3 papers
q-fin.PM2024
Dynamic Factor Allocation Leveraging Regime-Switching Signals
Yizhan Shu, John M. Mulvey
This article explores dynamic factor allocation by analyzing the cyclical performance of factors through regime analysis. The authors focus on a U.S. equity investment universe com…
q-fin.PM2024
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We hig…
q-fin.PM2024
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forec…