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Dynamic portfolio allocation and investment return forecasting using a Markov-switching model (National Institute of Development Administration, 7/1/2023);
This study employed the Markov-switching model by divided into 2 sections. Section 1, applying Markov-switching model for estimating the expected return, variance, and covariance of the investment portfolio including large capitalization stock, small capitalization stock and government bond. This model allows for changes in market regimes, i.e. bull and bear markets. Section 2, applying Markov-switching model for forecasting stock returns. The empirical results in section 1 showed that the large capitalization stock and small capitalization stock ...