Data for: "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market" published by RAC-Revista de Administração Contemporânea
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资源简介：
The files refer to the paper "Portfolio Management under Multiple Regimes: Strategies that Outperform the Market", published by RAC-Revista de Administração Contemporânea.
The time series were extracted from Economatica(c) database at COPPEAD Graduate School of Business - Federal University of Rio de Janeiro in 2018. The programs were created to solve a dynamic asset allocation problem for a single and multiple regime economy.
The researcher can reproduce our results with these files. The results were promissing and our objective with this research is to open field for a broader application of regime swithing models in asset allocation worldwide.
创建时间：
2020-02-11
