Using Markov-Switching Models in US Stocks Optimal Portfolio Selection in a Black–Litterman Context (Part 1)

In this study, we tested the benefit of using Markov-Switching (M-S) models to forecast the views of the 26 most traded stocks in the US in a Black–Litterman (B–L) optimal selection context. With weekly historical data of these stocks from 1 January 1980, we estimated and simulated (from 7 January 2...

Πλήρης περιγραφή

Λεπτομέρειες βιβλιογραφικής εγγραφής

Κύριοι συγγραφείς:	Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, María de la Cruz Del Río-Rama, José Álvarez-García
Μορφή:	Artigo
Γλώσσα:	Inglês
Έκδοση:	MDPI AG 2022-04-01
Σειρά:	Mathematics
Θέματα:	Markov-Switching optimal portfolio selection Black–Litterman active portfolio management algorithmic trading mean–variance portfolio efficiency
Διαθέσιμο Online:	https://www.mdpi.com/2227-7390/10/8/1296
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