Markov Switching in Portfolio Choice and Asset Pricing Models: A Survey

DOI10.1108/S0731-9053(2011)000027B005zbMath1444.91198MaRDI QIDQ3295717

Massimo Guidolin

Publication date: 10 July 2020

Published in: Missing Data Methods: Time-Series Methods and Applications (Search for Journal in Brave)

zbMATH Keywords

Markov switchingvolatility feedbackrisk-return trade-offregimesno arbitrage pricingprice of regime risk

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

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