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Markov-switching asset allocation: Do profitable strategies exist? · Study

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ArticleMarkov-switching asset allocation: Do profitable strategies exist?

Jan Bulla2011

Article2011

Markov-switching asset allocation: Do profitable strategies exist?

Jan Bulla · Sascha Mergner · Ingo Bulla · André Sesboüé · Christophe Chesneau

59 citations·0/0 files stored·Journal of Asset Management

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Financial Markets and Investment Strategies Financial Risk and Volatility Modeling Risk and Portfolio Optimization

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References

1997On Persistence in Mutual Fund Performance 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle 1989Why Does Stock Market Volatility Change Over Time?2002International Asset Allocation With Regime Shifts 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1989A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market 1991Determinants of Portfolio Performance II: An Update 1998Stylized facts of daily return series and the hidden Markov model

Cited by

2017Dynamic portfolio optimization across hidden market regimes 2018Multi-period portfolio selection with drawdown control 2017Multiple risk measures for multivariate dynamic heavy–tailed models 2015Regime-Based Versus Static Asset Allocation: Letting the Data Speak 2022Forecasting Stock Market Crashes via Machine Learning 2017Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets

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2011Markov Switching Models in Empirical Financechapter · 7 shared references 2010Is Regime Switching in Stock Returns Important in Portfolio Decisions?article · 6 shared references 2010Hidden Markov models withtcomponents. Increased persistence and other aspectsarticle · 6 shared references 2017Multiple risk measures for multivariate dynamic heavy–tailed modelsarticle · 6 shared references 2006The Effect of Market Regimes on Style Allocationarticle · 6 shared references 2006Testing for financial spillovers in calm and turbulent periodsarticle · 6 shared references

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Year2011

Typearticle

Published2011-03-03

VenueJournal of Asset Management

ISSN-L1470-8272

Languageen

Citations59

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.1057/jam.2010.27

openalex_workW2166320136

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