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Keywords: Bayesian analysis
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Journal Articles
Allocation to industry portfolios under Markov switching returns
Available to Purchase
Journal:
Studies in Economics and Finance
Studies in Economics and Finance (2013) 30 (4): 317–346.
Published: 30 September 2013
... by multiplying the dividend yield for each individual stock within an industry with its lagged weight in that industry. Asset allocation Bayesian analysis Markov switching models Parameter uncertainty Gibbs sampling Regime switching Optimal asset allocation Since Kandel and Stambaugh (1996...
