This paper solves the portfolio selection problem with regime switching and asymmetric dependence in financial markets. Investors sustain substantial loss in times of crisis and expect to reduce their losses. Thus, we consider the uncertainty in hidden states of the economy and define worst-case conditional value-at-risk (WCVaR) to capture extreme portfolio loss during financial crisis. Then, we formulate the portfolio selection problem with WCVaR as the measure of risk. We conduct an empirical study using 13 global equity indices. The results show that for dynamic investments, or during financial crisis, our model outperforms other models that only consider a fixed dependence structure between assets. This is because our model can significantly reduce extreme portfolio loss in times of crisis by selecting the assets with small lower tail dependence. This new portfolio strategy can help risk-averse investors cope with financial crisis.

本文通过制度转换和不对称依赖来解决金融市场中的投资组合选择问题。投资者在危机时期蒙受重大损失，并期望减少损失。因此，我们考虑了经济隐藏状态下的不确定性，并定义了最坏情况的有条件风险值（WCVaR），以捕获金融危机期间的极端投资组合损失。然后，我们用WCVaR作为风险度量来制定投资组合选择问题。我们使用13个全球股票指数进行了实证研究。结果表明，对于动态投资或在金融危机期间，我们的模型优于仅考虑资产之间固定依赖结构的其他模型。这是因为我们的模型可以通过选择具有较低下尾依赖的资产来显着减少危机时期的极端投资组合损失。这种新的投资组合策略可以帮助规避风险的投资者应对金融危机。