Asset allocation under multivariate regime switching
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Publication:1027430
DOI10.1016/j.jedc.2006.12.004zbMath1163.91399OpenAlexW3122672345MaRDI 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
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Cites Work
- Term structure of risk under alternative econometric specifications
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Strategic asset allocation
- Risk sensitive asset allocation
- Moments of Markov switching models
- Multifrequency jump-diffusions: An equilibrium approach
- A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
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