Linear predictability vs. bull and bear market models in strategic asset allocation decisions: evidence from UK data

DOI10.1080/14697688.2014.926389zbMath1402.91699OpenAlexW2003902306MaRDI QIDQ5247932

Stuart Hyde, Massimo Guidolin

Publication date: 27 April 2015

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/102372

zbMATH Keywords

Markov switchingpredictabilitystrategic asset allocationout-of-sample performancevector autoregressive models

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Markov processes: estimation; hidden Markov models (62M05) Portfolio theory (91G10)

Related Items (1)

Moments, shocks and spillovers in Markov-switching VAR models

Cites Work

• Unnamed Item
• Strategic asset allocation
• Hypothesis Testing When a Nuisance Parameter is Present Only Under the Alternative
• Long-term strategic asset allocation with inflation risk and regime switching

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