The Journal of Wealth Management has played a key role in supporting research that
benefits individual investors. What began as concern over taxes, has grown into its own …

We seek to develop a model of optimal asset allocation with a market that has the potential
to decouple. There are three Markov regimes: a regime where the market remains fully …

Most quantitative portfolio management models assume asset return distributions are
Gaussian: a portfolio manager builds expectations for each asset's mean, variance, and …

This study utilizes the Markov Switch Regression (MS-regression) model to analyze the US
Dollar Index, identifying distinct economic regimes of recession (1985-1993, 2008-2012) …

We revive, discuss, and improve upon the excellent earlier work of Hull and White in
efficiently building iterative loss distributions for debt portfolios of structured finance …