Raman Uppal : Citation Profile


Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

22

H index

28

i10 index

3064

Citations

RESEARCH PRODUCTION:

27

Articles

39

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 109
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 151.    Total self citations: 30 (0.97 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2024-01-16    RAS profile: 2022-08-03    
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Relations with other researchers


Works with:

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 (33)

Peel, David (29)

Guidolin, Massimo (26)

Caporin, Massimiliano (24)

Paya, Ivan (20)

Basak, Suleyman (20)

Bec, Frédérique (18)

Santos, Andre (18)

Paterlini, Sandra (17)

Kapetanios, George (16)

Vrins, Frédéric (16)

Cites to:

Campbell, John (39)

merton, robert (32)

Epstein, Larry (26)

Dumas, Bernard (23)

Calvet, Laurent (20)

Constantinides, George (17)

Weil, Philippe (15)

Basak, Suleyman (15)

phalippou, ludovic (14)

Xiong, Wei (14)

Shleifer, Andrei (14)

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
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers22
NBER Working Papers / National Bureau of Economic Research, Inc5
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2

Recent works citing Raman Uppal (2024 and 2023)


YearTitle of citing document
2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2023An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Distributionally robust risk evaluation with causality constraint and structural information. (2022). Han, Bingyan. In: Papers. RePEc:arx:papers:2203.10571.

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2023Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757.

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2023Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2023A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2023A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation. (2023). Cifuentes, Arturo ; Ram, Domingo ; Larr, Omar ; Su, Fernando. In: Papers. RePEc:arx:papers:2302.02269.

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2023Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045.

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2023A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling. (2023). Musgens, Felix ; Grothe, Oliver ; Mobius, Thomas ; Watermeyer, Mira. In: Papers. RePEc:arx:papers:2304.09336.

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2023Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166.

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2023Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343.

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2023An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction. (2023). Chua, Tat-Seng ; Ng, Ritchie ; Ma, Yunshan. In: Papers. RePEc:arx:papers:2309.00073.

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2023Risk-reducing design and operations toolkit: 90 strategies for managing risk and uncertainty in decision problems. (2023). Gutfraind, Alexander. In: Papers. RePEc:arx:papers:2309.03133.

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2023Doubly Robust Mean-CVaR Portfolio. (2023). Kuroki, Seiichi ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2309.11693.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023Consensus group decision making under model uncertainty with a view towards environmental policy making. (2023). Yannacopoulos, Athanasios N ; Petracou, Electra V ; Papayiannis, Georgios I ; Koundouri, Phoebe. In: Papers. RePEc:arx:papers:2312.00436.

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2023A return-diversification approach to portfolio selection. (2023). Tardella, Fabio ; Martino, Manuel Luis ; Giacometti, Rosella ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2312.09707.

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2023The financial and green effects of cultural values on mission drifts in European social enterprises. (2023). Dicorato, Spiridione Lucio ; Doronzo, Emanuele ; Esposito, Paolo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:1-29.

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2023Investor beliefs about transformative innovations under uncertainty. (2023). Oechslin, Manuel ; Garbely, Anja ; Binswanger, Johannes. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1119-1144.

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2023Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342.

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2023Robust irreversible investment strategy with ambiguity to jump and diffusion risk. (2023). Wang, Haijun ; Li, Shuang. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:645-665.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Naïve Buying Diversification and Narrow Framing by Individual Investors. (2023). Hirshleifer, David ; Gathergood, John ; Stewart, Neil ; Sakaguchi, Hiroaki ; Leake, David. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1705-1741.

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2023Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775.

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2023A Simple Rule is Born: How CEOs Distill Heuristics. (2023). Khapova, Svetlana N ; Ruotsalainen, Riku ; Atanasiu, Radu. In: Journal of Management Studies. RePEc:bla:jomstd:v:60:y:2023:i:5:p:1064-1104.

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2023Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Discussion Papers. RePEc:cfm:wpaper:2312.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347.

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2023Historical social capital and contemporary private investment choices. (2023). Kang, Yankun ; Bai, Caiquan ; Feng, Chen. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000147.

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2023Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2023PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2023Emerging equity markets in a globalized world. (2023). Bekaert, Geert ; Mondino, Tomas ; Harvey, Campbell R. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000390.

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2023A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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2023Automated stock picking using random forests. (2023). Breitung, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556.

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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. (2023). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004264.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Rational distorted beliefs investor; which risk matters?. (2023). Moutanabbir, Khouzeima ; Bouaddi, Mohammed. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006080.

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2023The effects of personality and IQ on portfolio outcomes. (2023). Leake, David ; Antoniou, Constantinos ; Stewart, Neil ; Firth, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006407.

