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

Peter Nystrup; Bo William Hansen; Henrik Madsen; Erik Lindström

doi:10.3905/jpm.2015.42.1.103

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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.

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For correspondence: pnys@dtu.dk

Bo William Hansen

is the head of investment analysis at Sampension in Hellerup, Denmark.

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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.

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For correspondence: hmad@dtu.dk

Erik Lindström

is an associate professor at the Centre for Mathematical Sciences, Lund Institute of Technology in Lund, Sweden.

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For correspondence: erikl@maths.lth.se

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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

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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

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