Macroeconomic Regime Dependent Portfolio Construction using real world GDP and CPI data
Year: 2025
Type: dissertation
Abstract: The code script narrates the modelling of a regime dependent portfolio which is flexible between real macro-economic regimes which were prevalent between Feb 2004 - Nov 2024. The macro variables used are GDP and CPI over the same duration. Portfolio are rotated variably across regimes between bond asset classes (UK, US, Europe, China and Australia). The code extends further to perform a comparative analysis of the optimal portfolios as per regime in an efficient frontier and contrasts the risk-adjusted performance metrics between the overall macro-dependent portfolio and the actual portfolio in the last 60-months of the observation window
Author: KIHEKA, JESSE
Language: English
Field: Decision Sciences
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W6930878808
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