Simple VARs cannot approximate Markov switching asset allocation decisions: an out-of-sample assessment

DOI10.1016/J.CSDA.2010.10.006MaRDI QIDQ1927136zbMATH OpenOpenAlexFDO

Authors Massimo Guidolin, Stuart Hyde

Publication date 30 December 2012

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2010.10.006

zbMATH Keywords

Markov switchingout-of-sample performancepredictabilitystrategic asset allocationvector autoregressive models

Mathematics Subject Classification ID

Portfolio theory (91G10)

Recommendations

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Cites work

• Asset allocation under multivariate regime switching
• Business cycle asymmetries in stock returns: evidence from higher order moments and conditional densities
• Forecast comparison of principal component regression and principal covariate regression
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Intradaily dynamic portfolio selection
• Stock and bond return predictability: the discrimination power of model selection criteria
• Strategic asset allocation

Cited in

(6)

• Asset allocation with correlation: a composite trade-off
• Portfolio selection in a data-rich environment
• Can long-run dynamic optimal strategies outperform fixed-mix portfolios? Evidence from multiple data sets
• Markov switching in portfolio choice and asset pricing models: a survey
• Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data
• Multivariate Markov switching Stingo, Francesco Claudio models: filtering, estimation and data analysis

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