Dynamic Asset Allocation under Stochastic Volatility - Theory and Practice
Chung-Gee Lin 0
0Department of Business Mathematics, Soochow University.
Available Online October 2006.
- https://doi.org/10.2991/jcis.2006.93How to use a DOI?
- asset allocation, stochastic volatility, transaction cost
- 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.
- 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 -