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Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching · Study

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PreprintStrategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

Massimo Guidolin2004

OA

Preprintgreen2004

Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switching

Massimo Guidolin · Allan Timmermann

36 citations·0/0 files stored·SSRN Electronic Journal

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks 1992ARCH modeling in finance 1989Business conditions and expected returns on stocks and bonds 1988The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1988Dividend yields and expected stock returns 1986The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors 1985Stock Returns and the Term Structure

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2006Asset Allocation Under Multivariate Regime Switchingpreprint · 40 shared references 2005International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferencespreprint · 33 shared references 2007Size and Value Anomalies under Regime Shiftsarticle · 30 shared references 2006Optimal Value and Growth Tilts in Long-Horizon Portfoliosarticle · 27 shared references 2007Asset allocation under multivariate regime switchingarticle · 26 shared references 2008International asset allocation under regime switching, skew, and kurtosis preferencesarticle · 24 shared references

Details

Year2004

Typepreprint

Published2004-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations36

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.613461

openalex_workW1537998077

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