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Regime-based versus static asset allocation : letting the data speak
Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; … - In: The journal of portfolio management : a publication of … 42 (2015) 1, pp. 103-109
Persistent link: https://www.econbiz.de/10011409025
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Multi-period portfolio selection with drawdown control
Nystrup, Peter; Boyd, Stephen P.; Lindström, Erik; … - In: Application of operations research to financial markets, (pp. 245-271). 2019
Persistent link: https://www.econbiz.de/10012157466
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Dynamic allocation or diversification : a regime-based approach to multiple assets
Nystrup, Peter; Hansen, Bo William; Larsen, Henrik Olejasz - In: The journal of portfolio management : a publication of … 44 (2018) 2, pp. 62-73
Persistent link: https://www.econbiz.de/10011880054
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Dynamic portfolio optimization across hidden market regimes
Nystrup, Peter; Madsen, Henrik; Lindström, Erik - In: Quantitative finance 18 (2018) 1, pp. 83-95
Persistent link: https://www.econbiz.de/10011905831
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Detecting change points in VIX and S&P 500 : a new approach to dynamic asset allocation
Nystrup, Peter; Hansen, Bo William; Madsen, Henrik; … - In: The journal of asset management 17 (2016) 5, pp. 361-374
Persistent link: https://www.econbiz.de/10011634685