Dynamic asset allocation strategy: an economic regime approach
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DOI: 10.1057/s41260-022-00296-8
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Cited by:
- Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Regime-Aware Asset Allocation: a Statistical Jump Model Approach," Papers 2402.05272, arXiv.org.
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More about this item
Keywords
Dynamic asset allocation strategy; Economic regimes; $$l _{1}$$ l 1 trend filtering;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- E32 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Business Fluctuations; Cycles
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