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

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...

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Bibliographic Details
Main Authors: Oscar V. De la Torre-Torres, Evaristo Galeana-Figueroa, María de la Cruz Del Río-Rama, José Álvarez-García
Format: Article
Language:English
Published: MDPI AG 2022-04-01
Series:Mathematics
Subjects:
Markov-Switching
optimal portfolio selection
Black–Litterman
active portfolio management
algorithmic trading
mean–variance portfolio efficiency
Online Access:https://www.mdpi.com/2227-7390/10/8/1296

Internet

https://www.mdpi.com/2227-7390/10/8/1296

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