Markov-switching asset allocation: Do profitable strategies exist?-Reference-Cited by-同舟云学术

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Markov-switching asset allocation: Do profitable strategies exist?

Published:2011-03-03 Issue:5 Volume:12 Page:310-321
ISSN:1470-8272
Container-title:Journal of Asset Management
language:en
Short-container-title:J Asset Manag

Author:

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

Publisher

Springer Science and Business Media LLC

Subject

Information Systems and Management,Strategy and Management,Business and International Management

Link

http://link.springer.com/content/pdf/10.1057/jam.2010.27.pdf

Reference31 articles.

1. Ammann, M. and Verhofen, M. (2006) The effect of market regimes on style allocation. Financial Markets and Portfolio Management 20 (3): 309–337.

2. Ang, A. and Bekaert, G. (2002) International asset allocation with regime shifts. The Review of Financial Studies 15 (4): 1137–1187.

3. Ang, A. and Bekaert, G. (2004) Timing and diversification: A state-dependent asset allocation approach. Financial Analysts Journal 60 (2): 86–99.

4. Bauer, R., Haerden, R. and Molenaar, R. (2004) Timing and diversification: A state-dependent asset allocation approach. Journal of Investing 13 (3): 72–80.

5. Baum, L.E. and Petrie, T. (1966) Statistical inference for probabilistic functions of finite state Markov chains. Annals of Mathematical Statistics 37: 1554–1563.

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