- 1 Introduction
- 2 Correlation Breakdown
- 21 Correlation Revisted
- 2.2 Evidence on Correlation Breakdown
- 2.3 How to Model Correlation Breakdown
- 3 Classic Theory on Asset Allocation
- 3.1 One-Period Models
- 3.2 Classic Multi-Period Models
- 4 Opitmal Asset Allocation for Regime-Switching Models
- 4.1 Regime-Switching Processes
- 4.2 Full Information on the Active Regime
- 4.3 Bayesian Updating of Beliefs
- 5 International Asset Allocation under Regime Switching
- 5.1 Econometrics of Hidden Regime-Switching Process
- 5.2 Data
- 5.3 Results per 2005/6
- 5.4 Strategies in Competition
- 6 Conclusions
- A Correlation of a Truncated Bivariate Normal DistributionBibliography
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