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Title:

Portfolio Selection under Changing Market Conditions

Document type:
Zeitschriftenaufsatz
Author(s):
Ernst, C.; Grossmann, M.; Höcht, S.; Minden, S.; Scherer, M.; Zagst, R.
Non-TUM Co-author(s):
ja
Cooperation:
-
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
Journal title:
International Journal of Financial Services Management
Year:
2009
Journal volume:
4
Journal issue:
1
Pages contribution:
48-63
Reviewed:
ja
Language:
en
Status:
Verlagsversion / published
Key publication:
Nein
Peer reviewed:
Ja
International:
Ja
Book review:
Nein
Commissioned:
not commissioned
Professional Journal:
Nein
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