Skip to main content

Main menu

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

User menu

  • Sample our Content
  • Request a Demo
  • Log in

Search

  • ADVANCED SEARCH: Discover more content by journal, author or time frame
The Journal of Portfolio Management
  • IPR Logo
  • About Us
  • Journals
  • Publish
  • Advertise
  • Videos
  • Webinars
  • More
    • Awards
    • Article Licensing
    • Academic Use
  • Sample our Content
  • Request a Demo
  • Log in
The Journal of Portfolio Management

The Journal of Portfolio Management

ADVANCED SEARCH: Discover more content by journal, author or time frame

  • Home
  • Current Issue
  • Past Issues
  • Videos
  • Submit an article
  • More
    • About JPM
    • Awards
    • Editorial Board
    • Published Ahead of Print (PAP)
  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter
Article

Regime-Based Versus Static Asset Allocation: Letting the Data Speak

Peter Nystrup, Bo William Hansen, Henrik Madsen and Erik Lindström
The Journal of Portfolio Management Fall 2015, 42 (1) 103-109; DOI: https://doi.org/10.3905/jpm.2015.42.1.103
Peter Nystrup
is an industrial PhD student at Sampension in Hellerup, Denmark and in the department of applied mathematics and computer science, Technical University of Denmark in Lyngby, Denmark.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: pnys@dtu.dk
Bo William Hansen
is the head of investment analysis at Sampension in Hellerup, Denmark.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: bwh@sampension.dk
Henrik Madsen
is a professor and head of the section for dynamical systems in the department of applied mathematics and computer science at Technical University of Denmark in Lyngby, Denmark.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: hmad@dtu.dk
Erik Lindström
is an associate professor at the Centre for Mathematical Sciences, Lund Institute of Technology in Lund, Sweden.
  • Find this author on Google Scholar
  • Find this author on PubMed
  • Search for this author on this site
  • For correspondence: erikl@maths.lth.se
  • Article
  • Info & Metrics
  • PDF (Subscribers Only)
Loading
PreviousNext
Back to top

Explore our content to discover more relevant research

  • By topic
  • Across journals
  • From the experts
  • Monthly highlights
  • Special collections

In this issue

The Journal of Portfolio Management: 42 (1)
The Journal of Portfolio Management
Vol. 42, Issue 1
Fall 2015
  • Table of Contents
  • Index by author
Print
Download PDF
Article Alerts
Sign In to Email Alerts with your Email Address
Email Article

Thank you for your interest in spreading the word on The Journal of Portfolio Management.

NOTE: We only request your email address so that the person you are recommending the page to knows that you wanted them to see it, and that it is not junk mail. We do not capture any email address.

Enter multiple addresses on separate lines or separate them with commas.
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
(Your Name) has sent you a message from The Journal of Portfolio Management
(Your Name) thought you would like to see the The Journal of Portfolio Management web site.
CAPTCHA
This question is for testing whether or not you are a human visitor and to prevent automated spam submissions.
Citation Tools
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Peter Nystrup, Bo William Hansen, Henrik Madsen, Erik Lindström
The Journal of Portfolio Management Oct 2015, 42 (1) 103-109; DOI: 10.3905/jpm.2015.42.1.103

Citation Manager Formats

  • BibTeX
  • Bookends
  • EasyBib
  • EndNote (tagged)
  • EndNote 8 (xml)
  • Medlars
  • Mendeley
  • Papers
  • RefWorks Tagged
  • Ref Manager
  • RIS
  • Zotero
Save To My Folders
Share
Regime-Based Versus Static Asset Allocation: Letting the Data Speak
Peter Nystrup, Bo William Hansen, Henrik Madsen, Erik Lindström
The Journal of Portfolio Management Oct 2015, 42 (1) 103-109; DOI: 10.3905/jpm.2015.42.1.103
del.icio.us logo Digg logo Reddit logo Twitter logo CiteULike logo Facebook logo Google logo LinkedIn logo Mendeley logo
Tweet Widget Facebook Like LinkedIn logo

Jump to section

  • Article
    • Abstract
    • LETTING THE DATA SPEAK
    • THE HIDDEN MARKOV MODEL
    • EMPIRICAL RESULTS
    • SUMMARY AND DISCUSSION
    • ENDNOTES
    • REFERENCES
  • Info & Metrics
  • PDF (Subscribers Only)
  • PDF (Subscribers Only)

Similar Articles

Cited By...

  • Hyperparameter Optimization for Portfolio Selection
  • Greedy Online Classification of Persistent Market States Using Realized Intraday Volatility Features
  • A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
  • Dynamic Allocation or Diversification: A Regime-Based Approach to Multiple Assets
  • Identifying Economic Regimes: Reducing Downside * Risks for University Endowments and Foundations
  • Google Scholar

More in this TOC Section

  • The State of Play for Popular Investment Models: A Practical Assessment
  • Editors’ Introduction to the Special Issue on Investment Models
  • Editor’s Introduction for 2021 Special Issue on Multi-Asset Strategies
Show more Article
LONDON
One London Wall, London, EC2Y 5EA
United Kingdom
+44 207 139 1600
 
NEW YORK
41 Madison Avenue, New York, NY 10010
USA
+1 646 931 9045
pm-research@pageantmedia.com
 

Stay Connected

  • Follow IIJ on LinkedIn
  • Follow IIJ on Twitter

MORE FROM PMR

  • News
  • Awards
  • Investment Guides
  • Videos
  • About PMR

INFORMATION FOR

  • Academics
  • Agents
  • Authors
  • Content Usage Terms

GET INVOLVED

  • Advertise
  • Publish
  • Article Licensing
  • Contact Us
  • Subscribe Now
  • Sign In
  • Update your profile
  • Give us your feedback

© 2021 Pageant Media Ltd | All Rights Reserved | ISSN: 0095-4918 | E-ISSN: 2168-8656

  • Site Map
  • Terms & Conditions
  • Privacy Policy
  • Cookies