Should Portfolio Model Inputs Be Estimated Using One or Two Economic Regimes?
نویسندگان
چکیده
منابع مشابه
Portfolio Optimization under Time-Varying Economic Regimes
Our paper aims to answer the question: Can the macroeconomic condition be used to better allocate investments among different sectors of a market? Motivated by classical Markowitz portfolio theory, and prior work in attempting to incorporate exogenous economic factors in portfolio optimization [1][2][3][4], we explore three approaches to dynamically rebalance a portfolio as market or economic r...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2017
ISSN: 1556-5068
DOI: 10.2139/ssrn.3039447