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Dokumenttyp:
Zeitschriftenaufsatz 
Autor(en):
Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R. 
Nicht-TUM Koautoren:
ja 
Kooperation:
Titel:
Portfolio Selection under Changing Market Conditions 
Abstract:
In this article, an extensive portfolio optimization case study is con- ducted. For this, a Markov-Switching model is estimated to time series of three global stock indices. The estimation includes a new methodology for the search for realistic initial values and a large number of covariates that were tested for their ability to explain transition probabilities. In a second step, the model is used in an industry-standard portfolio optimization en- vironment and compared under realistic assumptio...    »
 
Intellectual Contribution:
Contribution to Practice 
Zeitschriftentitel:
International Journal of Financial Services Management 
Jahr:
2009 
Band / Volume:
Heft / Issue:
Seitenangaben Beitrag:
48-63 
Reviewed:
ja 
Sprache:
en 
Status:
Verlagsversion / published 
Key publication:
Nein 
Peer reviewed:
Ja 
International:
Ja 
Book review:
Nein 
commissioned:
not commissioned 
Professional Journal:
Nein