Raman Uppal : Citation Profile


Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

19

H index

24

i10 index

2070

Citations

RESEARCH PRODUCTION:

27

Articles

38

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 73
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 157.    Total self citations: 20 (0.96 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2021-01-23    RAS profile: 2020-12-07    
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Relations with other researchers


Works with:

Vilkov, Grigory (4)

Bhamra, Harjoat (4)

Dumas, Bernard (3)

Authors registered in RePEc who have co-authored more than one work in the last five years with Raman Uppal.

Is cited by:

Coeurdacier, Nicolas (28)

McAleer, Michael (23)

Guidolin, Massimo (20)

Caporin, Massimiliano (18)

Wong, Wing-Keung (18)

Basak, Suleyman (17)

Peel, David (16)

Bec, Frédérique (15)

Santos, Andre (14)

Miao, Jianjun (13)

Paya, Ivan (12)

Cites to:

Epstein, Larry (19)

merton, robert (14)

Campbell, John (11)

Dumas, Bernard (11)

Kreps, David (9)

Ledoit, Olivier (9)

Wolf, Michael (9)

Zin, Stanley (9)

Guvenen, Fatih (9)

Jorion, Philippe (9)

Engel, Charles (8)

Main data


Where Raman Uppal has published?


Journals with more than one article published# docs
Review of Financial Studies7
Journal of Finance5
Journal of Financial and Quantitative Analysis3
Management Science3
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Raman Uppal (2021 and 2020)


YearTitle of citing document
2020Robust portfolio selection using sparse estimation of comoment tensors. (2020). Vrins, Frédéric ; Lassance, Nathan. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020003.

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2020Optimal and robust combination of forecasts via constrained optimization and shrinkage. (2020). Vrins, Frédéric ; Gambetti, Paolo ; Roccazzella, Francesco. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020006.

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2020Retail Investing in Passive Exchange Traded Funds. (2020). Elmaya, Younes Elhichou ; D'Hondt, Catherine ; Petitjean, Mikael. In: LIDAM Discussion Papers LFIN. RePEc:ajf:louvlf:2020013.

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2020Calibration of Distributionally Robust Empirical Optimization Models. (2017). , Andrew ; Kim, Michael Jong ; Gotoh, Jun-Ya. In: Papers. RePEc:arx:papers:1711.06565.

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2020Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Hospedales, Timothy M ; Zheng, YU ; Yang, Yongxin. In: Papers. RePEc:arx:papers:1809.01989.

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2020Equilibrium Asset Pricing with Transaction Costs. (2019). Possamai, Dylan ; Muhle-Karbe, Johannes ; Herdegen, Martin. In: Papers. RePEc:arx:papers:1901.10989.

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2020Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

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2020Quantifying horizon dependence of asset prices: a cluster entropy approach. (2019). Carbone, A ; Ponta, L. In: Papers. RePEc:arx:papers:1908.00257.

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2020Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Beasley, John ; Adcock, C J ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

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2020Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence. (2019). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:1909.01830.

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2020Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

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2020Data-driven covariance estimators for high-dimensional minimum-variance portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.13960.

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2020Sharpe Ratio in High Dimensions: Cases of Maximum Out of Sample, Constrained Maximum, and Optimal Portfolio Choice. (2020). Vasconcelos, Gabriel ; Medeiros, Marcelo ; Caner, Mehmet. In: Papers. RePEc:arx:papers:2002.01800.

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2020Company classification using machine learning. (2020). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven. In: Papers. RePEc:arx:papers:2004.01496.

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2020Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Scaillet, Olivier ; Topaloglou, Nikolas ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:2004.02670.

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2020A dynamic conditional approach to portfolio weights forecasting. (2020). Palandri, Alessandro ; Gallo, Giampiero M ; Cipollini, Fabrizio. In: Papers. RePEc:arx:papers:2004.12400.

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2020RM-CVaR: Regularized Multiple $\beta$-CVaR Portfolio. (2020). Abe, Masaya ; Noma, Shuhei ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2004.13347.

