This contribution studies the out-of-sample performance of trading strategies applying 2-State-Markov-Switching models. Thereby, different probability thresholds are considered where the investor decides when to go in, respectively, out of the stock market. Furthermore, the investor may decide...

Passive investment strategies basically aim to replicate an underlying benchmark. Thereby, the management usually selects a subset of stocks being employed in the optimization procedure. Apart from the optimization procedure, the stock selection approach determines the stock portfolios's...

Even though a random walk process is from a statistical point of view not predictable, some movements can be correlated with specific events concerning other variables. Then, predictable patterns may arise being dependent on this joint event. There is evidence given that equity price busts being...