Asset Allocation With Regime-Switching: Discrete-Time Case

ASTIN Bulletin - United Kingdom
doi 10.1017/s0515036100013908
Full Text
Abstract

Available in full text

Date
Authors
Publisher

Cambridge University Press (CUP)

Related search

Asset Allocation Under Multivariate Regime Switching

Journal of Economic Dynamics and Control
ControlApplied MathematicsOptimizationEconometricsEconomics
2007English

A Markov Regime-Switching Model With Time-Varying Transition Probabilities for Identifying Asset Price Bubbles

International Journal of Economics and Finance
2018English

Dynamic Asset Allocation With Regime Shifts and Long Horizon CVaR-Constraints

SSRN Electronic Journal
2013English

Optimal International Asset Allocation With Time-Varying Risk

Scottish Journal of Political Economy
EconomicsSociologyEconometricsPolitical Science
2006English

Asset Allocation, Time Diversification and Portfolio Optimization for Retirement

Technology and Investment
2011English

Time-Varying Transition Probabilities for Markov Regime Switching Models

Journal of Time Series Analysis
UncertaintyApplied MathematicsStatisticsProbability
2016English

Dynamic Asset Allocation With Ambiguous Return Predictability

Review of Economic Dynamics
EconomicsEconometrics
2014English

Optimal Financing and Dividend Strategies With Time Inconsistency in a Regime Switching Economy

Complexity
MultidisciplinaryComputer Science
2019English

Real Options With Priced Regime-Switching Risk

International Journal of Theoretical and Applied Finance
EconomicsEconometricsFinance
2013English

Amanote Research

Note-taking for researchers

Follow Amanote

© 2024 Amaplex Software S.P.R.L. All rights reserved.

Privacy PolicyRefund Policy