Is regime switching in stock returns important in portfolio decisions?

Is regime switching in stock returns important in portfolio decisions?

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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書目詳細資料
主要作者:	Jun TU
格式:	text
語言:	English
出版:	Institutional Knowledge at Singapore Management University 2010
主題:	investments regime switching model uncertainty parameter uncertainty Bayesian analysis Finance and Financial Management Portfolio and Security Analysis
在線閱讀:	https://ink.library.smu.edu.sg/lkcsb_research/4774 https://ink.library.smu.edu.sg/context/lkcsb_research/article/5773/viewcontent/SSRN_id1028445.pdf
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機構:	Singapore Management University
語言:	English

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