haku: @indexterm intertemporal economics / yhteensä: 19
viite: 6 / 19
| Tekijä: | Graflund, A. Nilsson, B. |
| Otsikko: | Dynamic portfolio selection: the relevance of switching regimes and investment horizon |
| Lehti: | European Financial Management
2003 : JUN, VOL. 9:2, p. 179-200 |
| Asiasana: | Hedging Intertemporal economics Portfolio selection |
| Vapaa asiasana: | Regime switching |
| Kieli: | eng |
| Tiivistelmä: | The questions of dynamic portfolio selection and intertemporal hedging are investigated within a Markovian regime-switching framework. The investment opportunity set is spanned by a well-diversified home-market portfolio and the risk-free asset. The results highlight the economic importance of regimes, as optimal portfolio weights are clearly dependet on the prevailing regime. |
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