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Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model

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Figure

Table 2: Sample covariance matrix of daily percentage asset returns
Table 3: Summary of the posterior predictive asset returns with a three-regime, three-state
Table 5: Optimal portfolio weights (in percentage) under different risk aversion coefficientswhile short selling is not allowed
Figure 1: Bayesian residual Kolmogorov-Smirnov test statistics. The six panels correspondto SP500, FTSE, CAC, DAX, HSI, NIKKEI respectively
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