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2020Can Volatility Solve the Na\ive Diversification Puzzle?. (2020). Zalla, Ryan ; Curran, Michael . In: Papers. RePEc:arx:papers:2005.03204.

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2020Statistical inference for the EU portfolio in high dimensions. (2020). Schmid, Wolfgang ; Parolya, Nestor ; Okhrin, Yarema ; Dmytriv, Solomiia ; Bodnar, Taras. In: Papers. RePEc:arx:papers:2005.04761.

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2020Relative utility bounds for empirically optimal portfolios. (2020). Rokhlin, Dmitry B. In: Papers. RePEc:arx:papers:2006.05204.

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2020Deeply Equal-Weighted Subset Portfolios. (2020). Il, Sang. In: Papers. RePEc:arx:papers:2006.14402.

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2020Dynamic Hedging using Generated Genetic Programming Implied Volatility Models. (2020). Abdelmalek, Wafa ; Abid, Fathi ; ben Hamida, Sana. In: Papers. RePEc:arx:papers:2006.16407.

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2020Investing with Cryptocurrencies -- evaluating their potential for portfolio allocation strategies. (2020). Elendner, Hermann ; Hardle, Wolfgang Karl ; Trimborn, Simon ; Petukhina, Alla. In: Papers. RePEc:arx:papers:2009.04461.

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2020Mean-variance portfolio selection with tracking error penalization. (2020). Pham, Huyen ; Loeper, Gregoire ; Lefebvre, William. In: Papers. RePEc:arx:papers:2009.08214.

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2020Robust Utility Maximization in a Multivariate Financial Market with Stochastic Drift. (2020). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:2009.14559.

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2020Asset Allocation via Machine Learning and Applications to Equity Portfolio Management. (2020). Hong, Zhenning ; Yang, Qing ; Zhang, Liangliang ; Ye, Tingting ; Tian, Ruyan. In: Papers. RePEc:arx:papers:2011.00572.

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2020Competition in Fund Management and Forward Relative Performance Criteria. (2020). Anthropelos, Michail ; Geng, Tianran ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:2011.00838.

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2020Estimating real-world probabilities: A forward-looking behavioral framework. (2020). Crisóstomo, Ricardo. In: Papers. RePEc:arx:papers:2012.09041.

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2020DO CONSUMERS NEED MORE PROTECTION FROM SMALL‐DOLLAR LENDERS? HISTORICAL EVIDENCE AND A ROADMAP FOR FUTURE RESEARCH. (2020). Elliehausen, Gregory ; Bolen, Brandon J ; Miller, Thomas W. In: Economic Inquiry. RePEc:bla:ecinqu:v:58:y:2020:i:4:p:1577-1613.

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2020How much should portfolios shrink?. (2020). Han, Chulwoo. In: Financial Management. RePEc:bla:finmgt:v:49:y:2020:i:3:p:707-740.

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2020Market Excess Returns, Variance and the Third Cumulant. (2020). Zhao, Huimin ; Chang, Eric C ; Zhang, Jin E. In: International Review of Finance. RePEc:bla:irvfin:v:20:y:2020:i:3:p:605-637.

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2020What Matters to Individual Investors? Evidence from the Horses Mouth. (2020). Choi, James ; Robertson, Adriana Z. In: Journal of Finance. RePEc:bla:jfinan:v:75:y:2020:i:4:p:1965-2020.

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2020Asset pricing with heterogeneous beliefs and illiquidity. (2020). Tan, Xiaowei ; Nutz, Marcel ; Muhlekarbe, Johannes. In: Mathematical Finance. RePEc:bla:mathfi:v:30:y:2020:i:4:p:1392-1421.

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2020Modelling Demand for ESG. (2020). Satchell, S ; Gao, Y ; Ahmed, M F. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:2093.

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2020On the Performance of Cryptocurrency Funds. (2020). Babiak, Mykola ; Bianchi, Daniele. In: CERGE-EI Working Papers. RePEc:cer:papers:wp672.

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2020Speculation-Driven Business Cycles. (2020). Zilberman, Eduardo ; Bigio, Saki. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:865.

