Replication Data for: Portfolio Management under Multiple Regimes: Strategies that Outperform the Market
<|begin_of_text|><|start_header_id|>system<|end_header_id|> You are a research archivist expert in dataset metadata. Answer the question truthfully.  <|eot_id|><|start_header_id|>user<|end_header_id|> Here is the Description of a dataset. Description:'Context: regime switching models in asset allocation under the stochastic differential utility function were not included in the literature until Campani, Garcia and Lewin (2020) model. This function is at the knowledge edge because, more realistically than the others, it separates the investor main risk parameters. Such configuration, however, becomes so complex that it does not admit an exact solution in the literature and Monte Carlo simulation is not efficient to solve the problem in real time. The model solves that issue with an approximate solution, which is fairly accurate for allocation, and our article offers the first application outside the North American scenario. Objective: evaluate portfolio strategies based on the model on screen and compare their performances with the returns of the main benchmarks of the market. Methods' . Please return only a json list of at most 3 Keywords corresponding to the Description:.<|eot_id|><|start_header_id|>assistant<|end_header_id|> {"Answer" : ["Finance","Portfolio management"]} <|eot_id|>
 Here is the Description of a dataset. Description:'Context: regime switching models in asset allocation under the stochastic differential utility function were not included in the literature until Campani, Garcia and Lewin (2020) model. This function is at the knowledge edge because, more realistically than the others, it separates the investor main risk parameters. Such configuration, however, becomes so complex that it does not admit an exact solution in the literature and Monte Carlo simulation is not efficient to solve the problem in real time. The model solves that issue with an approximate solution, which is fairly accurate for allocation, and our article offers the first application outside the North American scenario. Objective: evaluate portfolio strategies based on the model on screen and compare their performances with the returns of the main benchmarks of the market. Methods' . Please return only a json list of at most 3 Keywords corresponding to the Description:.
Context: regime switching models in asset allocation under the stochastic differential utility function were not included in the literature until Campani, Garcia and Lewin (2020) model. This function is at the knowledge edge because, more realistically than the others, it separates the investor main risk parameters. Such configuration, however, becomes so complex that it does not admit an exact solution in the literature and Monte Carlo simulation is not efficient to solve the problem in real time. The model solves that issue with an approximate solution, which is fairly accurate for allocation, and our article offers the first application outside the North American scenario. Objective: evaluate portfolio strategies based on the model on screen and compare their performances with the returns of the main benchmarks of the market. Methods
Finance; Portfolio management