Guidolin, Massimo (contributor); Hyde, Stuart (contributor) - 2008
performance
that outperforms simpler models that ignore regimes. Interestingly, the portfolio shares derived under
regime …-of-sample portfolio performance that outperforms simpler models that
ignore regimes. Interestingly, the portfolio shares derived under … policy decisions. In particular, in
our paper we document the out-of-sample performance of simple mean-variance portfolio …