IDEAS home Printed from https://ideas.repec.org/r/nbr/nberwo/10080.html

How do Regimes Affect Asset Allocation?

Citations

Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
as


Cited by:

  1. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  2. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
  3. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
  4. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Downside risk reduction using regime-switching signals: a statistical jump model approach," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 493-507, September.
  5. Oscar V. Torre-Torres & Leticia Bollain‑Parra & Amador Durán-Sánchez, 2025. "The use of Markov-Switching GARCH models in a Mexican rice spot price hedging algorithm with CME rice futures," Quality & Quantity: International Journal of Methodology, Springer, vol. 59(3), pages 2253-2283, June.
  6. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  7. Chae, Joon & Lee, Eun Jung, 2018. "Distribution uncertainty and expected stock returns," Finance Research Letters, Elsevier, vol. 25(C), pages 55-61.
  8. Jeremy Eng-Tuck Cheah & Thong Dao & Haozhe Su, 2024. "Measuring cryptocurrency moment convergence using distance analysis," Annals of Operations Research, Springer, vol. 332(1), pages 533-577, January.
  9. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
  10. Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012. "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center 2012-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  11. Xinyang Li, 2025. "Tail risk and Flight-to-Safety," Journal of Asset Management, Palgrave Macmillan, vol. 26(4), pages 386-410, July.
  12. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  13. Yuanrong Wang & Tomaso Aste, 2021. "Dynamic Portfolio Optimization with Inverse Covariance Clustering," Papers 2112.15499, arXiv.org, revised Jan 2022.
  14. Aymen Ben Rejeb & Adel Boughrara, 2014. "The relationship between financial liberalization and stock market volatility: the mediating role of financial crises," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(1), pages 46-70, March.
  15. Xianglong Li & Jianjun Chen & Xiangxing Tao & Yanting Ji, 2025. "Regime-Switching Asset Allocation Using a Framework Combing a Jump Model and Model Predictive Control," Mathematics, MDPI, vol. 13(17), pages 1-20, September.
  16. Oscar V. De la Torre-Torres & María de la Cruz del Río-Rama & Álvarez-García José, 2024. "Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado," Agriculture, MDPI, vol. 14(10), pages 1-28, September.
  17. Yuling Max Chen & Bin Li & David Saunders, 2025. "Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics," Papers 2501.16659, arXiv.org.
  18. Peter Nystrup & Henrik Madsen & Erik Lindström, 2018. "Dynamic portfolio optimization across hidden market regimes," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 83-95, January.
  19. Wang, Yuanrong & Aste, Tomaso, 2023. "Dynamic portfolio optimization with inverse covariance clustering," LSE Research Online Documents on Economics 117701, London School of Economics and Political Science, LSE Library.
  20. Yin Luo & Sheng Wang & Javed Jussa, 2025. "Dynamic allocation: extremes, tail dependence, and regime Shifts," Papers 2506.12587, arXiv.org.
  21. Mili, Mehdi, 2012. "Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach," Economics Discussion Papers 2012-33, Kiel Institute for the World Economy (IfW Kiel).
  22. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.
  23. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  24. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
  25. Ravi Kashyap, 2024. "The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement," Papers 2408.07271, arXiv.org.
  26. Elizabeth Fons & Paula Dawson & Jeffrey Yau & Xiao-jun Zeng & John Keane, 2019. "A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing," Papers 1902.10849, arXiv.org.
  27. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2025. "Dynamic asset allocation with asset-specific regime forecasts," Annals of Operations Research, Springer, vol. 346(1), pages 285-318, March.
  28. Deborah Miori & Mihai Cucuringu, 2022. "Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes," Papers 2209.00268, arXiv.org, revised Sep 2022.
  29. Jonathan Tuck & Shane Barratt & Stephen Boyd, 2021. "Portfolio Construction Using Stratified Models," Papers 2101.04113, arXiv.org, revised Feb 2021.
  30. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
  31. Roy Cerqueti & Carmine da Fermo & Marco Nicolosi, 2024. "Probabilities of transitions among endogenous regimes in asset returns and Environmental, Social and Governance scores," Post-Print hal-05114157, HAL.
  32. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.