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"This paper considers a variety of econometric models for the joint distribution of US stock and bond returns in the presence of regime switching dynamics. While simple two- or three-state models capture the univariate dynamics in bond and stock returns, a more complicated four state model with...
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"This paper proposes a new tractable approach to solving multi-period asset allocation problems. We assume that … methods are applied to a simple portfolio selection problem involving choosing between a stock index and a risk-free asset in …
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