Optimal reinsurance and asset allocation under regime switching

A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle

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Mean Growth Rate, Tractable Approach, Macroeconomic Forecasting +17

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Robert C. Merton · Journal of Economic Theory · 1971 · 6.1K citations

Mathematical Programming, Economics, Portfolio Optimization +9

Why Does Stock Market Volatility Change Over Time?

G. William Schwert · The Journal of Finance · 1989 · 3.5K citations

Volatility Modeling, Multivariate Stochastic Volatility, Financial Economics +13

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Media Studies, News Consumption, News Analytics +7

International Asset Allocation With Regime Shifts

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International Economics, Asset Allocation, Economic Fluctuation +17