IDEAS home Printed from https://ideas.repec.org/a/taf/oaefxx/v8y2020i1p1854948.html
   My bibliography  Save this article

Portfolio design and management through state-based analytics: A probabilistic approach

Author

Listed:
  • Matthew W. Burkett
  • William T. Scherer
  • Andrew Todd
  • Vassilios Papavassiliou

Abstract

This paper presents an innovative new approach to investment portfolio design, which applies a discrete, state-based methodology to defining market states and making asset allocation decisions with respect to both current and future state membership. State membership is based on attributes taken from traditional finance and portfolio theory namely expected growth, and covariance. The transitional dynamics of the derived states are modeled as a Markovian process. Asset weighting and portfolio allocation decisions are made through an optimization-based approach coupled with heuristics that account for the probability of state membership and the quality of the state in terms of information provided.

Suggested Citation

  • Matthew W. Burkett & William T. Scherer & Andrew Todd & Vassilios Papavassiliou, 2020. "Portfolio design and management through state-based analytics: A probabilistic approach," Cogent Economics & Finance, Taylor & Francis Journals, vol. 8(1), pages 1854948-185, January.
    • Handle: RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1854948
    DOI: 10.1080/23322039.2020.1854948
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1080/23322039.2020.1854948
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/23322039.2020.1854948?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:oaefxx:v:8:y:2020:i:1:p:1854948. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/OAEF20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.