Regime shifts in mean-variance efficient frontiers: Some international evidence

Journal of Asset Management

Volumn 12, Issue 5, 2011, Pages 322-349

  Guidolin, Massimo ^a   Ria, Federica ^b  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

^b Katarsis Capital Advisors SA   (Switzerland)

Author keywords

Asset allocation; International portfolio diversification; Mean variance optimization; Multivariate Markov switching

Indexed keywords

EID: 80053536108     PISSN: 14708272     EISSN: 1479179X     Source Type: Journal    
DOI: 10.1057/jam.2011.27     Document Type: Article

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