Log Mean-Variance Portfolio Selection Under Regime Switching
No abstract is available for this item.
Volume (Year): 18 (2011)
Issue (Month): 2 (May)
|Contact details of provider:|| Web page: http://www.springer.com|
Web page: http://www.jafee.gr.jp/
|Order Information:||Web: http://www.springer.com/finance/journal/10690/PS2|
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Timmermann, Allan, 2000.
"Moments of Markov switching models,"
Journal of Econometrics,
Elsevier, vol. 96(1), pages 75-111, May.
- Allan Timmermann, 1999. "Moments of Markov Switching Models," FMG Discussion Papers dp323, Financial Markets Group.
- Jin-Chuan Duan & Ivilina Popova & Peter Ritchken, 2002. "Option pricing under regime switching," Quantitative Finance, Taylor & Francis Journals, vol. 2(2), pages 116-132.
- Hamilton, James D, 1989. "A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle," Econometrica, Econometric Society, vol. 57(2), pages 357-384, March.
- Campbell, John Y. & Viceira, Luis M., 2002. "Strategic Asset Allocation: Portfolio Choice for Long-Term Investors," OUP Catalogue, Oxford University Press, number 9780198296942, April.
- Hamilton, James D., 1990. "Analysis of time series subject to changes in regime," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 39-70.
- Psaradakis, Zacharias & Sola, Martin, 1998. "Finite-sample properties of the maximum likelihood estimator in autoregressive models with Markov switching," Journal of Econometrics, Elsevier, vol. 86(2), pages 369-386, June.
- Luenberger, David G., 1993. "A preference foundation for log mean-variance criteria in portfolio choice problems," Journal of Economic Dynamics and Control, Elsevier, vol. 17(5-6), pages 887-906. Full references (including those not matched with items on IDEAS)
When requesting a correction, please mention this item's handle: RePEc:kap:apfinm:v:18:y:2011:i:2:p:213-229. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sonal Shukla)or (Rebekah McClure)
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.