Constrained portfolio strategies in a regime-switching economy
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Publisher
Springer Science and Business Media LLC
Link
https://link.springer.com/content/pdf/10.1007/s11408-022-00414-x.pdf
Reference31 articles.
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3. Bulla, J., Mergner, S., Bulla, I., Sesboüé, A., Chesneau, C.: Markov-switching asset allocation: do profitable strategies exist? J. Asset Manag. 12(5), 310–321 (2011). https://doi.org/10.1057/jam.2010.27
4. Campani, C.H., Garcia, R.: Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. N. Am. J. Econ. Finance 48, 364–384 (2019). https://doi.org/10.1016/j.najef.2019.03.005
5. Campani, C.H., Garcia, R., Lewin, M.: Optimal portfolio strategies in the presence of regimes in asset returns. J. Bank. Finance 123(106030), 1–17 (2021). https://doi.org/10.1016/j.jbankfin.2020.106030
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