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Regime switching based portfolio selection for pension funds · Study

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ArticleRegime switching based portfolio selection for pension funds

Karl Frauendorfer2007

Article2007

Regime switching based portfolio selection for pension funds

Karl Frauendorfer · Ulrich Jacoby · Alvin Schwendener

27 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Financial Literacy, Pension, Retirement Analysis Stochastic processes and financial applications

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References

1952PORTFOLIO SELECTION*1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 2007Brownian Motion and Stochastic Calculus 1976Option pricing when underlying stock returns are discontinuous 1952Portfolio Selection 1996Modeling the conditional distribution of interest rates as a regime-switching process 1995Predictable Risk and Returns in Emerging Markets 1994Predictable Risk and Returns in Emerging Markets

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2008Predicting the bear stock market: Macroeconomic variables as leading indicators

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Year2007

Typearticle

Published2007-02-17

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations27

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2007.02.003

openalex_workW2021098203

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