Researchers develop new method of modeling market regimes using efficient frontier information
by KeAi Communications Co.
Performance of the novel Markov Markowitz portfolio with 3–5 clusters as compared to benchmarks when run on the Growth, Value, Market Cap (GVMC) asset data out-of-sample from 2000–2022. The novel models labeled "Ours" all outperform the benchmarks. Credit: Nolan Alexander et al.
Financial markets often undergo changing regimes or states, where environments can be…