IIMA Institutional Repository
This Institutional Repository has been created to collect, preserve and distribute the scholarly output of Indian Institute of Management, Ahmedabad. This will work as an important tool to facilitate scholarly communication and preserve the institution knowledge. The Vikram Sarabhai Library is proud to be hosting the repository for the dissemination and preservation of this valuable knowledge resource of the IIMA community.
Please use this identifier to cite or link to this item:
http://hdl.handle.net/11718/12157| Title: | Detection of regime change and dynamic portfolio allocation |
| Authors: | Dhageya, Jitendra K. Bhattacharya, Utso |
| Keywords: | Portfolio allocation;Dynamic portfolio |
| Issue Date: | 2006 |
| Publisher: | Indian Institute of Management Ahmedabad |
| Series/Report no.: | SP;1294 |
| Abstract: | Dynamic portfolio optimization is extremely important. In this paper, we carry out a comprehensive study of sliding mode and dynamic portfolio allocation , and try to develop a model of dynamic portfolio optimization . Two models are developed, verified and compared using three distinct examples. Basic ground work for applying the model to portfolios with more than two stocks is established. |
| URI: | http://hdl.handle.net/11718/12157 |
| Appears in Collections: | Student Projects |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| SP_2006_1294.pdf Restricted Access | SP_2006_1294 | 721.95 kB | Adobe PDF | View/Open Request a copy |
Items in IIMA Institutional Repository are protected by copyright, with all rights reserved, unless otherwise indicated.