{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,10,20]],"date-time":"2026-10-20T06:42:25Z","timestamp":1792478545790,"version":"4.5.0"},"posted":{"date-parts":[[2026]]},"group-title":"SSRN","reference-count":32,"publisher":"Elsevier BV","license":[{"start":{"date-parts":[[2026,1,1]],"date-time":"2026-01-01T00:00:00Z","timestamp":1767225600000},"content-version":"unspecified","delay-in-days":0,"URL":"https:\/\/www.uspto.gov\/ip-policy\/copyright-policy\/copyright-basics"}],"content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":[],"abstract":"<jats:p>Building a portfolio requires choosing a construction method (minimum-variance, maximum-Sharpe, risk parity, or a hierarchical method) whose relative performance shifts over time, exposing the investor to model uncertainty beyond the parameter uncertainty these methods are designed to address. We ask whether the observable market state carries information about which method will perform better next period, beyond the methods' own recent performance. Framing the test as one of conditional predictive ability, we find that it does: a state defined by realized volatility predicts relative method performance, with the effect concentrated in the most estimation-dependent method, consistent with an estimation-stress channel. The signal survives permutation, wrong-mapping, and strong-benchmark placebos. Exploiting it yields economic value net of costs: a state-conditional selector significantly outperforms performance-chasing, while its advantage over diversification is positive but not significant. The case for selection over performance-chasing tends to be stronger when methods disagree more. Model uncertainty at the construction stage is, in part, predictable from the market state.<\/jats:p>","DOI":"10.2139\/ssrn.7533559","type":"posted-content","created":{"date-parts":[[2026,9,29]],"date-time":"2026-09-29T14:49:56Z","timestamp":1790693396000},"source":"Crossref","is-referenced-by-count":0,"title":["Market Regimes and Model Uncertainty in Portfolio Construction: Select or Diversify?"],"prefix":"10.2139","author":[{"ORCID":"https:\/\/orcid.org\/0009-0006-3791-2216","authenticated-orcid":true,"given":"Mario","family":"Bajo Traver","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"78","reference":[{"issue":"1","key":"ref1","doi-asserted-by":"crossref","first-page":"690","DOI":"10.1287\/mnsc.2020.3876","article-title":"Portfolio Choices with Many Big Models","volume":"68","author":"Evan W Anderson","year":"2022","journal-title":"Management 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