The introduction of levered exchange-traded products was heralded as a convenient mechanism for investors to enhance performance over traditional borrowing and leverage strategies. In many cases, these products have not generated the anticipated benefits. Because multi-period returns for levered...

Asset allocation among diverse financial markets is essential for investors especially under situations such as the financial crisis of 2008. Portfolio optimization is the most developed method to examine the optimal decision for asset allocation. We employ the hidden Markov model to identify...