Browsing FGV EESP - Escola de Economia de São Paulo by Title "Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching"

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Asset allocation with Markovian regime switching: efficient frontier and tangent portfolio with regime switching

Oliveira, André Barbosa; Pereira, Pedro L. Valls
2018-03

Asset allocation is important for diversifying risk and realizing gains in the financial market. It involves decisions taken under uncertainty based on statistical methods. Returns on financial assets generally present ...