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Keywords: Parameter uncertainty
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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
...Deniz Kebabci Tudor Purpose – The purpose of this paper is to examine the effects of parameter uncertainty in the returns process with regime shifts on optimal portfolio choice over the long run for a static buy-and-hold investor who is investing in industry portfolios. Design/methodology...
