search query: @indexterm DIVERSIFICATION / total: 686
reference: 51 / 686
| Author: | Hess, M.K. |
| Title: | Timing and diversification: a state-dependent asset allocation approach |
| Journal: | European Journal of Finance
2006 : APR, VOL. 12:3, p. 189-204 |
| Index terms: | assets asymmetric information diversification pricing stock returns |
| Language: | eng |
| Abstract: | This article analyzes the improvement in stock portfolio performance by developing a simulation model in which portfolio strategies are conditioned on the Markov regime switching behavior of stock market returns in order to make a dynamic adjustment of asset allocation. The authors provide evidence of significant performance improvement relative to the static model due to optimal shifting between aggressive and well diversified portfolio structures. |
SCIMA