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2020The Choice Channel of Financial Innovation. (2020). Simsek, Alp ; Nenov, Plamen T ; Iachan, Felipe Saraiva. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14361.

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2020On the inflation risks embedded in sovereign bond yields. (2020). Camba-Mendez, Gonzalo. In: Working Paper Series. RePEc:ecb:ecbwps:20202423.

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2021Split Bregman iteration for multi-period mean variance portfolio optimization. (2021). de Simone, Valentina ; Corsaro, Stefania ; Marino, Zelda. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:392:y:2021:i:c:s0096300320306688.

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2020Ambiguity attitudes and myopic loss aversion: Experimental evidence using carnival games. (2020). Damodaran, Uday ; Aggarwal, Divya. In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:25:y:2020:i:c:s2214635019300747.

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2020Protecting investors from themselves: Evidence from a regulatory intervention. (2020). Firth, Chris . In: Journal of Behavioral and Experimental Finance. RePEc:eee:beexfi:v:27:y:2020:i:c:s2214635019302576.

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2020Should investors include Bitcoin in their portfolios? A portfolio theory approach. (2020). Urquhart, Andrew ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:52:y:2020:i:4:s0890838919300605.

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2020Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. (2020). Trigeorgis, Lenos ; Driouchi, Tarik. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309332.

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2021Outer power transformations of hierarchical Archimedean copulas: Construction, sampling and estimation. (2021). Okhrin, Ostap ; Hofert, Marius ; Gorecki, Jan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:155:y:2021:i:c:s0167947320302000.

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2020Mean-variance analysis and the Modified Market Portfolio. (2020). Wenzelburger, Jan. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:111:y:2020:i:c:s0165188919302167.

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2020Horizon-unbiased investment with ambiguity. (2020). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:114:y:2020:i:c:s0165188920300646.

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2020Large-scale minimum variance portfolio allocation using double regularization. (2020). Liao, Yin ; Bian, Zhicun ; Zhang, Xueyong ; Shi, Jing ; Oneill, Michael. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:116:y:2020:i:c:s016518892030107x.

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2020Factor Investing for the Long Run. (2020). Tarelli, Andrea ; Lioui, Abraham. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:117:y:2020:i:c:s0165188920301287.

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2020Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397.

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2020Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424.

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2020Disagreement with procyclical beliefs and asset pricing. (2020). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302621.

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2020Risk decomposition, estimation error, and naïve diversification. (2020). Haensly, Paul J. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302165.

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2020Positional momentum and liquidity management; a bivariate rank approach. (2020). Panahidargahloo, Akram. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:52:y:2020:i:c:s1062940819302232.

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2020Forecasting stock market returns: New technical indicators and two-step economic constraint method. (2020). Hong, Lianying ; Kang, Jie ; Dong, Xiaodi ; Dai, Zhifeng. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:53:y:2020:i:c:s1062940820301133.

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2020On the different impacts of fixed versus floating bid-ask spreads on an automated intraday stock trading. (2020). Heywood, Malcolm ; Loginov, Alexander. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301443.

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2020Cryptocurrencies in institutional investors’ portfolios: Evidence from industry stop-loss rules. (2020). Biakowski, Jdrzej. In: Economics Letters. RePEc:eee:ecolet:v:191:y:2020:i:c:s0165176519304227.

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2020High-dimensional minimum variance portfolio estimation based on high-frequency data. (2020). Zheng, Xinghua ; Li, Yingying ; Hu, Jianchang ; Cai, Tony T. In: Journal of Econometrics. RePEc:eee:econom:v:214:y:2020:i:2:p:482-494.

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2020Spanning tests for Markowitz stochastic dominance. (2020). Scaillet, Olivier ; Arvanitis, Stelios ; Topaloglou, Nikolas. In: Journal of Econometrics. RePEc:eee:econom:v:217:y:2020:i:2:p:291-311.

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2020Statistical inferences for realized portfolio weights. (2020). Lazariv, Taras ; Seifert, Miriam Isabel ; Schmid, Wolfgang ; Golosnoy, Vasyl. In: Econometrics and Statistics. RePEc:eee:ecosta:v:14:y:2020:i:c:p:49-62.

