Optimal consumption-investment with coupled constraints on consumption and investment strategies in a regime switching market with random coefficients
“We provide explicit optimal consumption-investment strategies and optimal values for the problems in terms of the solutions to some diagonally quadratic backward stochastic differential equation (BSDE) systems and linear BSDE systems with unbound coefficients.”
StrategyMacro signals
TechniqueState-space modelmathematical derivation
Missing from abstract: benchmark, out-of-sample test, costs, 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
FamilyMacro signals and regime strategies49Momentum and trend following289Factor investing240Machine learning return prediction15318 more · 953
AssetEquities25
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 | |
|---|---|---|---|---|---|
| Adaptive Portfolio Positioning under Market Volatility: A Forward-Looking Regime-Switching Approach Using the VIX Term Structure by Liu | 2026 | ||||
| Racing the benchmark: competition and robust risk-taking in financial markets by Pan | 2026 | ||||
| Dynamic Asset Allocation under Market Regime Uncertainty: A Markov Decision Process Approach by Sood | 2026 | ||||
| Dynamic Factor Allocation via Momentum-Based Regime Switching by Tai et al. | 2026 | ||||
| Effects of Monsoon on Indian Stock Market by Pandey et al. | 2026 |