Is regime switching in stock returns important in portfolio decisions?

• 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

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...