Market timing in parametric portfolio policies
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Publication:5866976
DOI10.1142/S0219024922500182zbMATH Open1498.91403OpenAlexW4283019893MaRDI QIDQ5866976FDOQ5866976
Authors: Carlos Osorio, Thorsten Poddig, Christian Fieberg, Michael Olschewsky, Michael Falge 
Publication date: 22 September 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024922500182
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Cites Work
- Correction to “Automatic Block-Length Selection for the Dependent Bootstrap” by D. Politis and H. White
- Automatic Block-Length Selection for the Dependent Bootstrap
- The Stationary Bootstrap
- Common risk factors in the returns on stocks and bonds
- Prospect Theory: An Analysis of Decision under Risk
- Computing efficient frontiers using estimated parameters
Cited In (5)
- Pitfalls in market timing test
- Market timing with option-implied distributions: A forward-looking approach
- The Performance of Market Timing Measures in a Simulated Environment *
- Minimizing the Expected Market Time to Reach a Certain Wealth Level
- Timing portfolio strategies with exponential Lévy processes
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