The effect of market regimes on style allocation

Financial Markets and Portfolio Management

Volumn 20, Issue 3, 2006, Pages 309-337

  Ammann, Manuel ^a   Verhofen, Michael ^b  

^a UNIVERSITY OF ST GALLEN   (Switzerland)

^b UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Markov Chain Monte Carlo; Regime switching; Style investing; Tactical asset allocation

Indexed keywords

EID: 33748419514     PISSN: 15554961     EISSN: 1555497X     Source Type: Journal    
DOI: 10.1007/s11408-006-0018-2     Document Type: Review

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