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2020Integrated dynamic models for hedging international portfolio risks. (2020). Vladimirou, Hercules ; Topaloglou, Nikolas ; Zenios, Stavros A. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:48-65.

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2020Algorithmic trading for online portfolio selection under limited market liquidity. (2020). Zhang, Hai. In: European Journal of Operational Research. RePEc:eee:ejores:v:286:y:2020:i:3:p:1033-1051.

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2021Horses for courses: Mean-variance for asset allocation and 1/N for stock selection. (2021). Sutcliffe, Charles ; Ye, Xiaoxia ; Platanakis, Emmanouil. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:302-317.

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2021Quantitative portfolio selection: Using density forecasting to find consistent portfolios. (2021). Beasley, John ; Meade, N ; Adcock, C J. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:3:p:1053-1067.

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2021The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792.

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2020Biased information weight processing in stock markets. (2020). Langer, Thomas ; Mohrschladt, Hannes. In: Journal of Empirical Finance. RePEc:eee:empfin:v:57:y:2020:i:c:p:89-106.

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2020Does sophistication of the weighting scheme enhance the performance of long-short commodity portfolios?. (2020). faff, robert ; Miffre, Joelle ; Yew, Rand Kwong ; Rad, Hossein. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:164-180.

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2020A comparison of non-Gaussian VaR estimation and portfolio construction techniques. (2020). Lizieri, Colin ; Satchell, Stephen ; Allen, David. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:356-368.

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2020Beta and firm age. (2020). Moneta, Fabio ; Kim, Daehwan ; Chincarini, Ludwig B. In: Journal of Empirical Finance. RePEc:eee:empfin:v:58:y:2020:i:c:p:50-74.

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2020A new way of measuring the WTI – Brent spread. Globalization, shock persistence and common trends.. (2020). Golpe, Antonio ; Bravo, Jose Manuel ; Vides, Jose Carlos ; Iglesias, Jesus. In: Energy Economics. RePEc:eee:eneeco:v:85:y:2020:i:c:s014098831930341x.

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2020The role of hormones in financial markets. (2020). Bose, Subir ; Li, Xin ; Ladley, Daniel. In: International Review of Financial Analysis. RePEc:eee:finana:v:67:y:2020:i:c:s1057521918307890.

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2020Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599.

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2020Long-run versus short-run news and the term structure of equity. (2020). Marfe, Roberto ; Breugem, Matthijs. In: Finance Research Letters. RePEc:eee:finlet:v:36:y:2020:i:c:s1544612319306324.

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2020Robust optimal reinsurance–investment strategy with price jumps and correlated claims. (2020). Yang, Peng ; Chen, Zhiping. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:92:y:2020:i:c:p:27-46.

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2020Macro disagreement and international options markets. (2020). Xiong, Xiong ; Theocharides, George ; Lu, Lei ; Li, Hong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:65:y:2020:i:c:s1042443120300718.

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2020Realized volatility forecast with the Bayesian random compressed multivariate HAR model. (2020). Chen, Langnan ; Luo, Jiawen. In: International Journal of Forecasting. RePEc:eee:intfor:v:36:y:2020:i:3:p:781-799.

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2020Election uncertainty, economic policy uncertainty and financial market uncertainty: A prediction market analysis. (2020). McGroarty, Frank ; McGee, Richard J ; Goodell, John W. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302584.

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2020Sparse portfolio selection via the sorted â„“1-Norm. (2020). Paterlini, Sandra ; Bogdan, Magorzata ; Lee, Sangkyun ; Kremer, Philipp J. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:110:y:2020:i:c:s0378426619302614.

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2020Strategic trade when securitized portfolio values are unknown. (2020). Piccotti, Louis R. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:115:y:2020:i:c:s0378426620300832.

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2020Comparing high-dimensional conditional covariance matrices: Implications for portfolio selection. (2020). Ruiz, Esther ; Moura, Guilherme V. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:118:y:2020:i:c:s0378426620301485.

