Blar i SAM - Master i Økonomi og administrasjon – siviløkonom på emneord "Markov processes"
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Optimal Portfolio Allocation Under Volatility-Return Regime Switching
(Master thesis, 2019)We study the optimal portfolio allocation when returns, covariances and volatility switch between normal and turbulent regimes. We isolated all the high-volatility events in recent historic return series and produced ...