Portfolio selection in a two-regime world (Q2630104): Difference between revisions

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+Asymptotic Theory of Certain "Goodness of Fit" Criteria Based on Stochastic Processes
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+Short rate nonlinearities and regime switches.
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+Dynamic asset allocation for varied financial markets under regime switching framework
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+Regime switching in foreign exchange rates: Evidence from currency option prices
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+Portfolio optimization when asset returns have the Gaussian mixture distribution
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+On risk minimizing portfolios under a Markovian regime-switching Black-Scholes economy
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+Portfolio optimization in a regime-switching market with derivatives
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+A regime switching long memory model for electricity prices
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+Autoregressive conditional heteroskedasticity and changes in regime
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+The Efficiency Analysis of Choices Involving Risk
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+Rational-expectations econometric analysis of changes in regime. An investigation of the term structure of interest rates
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+A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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+Stochastic Dominance
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+Forecasting Stock Market Volatility with Regime-Switching GARCH Models
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+Mean-variance approximations to expected utility
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+Regime switching for dynamic correlations
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+Sufficient conditions under which SSD- and MR-efficient sets are identical
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+Is Regime Switching in Stock Returns Important in Portfolio Decisions?
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+Portfolio Selection in the Enlarged Markovian Regime-Switching Market
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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