This paper compares the resilience of ethical (Islamic and socially responsible) indexes
among five developed (US, UK, Japan, Canada, Australia) and three emerging markets …

This paper provides an application of the Black–Litterman methodology to portfolio
management in a global setting. The novel feature of this paper relative to the extant …

This article proposes a straightforward Markov-switching asset allocation model, which
reduces the market exposure to periods of high volatility. The main purpose of the study is to …

Price volatilities make stock investments risky, leaving investors in critical position when
uncertain decision is made. To improve investor evaluation confidence on exchange …

This study uses the hidden Markov model (HMM) to identify different market regimes in the
US stock market and proposes an investment strategy that switches factor investment …

Exchange Traded Funds (ETFs), including the innovative leveraged (long and inverse)
types, and the ever more creative traditional versions, are accelerating in popularity as …

We study the implications of time-varying risk aversion for dynamic portfolio allocation under
the framework of regime-switching models. In our model, both asset returns and investor risk …

This study uses UK data and investigates whether small investors can exploit the
continuation effect in share prices. Individual traders are not in a financial position to buy …

This paper demonstrates that the effects of unanticipated monetary policy changes (shocks)
on real estate investment trust (REIT) returns are asymmetric between the high-and low …

This paper proposes a Markov regime-switching asset-pricing model and investigates the
asymmetric risk-return relationship under different regimes for the Chinese stock market. It …