Dynamic Asset Allocation under Market Regime Uncertainty: A Markov Decision Process Approach
“Early foundational work (Hamilton 1989) introduced regime-switching for macro/returns; Ang and Bekaert (2002) were among the first to apply regime-switching to portfolio allocation, initially with observable regimes.”
AssetMulti-assetETFs, bonds
StrategyMacro signalsportfolio optimization
TechniqueReinforcement learningstate-space model
GeographyEurope
Also stated: Sharpe ratio, Excess return, Drawdown, costs
Missing from abstract: benchmark, out-of-sample test, multiple testing, universe
Institutional-grade audit of this strategy.
£5 — Request the audit- Audit of the paper claims accounting for costs, luck, crises, originality, geography, etc.
- Reproduction code integratable into Bloomberg, IBKR, etc.
- Bias-free datasets for backtesting included
- Delivered in 2 working days
The paper's neighbourhoodMacro signals and regime strategies by year
The family is counted across the whole universe. Asset, method and authors are counted inside the family.
| Similar papers | citation | same method | same asset | same authors | |
|---|---|---|---|---|---|
| Racing the benchmark: competition and robust risk-taking in financial markets by Pan | 2026 | ||||
| Adaptive Portfolio Positioning under Market Volatility: A Forward-Looking Regime-Switching Approach Using the VIX Term Structure by Liu | 2026 | ||||
| Tactical Asset Allocation with Macroeconomic Regime Detection by Oliveira et al. | 2025 | ||||
| The Indicators of Stock Market Macro Turning Points During Global Financial Crisis - Application to Dynamic Asset Allocation Investment Strategy Using Index and Exchange Traded Funds by Bijak | 2012 | ||||
| When to Pick the Losers: Do Sentiment Indicators Improve Dynamic Asset Allocation? by Basu et al. | 2006 |