Regime-Aware Asset Allocation: a Statistical Jump Model Approach

By Yizhan Shu, Chenyu Yu, John M. Mulvey

Published 2024-02-09

Everscope rating

1509.2

Relevance to quantitative trading

9 / 10

Implementation complexity

7 / 10

Reproducibility

4 / 5

About this paper

Methodology: Statistical Jump Model. Problem types: Time Series Forecasting, Regime Identification, Portfolio Optimization.

arXiv:2402.05272 · Paper rankings

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