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

Research, Preprint OPEN
Massimo Guidolin; Federica Ria;
(2010)
  • Publisher: Manchester: The University of Manchester, Manchester Business School
  • Subject: C53 | asset allocation | multivariate Markov switching | mean-variance optimization | international portfolio diversification. | C32 | G12 | Asset pricing ; Econometric models ; Rate of return ; Great Britain
    • ddc: ddc:330

Regime switching models have been assuming a central role in financial applications because of their well-known ability to capture the presence of rich non-linear patterns in the joint distribution of asset returns. This paper examines how the presence of regimes in mea... View more
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