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Allocation to Industry Portfolios Under Markov Switching Returns

https://doi.org/10.2139/ssrn.1341966
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0167-2231(89)90006-7openalex-extracted
Business Cycles, Financial Crises, and Stock Volatility
inferredcites →https://doi.org/10.1016/0304-405x(89)90094-9openalex-extracted
A Markov Model of Heteroskedasticity, Risk, and Learning in the Stock Market
inferredcites →https://doi.org/10.1016/0304-4076(94)90067-1openalex-extracted
Autoregressive conditional heteroskedasticity and changes in regime
inferredcites →https://doi.org/10.1016/j.jedc.2006.12.004openalex-extracted
Asset allocation under multivariate regime switching
inferredcites →https://doi.org/10.1016/s0304-4076(01)00045-8openalex-extracted
Business cycle asymmetries in stock returns: Evidence from higher order moments and conditional densities
inferredcites →https://doi.org/10.1080/01621459.1980.10477507openalex-extracted
Estimation for Markowitz Efficient Portfolios
inferredcites →https://doi.org/10.1080/096031097333745openalex-extracted
Regime switching in stock market returns
inferredcites →https://doi.org/10.1086/261535openalex-extracted
Permanent and Temporary Components of Stock Prices
inferredcites →https://doi.org/10.1086/261755openalex-extracted
The Variation of Economic Risk Premiums
inferredcites →https://doi.org/10.1086/296296openalex-extracted
International Portfolio Diversification with Estimation Risk
inferredcites →https://doi.org/10.1093/rfs/15.4.1137openalex-extracted
International Asset Allocation With Regime Shifts
inferredcites →https://doi.org/10.1111/0022-1082.00146openalex-extracted
Do Industries Explain Momentum?
inferredcites →https://doi.org/10.1111/0022-1082.00205openalex-extracted
Investing for the Long Run when Returns Are Predictable
inferredcites →https://doi.org/10.1111/j.1540-6261.1996.tb02689.xopenalex-extracted
On the Predictability of Stock Returns: An Asset‐Allocation Perspective
inferredcites →https://doi.org/10.2139/ssrn.356061openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.940652openalex-extracted
Asset Allocation Under Multivariate Regime Switching
inferredcites →https://doi.org/10.2307/1912559openalex-extracted
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
inferredcites →https://doi.org/10.2307/1926559openalex-extracted
Lifetime Portfolio Selection By Dynamic Stochastic Programming
inferredcites →https://doi.org/10.2307/1926560openalex-extracted
Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case
inferredcites →https://doi.org/10.2307/2331043openalex-extracted
An Empirical Bayes Approach to Efficient Portfolio Selection
inferredcites →https://doi.org/10.2307/2982148openalex-extracted
Estimation Risk and Optimal Portfolio Choice.
inferredcites →https://doi.org/10.2469/faj.v42.n5.43openalex-extracted
Portfolio Returns from Active Industry Group Rotation
inferredcites →https://doi.org/10.2469/faj.v51.n3.1901openalex-extracted
On the Risk of Stocks in the Long Run
inferredcites →https://doi.org/10.2469/faj.v54.n5.2211openalex-extracted
Are Industry Stock Returns Predictable?
inferredcites →https://doi.org/10.2469/faj.v55.n4.2282openalex-extracted
Asset-Pricing Anomalies in Global Industry Indexes
inferredcites →https://doi.org/10.2469/faj.v58.n6.2488openalex-extracted
Cross-Industry, Cross-Country Allocation
inferredcites →https://doi.org/10.3386/w4997openalex-extracted
On the Predictability of Stock Returns: An Asset-Allocation Perspective
inferredcites →https://doi.org/10.3905/jpm.1994.409499openalex-extracted
The Long-Term Case for Equities
inferredcites →https://doi.org/10.3386/w5027openalex-snapshot
Maximizing Predictability in the Stock and Bond Markets
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