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We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching ...
May 3, 2022 · This paper develops an innovative regime switching multi-factor model accounting for the different regime switching behaviors in the systematic and ...
In this paper, we develop a single period Mean Variance. Optimization model that minimizes the variance of a portfolio subject to a specified expected return by ...
Feb 7, 2024 · This article investigates the impact of regime switching on asset allocation decisions, with a primary focus on comparing different regime identification ...
This paper studies asset allocation decisions in the presence of regime switching in asset returns. We find evidence that four separate regimes
Abstract—We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models includ-.
First, we develop a flexible regime switching model that captures time-variations in the covariance, co-skewness and co-kurtosis risk of international stock.
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Asset Allocation under Regime-Switching Models. from tradingtechai.medium.com
Aug 25, 2024 · This advanced Python tutorial will guide you through the theory and implementation of regime-switching models.
We discuss an optimal asset allocation problem in a wide class of discrete-time regime-switching models including the hidden Markovian regime-switching ...
These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, and hence should be ...