Regime-Based Strategic Asset Allocation
研究了在经济体制存在的情况下如何进行战略资产配置，通过将体制建模为分布混合，提出了利用宏观经济体制信息构建投资组合的新方法，实证表明基于体制的组合优于传统资产组合。
We address the question of strategic asset allocation in the presence of economic regimes. Modeling regimes as a mixture of distributions, we investigate the implications for portfolios built under popular asset allocation methodologies (mean-variance optimization, risk budgeting). Using these analytical results, we define new portfolio construction methodologies that exploit the information in macroeconomic (macro) regimes through the composition of optimal portfolios for each regime, the risk structure of these portfolios, and the long-term probability of the regimes. Our findings have practical implications, as we empirically show that macro regime-based portfolios can outperform traditional asset-based portfolios.