Читать книгу Asset Allocation - William Kinlaw, Mark P. Kritzman - Страница 33

 Rather than characterizing returns as coming from a single, stable regime, it might be more realistic to assume they are generated by disparate regimes such as a calm regime and a turbulent regime.

 Investors may wish to build portfolios that are more resilient to turbulent regimes by employing stability-adjusted optimization, which relies more on relatively stable covariances than on unstable covariances, or by blending the covariances from calm and turbulent subsamples in a way that places greater emphasis on covariances that prevailed during turbulent regimes.

 These approaches produce static portfolios, which still display unstable risk profiles.

 Investors may instead prefer to manage a portfolio's asset mix dynam- ically, by switching to defensive asset classes during turbulent periods and to aggressive asset classes during calm periods.

 It has been shown that hidden Markov models are effective at distin-guishing between calm and turbulent regimes by accounting for the level, volatility, and persistence of the regime characteristics.