Showing 1 - 3 of 3
Estimation errors in the inputs are the main problem when applying portfolio analysis, and Markov regime switching models have been shown to reduce these errors. We investigate whether the use of two regime models remains superior across a range of values of risk aversion and transaction costs,...
Persistent link: https://www.econbiz.de/10012932789
Persistent link: https://www.econbiz.de/10012204261
Persistent link: https://www.econbiz.de/10011998174