We examine autoregressive time series models that are subject to regime switching. These shifts are determined by the outcome of an unobserved two-state indicator variable that follows a Markov ...

This is a preview. Log in through your library . Abstract The distribution of the sample correlation coefficient is derived when the population is a mixture of two bivariate normal distributions with ...

We propose a numerical optimization approach that can be used to solve portfolio selection problems including several assets and involving objective functions from cumulative prospect theory (CPT).