An optimal portfolio and consumption problem with a benchmark and partial information

Bellalah, Mondher; Zhang, Detao; Zhang, Panpan

doi:10.1007/s11579-022-00330-8

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2023

2024

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Cited by 4 publications

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“…On the back of financial globalization, there seems to be a growing concern about investments in foreign assets, and indeed, there are many existing studies of asset allocation, including foreign assets (e.g., Jorion, 1992;Jin & Zhang, 2012;Bellalah et al, 2023;Blanchett, 2023;Kim et al, 2023;Yang et al, 2023;Yin & Wong, 2023). However, research on the optimal way to invest in equity and dollar assets in Japan seems to be limited.…”

Section: Introductionmentioning

confidence: 99%

Dynamic Optimization for Equity and Dollar Asset: The Case of Japan

Tsuji

2024

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This article examines the time-varying optimal portfolio weights for the two assets denominated in Japanese yen-the Nikkei 225 index and the yen-dollar rate-for four different periods from 1973 to 2023. Using a VAR-bivariate GARCH model and an optimization method, we uncover that in the more recent period, higher portfolio weights for the yen-dollar rate-a dollar asset for Japanese investors-were more efficient in constructing the Japanese equity and dollar asset portfolio.

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