Is Regime Switching in Stock Returns Important in Asset Allocations?
The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the econo...
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2010
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| Online Access: | https://ink.library.smu.edu.sg/lkcsb_research/4736 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5735/viewcontent/Is_Regime_Switching_in_Stock_Returns_Important_in_Asset_Allocatio.pdf |
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| Institution: | Singapore Management University |
| Language: | English |