Asset correlations in turbulent markets and the impact of different regimes on asset management

Asia-Pacific Journal of Operational Research

Volumn 28, Issue 1, 2011, Pages 1-23

  Bernhart, German ^a   Höcht, Stephan ^a   Neugebauer, Michael ^a   Neumann, Michael ^a   Zagst, Rudi ^a  

^a TECHNICAL UNIVERSITY OF MUNICH   (Germany)

Author keywords

correlation; correlation breakdown; financial crises; Markov switching; portfolio optimization; Regime switching

Indexed keywords

CORRELATION; CORRELATION BREAKDOWN; FINANCIAL CRISIS; MARKOV SWITCHING; PORTFOLIO OPTIMIZATION; REGIME SWITCHING;

COMMERCE; CORRELATION METHODS; FINANCIAL DATA PROCESSING; OPTIMIZATION; SWITCHING;

ASSET MANAGEMENT;

EID: 79952048259     PISSN: 02175959     EISSN: None     Source Type: Journal    
DOI: 10.1142/S0217595911003028     Document Type: Article

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