Bulla, Jan; Mergner, Sascha; Bulla, Ingo; Sesboüé, André - Volkswirtschaftliche Fakultät, … - 2010
This paper proposes a straightforward Markov-switching asset allocation model, which reduces the market exposure to periods of high volatility. The main purpose of the study is to examine the performance of a regime-based asset allocation strategy under realistic assumptions, compared to a buy...