Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon
在马尔可夫机制转换框架下研究动态投资组合选择和跨期对冲问题，发现最优权重取决于当前机制，且跨期对冲需求在某些机制中存在而在其他机制中不存在。
This paper investigates the questions of dynamic portfolio selection and intertemporal hedging within a Markovian regime‐switching framework. The investment opportunity set is spanned by a well‐diversified home‐market portfolio and the risk‐free asset. Our results highlight the economic importance of regimes, as optimal portfolio weights are clearly dependent on the prevailing regime. We present evidence that the question of intertemporal hedging is a more complex issue than is hinted in the previous literature, since demand for intertemporal hedging is present in some regimes, but not in others. Finally, our main findings are qualitatively unchanged across the four largest stock markets in the world.