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Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)
ArticleAbstract: In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views ofPalabras claves:Active portfolio management, Algorithmic trading, Black–Litterman, Markov-switching, mean–variance portfolio efficiency, optimal portfolio selection, optimal portfolio selection uncertaintyAutores:Del Río‐Rama M.d.l.C., Galeana-Figueroa E., José Álvarez-García, la Torre-Torres O.D.Fuentes:scopusSimulating Portfolio Decisions under Uncertainty When the Risky Asset and Short Rate Are Modulated by an Inhomogeneous and Asset-Dependent Markov Chain
ArticleAbstract: This paper aims to simulate portfolio decisions under uncertainty when the diffusion parameters of tPalabras claves:diffusion process, Markov regime switching, portfolio simulation, short rateAutores:José Álvarez-García, la Torre-Torres O.D., Vallejo-Jiménez B., Venegas-Martínez F.Fuentes:scopus