Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching
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- Oliveira, André Barbosa & Valls Pereira, Pedro Luiz, 2018. "Asset Allocation with Markovian Regime Switching: Efficient Frontier and Tangent Portfolio with Regime Switching," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 38(1), May.
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