Portfolio selection under changing market conditions
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- Johannes Hauptmann & Anja Hoppenkamps & Aleksey Min & Franz Ramsauer & Rudi Zagst, 2014. "Forecasting market turbulence using regime-switching models," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 28(2), pages 139-164, May.
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KeywordsMarkov switching; portfolio selection; financial crisis; market conditions; portfolio optimisation; performance measures; risk management; turbulent markets.;
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