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cs.CE2023
Multi-Period Portfolio Optimisation Using a Regime-Switching Predictive Framework
Piotr Pomorski, Denise Gorse
Regime-switching poses both problems and opportunities for portfolio managers. If a switch in the behaviour of the markets is not quickly detected it can be a source of loss, since…
cs.CE2022
Improving on the Markov-Switching Regression Model by the Use of an Adaptive Moving Average
Piotr Pomorski, Denise Gorse
Regime detection is vital for the effective operation of trading and investment strategies. However, the most popular means of doing this, the two-state Markov-switching regression…