Is regime switching in stock returns important in portfolio decisions?

• المؤلف الرئيسي: Jun TU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2010
• الموضوعات: investments; regime switching; model uncertainty; parameter uncertainty; Bayesian analysis; Finance and Financial Management; Portfolio and Security Analysis
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/lkcsb_research/4774; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5773/viewcontent/SSRN_id1028445.pdf

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...