Asset allocation under multivariate regime switching

DOI10.1016/j.jedc.2006.12.004zbMath1163.91399MaRDI QIDQ1027430

Massimo Guidolin, Allan G. Timmermann

Publication date: 1 July 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: http://research.stlouisfed.org/wp/2005/2005-002.pdf

zbMATH Keywords

regime switching; predictability; portfolio choice

Mathematics Subject Classification ID

91G10: Portfolio theory

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