Dynamic asset allocation strategy using a state-dependent Markov model : applications to international equity markets
Roksana Hematizadeh, Reza Tajaddini, Terrence Hallahan
| Year of publication: |
2022
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|---|---|
| Authors: | Hematizadeh, Roksana ; Tajaddini, Reza ; Hallahan, Terrence |
| Published in: |
Journal of international money and finance. - Amsterdam [u.a.] : Elsevier, ISSN 0261-5606, ZDB-ID 872014-9. - Vol. 128.2022, p. 1-15
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| Subject: | Dynamic asset allocation | Financial crisis | International markets | State-dependent strategy | Transaction costs | Portfolio-Management | Portfolio selection | Theorie | Theory | Transaktionskosten | Finanzmarkt | Financial market | Finanzkrise | Internationaler Finanzmarkt | International financial market | Markov-Kette | Markov chain | Hedging |