Is Regime Switching in Stock Returns Important in Portfolio Decisions?
用贝叶斯方法研究股票市场涨跌体制转换对投资组合决策的影响，发现忽略体制转换会导致每年2%至10%的确定性等价损失，建议使用更现实的体制转换模型。
The stock market displays regime switching between upturns and downturns. This paper provides a Bayesian framework for making portfolio decisions that takes this regime switching into account, together with asset pricing model uncertainty and parameter uncertainty. The findings reveal that the economic value of accounting for regimes is substantially independent of whether or not model and parameter uncertainties are incorporated: the certainty-equivalent losses associated with ignoring regime switching are generally above 2% per year and can be as high as 10%. These results suggest that the more realistic regime switching model is fundamentally different from the commonly used single-state model, and hence should be employed instead in portfolio decisions irrespective of concerns about model or parameter uncertainty.