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2020A nonparametric approach to portfolio shrinkage. (2020). Han, Chulwoo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:120:y:2020:i:c:s0378426620302156.

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2021Optimal portfolio strategies in the presence of regimes in asset returns. (2021). Garcia, Rene ; Campani, Carlos Heitor ; Lewin, Marcelo. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302910.

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2020Shrinking the cross-section. (2020). Nagel, Stefan ; Kozak, Serhiy ; Santosh, Shrihari. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:271-292.

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2020Measuring skewness premia. (2020). Langlois, Hugues. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:2:p:399-424.

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2020Global currency hedging with common risk factors. (2020). Riddiough, Steven J ; Opie, Wei. In: Journal of Financial Economics. RePEc:eee:jfinec:v:136:y:2020:i:3:p:780-805.

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2020On the performance of volatility-managed portfolios. (2020). Yan, Xuemin ; Wang, Feifei ; Odoherty, Michael S ; Cederburg, Scott. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:1:p:95-117.

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2020When low beats high: Riding the sales seasonality premium. (2020). Kaba, Yamil ; Grullon, Gustavo ; Nuez-Torres, Alexander. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:2:p:572-591.

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2021Can unpredictable risk exposure be priced?. (2021). Driessen, Joost ; Barahona, Ricardo ; Frehen, Rik. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:522-544.

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2020Domestically formed international diversification. (2020). Vivian, Andrew ; Lu, Qinye. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:103:y:2020:i:c:s0261560619306473.

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2020Understanding the impact of investor sentiment on the price formation process: A review of the conduct of American stock markets. (2020). Ahmed, Bouteska. In: The Journal of Economic Asymmetries. RePEc:eee:joecas:v:22:y:2020:i:c:s1703494920300190.

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2020Directional distance based diversification super-efficiency DEA models for mutual funds. (2020). Li, Zongxin ; Lin, Ruiyue. In: Omega. RePEc:eee:jomega:v:97:y:2020:i:c:s0305048319301379.

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2020A comparison of pricing models for mineral rights: Copper mine in China. (2020). Florescu, Ionut ; Xiao, Chang ; Zhou, Jinsheng. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719300236.

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2020Investor sentiment and the economic policy uncertainty premium. (2020). Bai, Hengyu ; Nartea, Gilbert V ; Wu, JI. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:64:y:2020:i:c:s0927538x20300834.

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2020Commodity futures and a wavelet-based risk assessment. (2020). Czudaj, Robert ; Berger, Theo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:554:y:2020:i:c:s037843712030114x.

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2020Impawn rate optimisation in inventory financing: A canonical vine copula-based approach. (2020). Xu, Fangming ; Wang, Xiaojun ; Zhi, Bangdong. In: International Journal of Production Economics. RePEc:eee:proeco:v:227:y:2020:i:c:s0925527320300542.

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2020How informative are variance risk premium and implied volatility for Value-at-Risk prediction? International evidence. (2020). Boughrara, Adel ; Dahmene, Meriam ; Slim, Skander. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:76:y:2020:i:c:p:22-37.

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2020Portfolio models with return forecasting and transaction costs. (2020). Lin, Shun-Ji ; Lee, Wen-Yi ; Chiou, Wan-Jiun Paul ; Wan- Jiun Paul Chiou, ; Yu, Jing-Rung . In: International Review of Economics & Finance. RePEc:eee:reveco:v:66:y:2020:i:c:p:118-130.

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2020Household portfolio optimization with XTFs? An empirical study using the SHS-base. (2020). Oehler, Andreas ; Wanger, Hans Philipp. In: Research in International Business and Finance. RePEc:eee:riibaf:v:51:y:2020:i:c:s0275531919305318.

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2020The impact of co-jumps in the oil sector. (2020). Mauad, Roberto ; Laurini, Márcio ; Lucena, Fernando Antonio. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301758.

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2020Regime shift, speculation, and stock price. (2020). ZHANG, SHUOXUN ; Qin, Zhenjiang ; Fu, Yishu ; Du, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191931027x.

