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Markov-switching asset allocation: Do profitable strategies exist?

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2017Dynamic portfolio optimization across hidden market regimes65 cited
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2017Multiple risk measures for multivariate dynamic heavy–tailed models44 cited

2015Regime-Based Versus Static Asset Allocation: Letting the Data Speak39 cited

2022Forecasting Stock Market Crashes via Machine Learning39 cited

2017Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets29 cited