Alexander, Nolan; Scherer, William T.; Thompson, Jamey - In: The Journal of finance and data science : JFDS 9 (2023), pp. 1-21
We propose a novel asset allocation model using a Markov process of states defined by clustered efficient frontier coefficients. While most research in Markov models of the market characterize regimes using return and volatility, we instead propose characterizing these states using efficient...