Application of regime switching and random matrix theory for portfolio optimization
Market economies have been characterized by boom and bust cycles. Since the seminal work of Hamilton (1989), these large scale fluctuations have been referred to as regime switches. Ang and Bekaert (2002) were the first to consider the role of regime switches for stock market returns and portfolio o...
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University of Essex
2018
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| Online Access: | https://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.754162 |