This paper presents an innovative new approach to investment portfolio design, which applies a discrete, state-based methodology to defining market states and making asset allocation decisions with respect to both current and future state membership. State membership is based on attributes taken...

Market participants often invoke the concept of discrete state when discussing financial markets. Bull market, bear market, depression, and recession are all terms that map to discrete market states. Mental models of how markets behave in each state and transition between states are then applied...

This paper presents an innovative new approach to investment portfolio design, which applies a discrete, state-based methodology to defining market states and making asset allocation decisions with respect to both current and future state membership. State membership is based on attributes taken...