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This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...
Persistent link: https://www.econbiz.de/10014000463
This article studies long-horizon dynamic asset allocation strategies with recursive parameter updating. The parameter estimates for the regime-switching dynamics vary as more and more datapoints are observed and the sample size increases. In such a setting, the globally optimal portfolio...
Persistent link: https://www.econbiz.de/10014227601