Ernst, Cornelia; Grossmann, Martin; Hocht, Stephan; … - In: International Journal of Financial Services Management 4 (2009) 1, pp. 48-63
In this paper, an extensive portfolio optimisation case study is conducted. For this, in a first step, a Markov-Switching model is estimated to time series of three global stock indices. The estimation includes a new methodology for the search for realistic initial values and a large number of...
