Constrained portfolio strategies in a regime-switching economy

We implement an allocation strategy through a regime-switching model using recursive utility preferences in an out-of-sample exercise accounting for transaction costs. We study portfolios turnover and leverage, proposing two procedures to constrain the allocation strategies: a low-turnover control (...

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Detalles Bibliográficos
Autores principales: Lewin, Marcelo, Campani, Carlos Heitor
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Springer US 2022
Materias:
Article
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243879/
https://www.ncbi.nlm.nih.gov/pubmed/35789919
http://dx.doi.org/10.1007/s11408-022-00414-x

Internet

https://www.ncbi.nlm.nih.gov/pmc/articles/PMC9243879/
https://www.ncbi.nlm.nih.gov/pubmed/35789919
http://dx.doi.org/10.1007/s11408-022-00414-x

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