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How Regimes Affect Asset Allocation

Citations

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Cited by:

  1. Patrick Roger & Marie-Hélène Broihanne & Maxime Merli, 2012. "In search of positive skewness: the case of individual investors," Working Papers of LaRGE Research Center 2012-04, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg.
  2. Elizabeth Fons & Paula Dawson & Jeffrey Yau & Xiao-jun Zeng & John Keane, 2019. "A novel dynamic asset allocation system using Feature Saliency Hidden Markov models for smart beta investing," Papers 1902.10849, arXiv.org.
  3. Andrew Ang & Allan Timmermann, 2012. "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, vol. 4(1), pages 313-337, October.
  4. Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters, in: The Risks of Financial Institutions, pages 235-330, National Bureau of Economic Research, Inc.
  5. Oscar V. De la Torre-Torres & María de la Cruz del Río-Rama & Álvarez-García José, 2024. "Non-Commodity Agricultural Price Hedging with Minimum Tracking Error Portfolios: The Case of Mexican Hass Avocado," Agriculture, MDPI, vol. 14(10), pages 1-28, September.
  6. Yuling Max Chen & Bin Li & David Saunders, 2025. "Exploratory Mean-Variance Portfolio Optimization with Regime-Switching Market Dynamics," Papers 2501.16659, arXiv.org.
  7. Peter Nystrup & Henrik Madsen & Erik Lindström, 2018. "Dynamic portfolio optimization across hidden market regimes," Quantitative Finance, Taylor & Francis Journals, vol. 18(1), pages 83-95, January.
  8. Karl Demers‐Bélanger & Van Son Lai, 2020. "Diversification benefits of cat bonds: An in‐depth examination," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 29(5), pages 165-228, December.
  9. Deborah Miori & Mihai Cucuringu, 2022. "Returns-Driven Macro Regimes and Characteristic Lead-Lag Behaviour between Asset Classes," Papers 2209.00268, arXiv.org, revised Sep 2022.
  10. Jonathan Tuck & Shane Barratt & Stephen Boyd, 2021. "Portfolio Construction Using Stratified Models," Papers 2101.04113, arXiv.org, revised Feb 2021.
  11. Yizhan Shu & Chenyu Yu & John M. Mulvey, 2024. "Downside risk reduction using regime-switching signals: a statistical jump model approach," Journal of Asset Management, Palgrave Macmillan, vol. 25(5), pages 493-507, September.
  12. Monica Billio & Mila Getmansky & Loriana Pelizzon, 2006. "Phase-Locking and Switching Volatility in Hedge Funds," Working Papers 2006_54, Department of Economics, University of Venice "Ca' Foscari".
  13. Wang, Yuanrong & Aste, Tomaso, 2023. "Dynamic portfolio optimization with inverse covariance clustering," LSE Research Online Documents on Economics 117701, London School of Economics and Political Science, LSE Library.
  14. Massimo Guidolin & Giovanna Nicodano, 2010. "Ex Post Portfolio Performance with Predictable Skewness and Kurtosis," Carlo Alberto Notebooks 191, Collegio Carlo Alberto.
  15. Garcia, René & Tsafack, Georges, 2011. "Dependence structure and extreme comovements in international equity and bond markets," Journal of Banking & Finance, Elsevier, vol. 35(8), pages 1954-1970, August.
  16. Yuanrong Wang & Tomaso Aste, 2021. "Dynamic Portfolio Optimization with Inverse Covariance Clustering," Papers 2112.15499, arXiv.org, revised Jan 2022.
  17. Guidolin, Massimo & Hyde, Stuart, 2012. "Can VAR models capture regime shifts in asset returns? A long-horizon strategic asset allocation perspective," Journal of Banking & Finance, Elsevier, vol. 36(3), pages 695-716.
  18. Mili, Mehdi, 2012. "Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach," Economics Discussion Papers 2012-33, Kiel Institute for the World Economy (IfW Kiel).
  19. Chae, Joon & Lee, Eun Jung, 2018. "Distribution uncertainty and expected stock returns," Finance Research Letters, Elsevier, vol. 25(C), pages 55-61.
  20. Aymen Ben Rejeb & Adel Boughrara, 2014. "The relationship between financial liberalization and stock market volatility: the mediating role of financial crises," Journal of Economic Policy Reform, Taylor & Francis Journals, vol. 17(1), pages 46-70, March.
  21. Chollete, Loran & Jaffee, Dwight, 2009. "Economic Implications of Extreme and Rare Events," UiS Working Papers in Economics and Finance 2009/32, University of Stavanger.
  22. Jeremy Eng-Tuck Cheah & Thong Dao & Haozhe Su, 2024. "Measuring cryptocurrency moment convergence using distance analysis," Annals of Operations Research, Springer, vol. 332(1), pages 533-577, January.
  23. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  24. Manuel Ammann & Michael Verhofen, 2006. "The Effect of Market Regimes on Style Allocation," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 20(3), pages 309-337, September.
  25. Ravi Kashyap, 2024. "The Concentration Risk Indicator: Raising the Bar for Financial Stability and Portfolio Performance Measurement," Papers 2408.07271, arXiv.org.
  26. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
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