How Regimes Affect Asset Allocation

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Subfields: Finance

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Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “one N ( 4 ,4) with equal weights and let the other marginal distribution and the dependence”
Reconciling Efficient Markets with Behavioral Finance: The Adaptive Markets Hypothesis (2005, background): “Unfortunately, this means that traditional tools such as mean-variance optimization and risk budgeting are no longer sufficient for addressing a pension plan’s concerns, and more dynamic models that adapt to changing market conditions are needed (see Ang and Bekaert, 2004, for a recent example).”