Recursive risk measures under regime switching applied to portfolio selection
定义了体制转换下的条件风险度量，推导出时间一致的多期风险度量，并建立对应的多阶段投资组合选择模型，实证表明该随机框架表现优越。
In this paper, we define the conditional risk measure under regime switching and derive a class of time consistent multi-period risk measures. To do so, we describe the information process with regime switching in a product space associated with the product of two filtrations. Moreover, we show how to establish the corresponding multi-stage portfolio selection models using the time consistent multi-period risk measure for medium-term or long-term investments. Take the conditional value-at-risk measure as an example, we demonstrate the resulting multi-stage portfolio selection problem can be transformed into a second-order cone programming problem. Finally, we carry out a series of empirical tests to illustrate the superior performance of the proposed random framework and the corresponding multi-stage portfolio selection model.