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| Tekijä: | Hess, M.K. |
| Otsikko: | Timing and diversification: a state-dependent asset allocation approach |
| Lehti: | European Journal of Finance
2006 : APR, VOL. 12:3, p. 189-204 |
| Asiasana: | assets asymmetric information diversification pricing stock returns |
| Kieli: | eng |
| Tiivistelmä: | 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. |
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