Markowitz versus Regime Switching: An Empirical Approach

Immanuel Seidl

back

References:

[1] Ang, A., & Bekaert, G. (2002). International Asset Allocation with Regime Shifts. Review of Financial Studies. Fall, Vol 15, No.4, pp. 1137-1187.

[2] Ang, A., & Bekaert G. (2002). Regime Switches in Interest Rates. Journal of Business and Economic Statistics. April, Vol. 20, No. 2, pp. 163-182.

[3] Campbell, R., Koedijk, K., & Kofman, P. (2002). Increased Correlation in Bear Markets: A Downside Risk Perspective. Financial Analysts Journal, 58, pp. 87-94.

[4] Chen, R. (2009). Regime switching in volatilities and correlation between stock and bond markets. Discussion paper, 640. Financial Markets Group, London School of Economics and Political Science, London, UK.

[5] Costa O.L.V., & Araujo M.V. (2008). A generalized multi-period mean-variance portfolio optimization with markov switching parameters. Automatica, Vol. 44, p. 2487-2497.

[6] Frauendorfer, K., Jacoby, U., & Schwendener, A. (2007). Regime switching based portfolio selection for pension funds. Journal of Banking and Finance, Vol. 31, pp. 2265-2280.

[7] Glawischnig, M., & Seidl, I. Portfolio optimization with serially correlated, skewed and fat tailed index returns. Central European Journal of Operations Research. In print.

[8] Goldfeld, S., & Quandt, R. (1973). A markov model for switching regressions. Journal of Econometrics, Vol. 1, No. 1, pp.3-15.

[9] Grobys, K. (2011) Are different national Stock markets driven by the same stochastic hidden variable? The Review of Finance and Banking; Volume 03, Issue 1, p. 021-030.

[10] Hamilton, J. (1989). A new approach to the economic analysis of nonstationary time series and the business cycle. Econometrica, Vol. 57, No. 2, 357-384.

[11] Hamilton, J. (2005). Regime-Switching Models. Palgrave Dictionary of Economics.

[12] Hong, Y., Tu, J., & Zhou, G. (2007). Asymmetries in Stock Returns: Statistical Tests and Economic Evaluation. Review of Financial Studies, 20, pp. 1547-1581.

[13] Huang, C. F., & Litzenberger, R. H. (1988). Foundations for financial economics. Upper Saddle River, NJ: Prentice Hall.

[14] Karolyi, A. G., & Stulz, R. M. (1996) Why do markets move together? An investigation of U.S.-Japan stock return comovements. Journal of Finance, Vol. 51, pp.951-986.

[15] Levy H. A. (1969). Utility Function depending on the First Three Moments. Journal of Finance 24, p.715-719.

[16] Mandelbrot, B. (1963). The variation of certain speculative prices. The Journal of Business, Vol. 36, No. 4, pp. 394-419.

[17] Markowitz, H. (1952). Portfolio Selection. Journal of Finance, Vol. 7, No. 1, pp. 77-91.

[18] Pelletier, D. (2006). Regime Switching for Dynamic Correlations. Journal of Econometrics, Volume 131, Issues 1-2, March-April, Pages 445-473.

[19] Perlin, M. MS Regress - The Package for Markov Regime Switching Models. Available at SSRN: http://ssrn.com/abstract=1714016. 2011.

[20] Quandt, R. (1958). The estimation of the parameters of a linear regression system obeying thwo separate regimes. Journal of the American Statictical Association, Vol. 53, No. 284, pp. 873-880.

[21] Samuelson P. (1970). The fundamental approximation of theorem of portfolio analysis in terms of means variances and higher moments. Review of Economic Studies 37, p.537-542.

[22] Wu H., & Li Z. (2011) Multi-period mean-variance portfolio selection with markov regime switching and uncertain time-horizon. Journal of Systems Science and Complexity, 24, p.140-155.

[23] Yin G., & Zhou X.Y. (2003). Markowitz's mean-variance portfolio selection with regime switching: From discretetime models to their continuous-time limits. IEEE Transaction on Automatic Control, Vol. 10, No. 10.

 

 

 

Copyright © 2009 | All rights reserved