under Stochastic Volatility - Theory and Practice
BT  - 9th Joint International Conference on Information Sciences (JCIS-06)
PB  - Atlantis Press
SN  - 1951-6851
UR  - https://doi.org/10.2991/jcis.2006.93
DO  - https://doi.org/10.2991/jcis.2006.93
ID  - Lin2006/10
ER  -