Serge Darolles, Mathieu Vaissié: We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
DRM-Université Paris Dauphine
Head of Research, Ginjer AMResearch Associate, EDHEC-Risk Institute
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|Research Cluster :||Finance|