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2020Asset returns in deep learning methods: An empirical analysis on SSE 50 and CSI 300. (2020). Mei, Feng ; Li, Weiping. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531919305574.

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2020High-dimensional covariance matrix estimation. (2020). Lam, Clifford. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:101667.

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More than 100 citations found, this list is not complete...

Works by Raman Uppal:


YearTitleTypeCited
2019Does Household Finance Matter? Small Financial Errors with Large Social Costs In: American Economic Review.
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article2
2017Does Household Finance Matter? Small Financial Errors with Large Social Costs.(2017) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 2
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1993 A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance.
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article124
1995 The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity. In: Journal of Finance.
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article204
1997 An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance.
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article29
2003Model Misspecification and Underdiversification In: Journal of Finance.
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article132
2002Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 132
paper
2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
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article108
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: Swiss Finance Institute Research Paper Series.
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paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers.
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paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers.
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paper
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
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paper6
2016The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis.(2016) In: Journal of Monetary Economics.
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article
2016The intended and unintended consequences of financial-market regulations: A general equilibrium analysis.(2016) In: SAFE Working Paper Series.
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paper
2006What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series.
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paper7
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: CEPR Discussion Papers.
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paper
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7
paper
2015Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers.
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paper2
2017Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy? In: CEPR Discussion Papers.
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2016Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?.(2016) In: 2016 Meeting Papers.
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This paper has another version. Agregated cites: 0
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2017Financial Innovation and Asset Prices In: CEPR Discussion Papers.
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paper1
2017A Portfolio Perspective on the Multitude of Firm Characteristics In: CEPR Discussion Papers.
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paper5
2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
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paper0
2002Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers.
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paper2
2002Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers.
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paper23
2000Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2000) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 23
paper
2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2001) In: NBER Working Papers.
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This paper has another version. Agregated cites: 23
paper
2002The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers.
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paper7
2004The exchange rate and purchasing power parity: extending the theory and tests.(2004) In: Journal of International Money and Finance.
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This paper has another version. Agregated cites: 7
article
2005The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers.
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paper26
2006The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility.(2006) In: Journal of Economic Dynamics and Control.
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This paper has another version. Agregated cites: 26
article
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
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paper192
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers.
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This paper has another version. Agregated cites: 192
paper
2004Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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paper
2007Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2007) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 192
article
2005How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers.
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paper5
2006The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns In: CEPR Discussion Papers.
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paper5
2010Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers.
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paper72
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
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This paper has another version. Agregated cites: 72
article
2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
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paper55
2012Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science.
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This paper has another version. Agregated cites: 55
article
2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
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paper38
2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: Review of Financial Studies.
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article
2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
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paper47
2014Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: Review of Financial Studies.
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article
2013Asset Prices with Heterogeneity in Preferences and Beliefs.(2013) In: 2013 Meeting Papers.
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paper
2006Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books.
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book20
2000Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes.(2000) In: Cambridge Books.
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book
1993Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis.
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article64
1994Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis.
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article13
2003Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review.
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article17
1997Sovereign debt and the London Club: A precommitment device for limiting punishment for default In: Journal of Banking & Finance.
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article0
2000Efficient Intertemporal Allocations with Recursive Utility In: Journal of Economic Theory.
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article23
1997Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers.
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paper
1998Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers.
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This paper has another version. Agregated cites: 23
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1992Deviations from purchasing power parity and capital flows In: Journal of International Money and Finance.
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article7
1996Valuing risk and flexibility : A comparison of methods In: Resources Policy.
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article19
1996Valuing Risk and Flexibility: A Comparison of Methods..(1996) In: G.R.E.Q.A.M..
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paper
2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
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article20
2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science.
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article211
1996The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers.
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paper5
1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers.
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paper14
2001Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods..(2001) In: Review of Financial Studies.
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This paper has another version. Agregated cites: 14
article
2009Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies.
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article529
2009The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion In: Review of Financial Studies.
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article24
2020A Transaction-Cost Perspective on the Multitude of Firm Characteristics In: Review of Financial Studies.
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article1
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
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paper11

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