14 citations · 19 across the 2 of their papers we have counts for
2 papers
q-fin.PM2024★ 5 cited
Dynamic Asset Allocation with Asset-Specific Regime Forecasts
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article introduces a novel hybrid regime identification-forecasting framework designed to enhance multi-asset portfolio construction by integrating asset-specific regime forec…
q-fin.PM2024★ 14 cited
Downside Risk Reduction Using Regime-Switching Signals: A Statistical Jump Model Approach
Yizhan Shu, Chenyu Yu, John M. Mulvey
This article investigates a regime-switching investment strategy aimed at mitigating downside risk by reducing market exposure during anticipated unfavorable market regimes. We hig…