Strategic asset allocation with switching dependence

DOI10.1007/S10436-011-0183-9zbMath1298.91138OpenAlexW2121113130MaRDI QIDQ470426

Renaud MacGilchrist, Donatien Hainaut

Publication date: 12 November 2014

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-011-0183-9

zbMATH Keywords

copulaswitching regime

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (6)

How do capital structure and economic regime affect fair prices of bank's equity and liabilities? ⋮ Impulse control of pension fund contributions, in a regime switching economy ⋮ A bivariate mutually-excited switching jump diffusion (BMESJD) for asset prices ⋮ A switching self-exciting jump diffusion process for stock prices ⋮ A switching microstructure model for stock prices ⋮ An intensity model for credit risk with switching Lévy processes

Cites Work

• Regime switching for dynamic correlations
• An introduction to copulas. Properties and applications
• Extreme Financial Risks
• A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
• The Use of Archimedean Copulas to Model Portfolio Allocations
• Families of Multivariate Distributions

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