• 1 Introduction
  • 2 Correlation Breakdown
  • 21 Correlation Revisted
  • 2.2 Evidence on Correlation Breakdown
  • 2.3 How to Model Correlation Breakdown
  • 3 Classic Theory on Asset Allocation
  • 3.1 One-Period Models
  • 3.2 Classic Multi-Period Models
  • 4 Opitmal Asset Allocation for Regime-Switching Models
  • 4.1 Regime-Switching Processes
  • 4.2 Full Information on the Active Regime
  • 4.3 Bayesian Updating of Beliefs
  • 5 International Asset Allocation under Regime Switching
  • 5.1 Econometrics of Hidden Regime-Switching Process
  • 5.2 Data
  • 5.3 Results per 2005/6
  • 5.4 Strategies in Competition
  • 6 Conclusions
  • A Correlation of a Truncated Bivariate Normal DistributionBibliography