Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon
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- Graflund, Andreas & Nilsson, Birger, 2002. "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers 2002:8, Lund University, Department of Economics.
References listed on IDEAS
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- Bulla, Jan & Mergner, Sascha & Bulla, Ingo & Sesboüé, André & Chesneau, Christophe, 2010. "Markov-switching Asset Allocation: Do Profitable Strategies Exist?," MPRA Paper 21154, University Library of Munich, Germany.
- Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004. "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management ERS-2004-027-F&A, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam.
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- Kung, James J., 2009. "A two-asset stochastic model for long-term portfolio selection," Mathematics and Computers in Simulation (MATCOM), Elsevier, vol. 79(10), pages 3089-3098.
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- Levy, Moshe & Kaplanski, Guy, 2015. "Portfolio selection in a two-regime world," European Journal of Operational Research, Elsevier, vol. 242(2), pages 514-524.
More about this item
- C15 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Statistical Simulation Methods: General
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
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