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2023A Privacy-preserving mean–variance optimal portfolio. (2023). Lee, Jaewook ; Ko, Hyungjin ; Byun, Junyoung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001678.

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2023Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation. (2023). Zoia, Maria Grazia ; Nava, Consuelo Rubina ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708.

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2023Firm fundamentals and the cross-section of implied volatility shapes. (2023). Zhou, Guofu ; Guo, Biao ; Chen, Ding. In: Journal of Financial Markets. RePEc:eee:finmar:v:63:y:2023:i:c:s1386418122000611.

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2023Job postings and aggregate stock returns. (2023). Odoherty, Michael S ; Kothari, Pratik. In: Journal of Financial Markets. RePEc:eee:finmar:v:64:y:2023:i:c:s1386418123000022.

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2023A note on portfolios of averages of lognormal variables. (2023). Jiang, Ruihong ; Boyle, Phelim. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:112:y:2023:i:c:p:97-109.

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2023Average tail risk and aggregate stock returns. (2023). , Richard ; Dai, Yingtong. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:82:y:2023:i:c:s1042443122001718.

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2023Two faces of the size effect. (2023). Guo, Laite. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002886.

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2023Money supply, opinion dispersion, and stock prices. (2023). Hirota, Shinichi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:1286-1310.

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2023International capital markets with interdependent preferences: Theory and empirical evidence. (2023). Curatola, Giuliano ; Dergunov, Ilya. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:403-421.

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2023Portfolio Choice with Endogenous Donations - Modeling University Endowments. (2023). Stoughton, Neal M ; Franz, Richard ; Cejnek, Georg. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s014861952300022x.

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2023New experimental evidence on the relationship between home bias, ambiguity aversion and familiarity heuristics. (2023). Wang, Mei ; Horn, Kristian ; Dlugosch, Dennis. In: Journal of Economics and Business. RePEc:eee:jebusi:v:125-126:y:2023:i::s0148619523000243.

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2023Schumpeterian competition in a Lucas economy. (2023). Carlin, Bruce I ; Andrei, Daniel. In: Journal of Economic Theory. RePEc:eee:jetheo:v:208:y:2023:i:c:s0022053123000091.

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2023Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s002205312300039x.

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2023Institutional investors, heterogeneous benchmarks and the comovement of asset prices. (2023). Hodor, Idan ; Buffa, Andrea M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:352-381.

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2023The negativity bias and perceived return distributions: Evidence from a pandemic. (2023). Turtle, H J ; Starks, Laura T ; Sias, Richard. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:3:p:627-657.

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2023Insurance and portfolio decisions: Two sides of the same coin?. (2023). Treich, Nicolas ; Foncel, Jerome ; Armantier, Olivier. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:201-219.

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2023Flights-to-safety and macroeconomic adjustment in emerging markets: The role of U.S. monetary policy. (2023). Ahmed, Rashad. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:133:y:2023:i:c:s0261560623000281.

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2023Which factor model? A systematic return covariation perspective. (2023). Tsvetanov, Daniel ; Symeonidis, Lazaros ; Bu, Ziwen ; Ahmed, Shamim. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:136:y:2023:i:c:s0261560623000669.

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2023A Bayesian perspective on commodity style integration. (2023). Zhao, Nan ; Fuertes, Ana-Maria. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000181.

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2023Gold, bitcoin, and portfolio diversification: Lessons from the Ukrainian war. (2023). Szafarz, Ariane ; OOSTERLINCK, Kim ; Reyns, Ariane. In: Resources Policy. RePEc:eee:jrpoli:v:83:y:2023:i:c:s030142072300421x.

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2023Unrealized arbitrage opportunities in naive equilibria with non-Bayesian belief processes. (2023). Zimper, Alexander. In: Mathematical Social Sciences. RePEc:eee:matsoc:v:125:y:2023:i:c:p:27-41.

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2023Dynamic portfolio selection with linear control policies for coherent risk minimization. (2023). Gotoh, Jun-Ya ; Takano, Yuichi. In: Operations Research Perspectives. RePEc:eee:oprepe:v:10:y:2023:i:c:s2214716022000331.

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2023A continuous-time macro-finance model with Knightian uncertainty. (2023). Yan, Jingzhou ; Shen, Guanxiong ; Mao, Jie. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:77:y:2023:i:c:s0927538x22002244.

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2023The empirical performance of option implied volatility surface-driven optimal portfolios. (2023). Guidolin, Massimo ; Wang, Kai. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:618:y:2023:i:c:s0378437123000511.

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2023Robust reward-risk performance measures with weakly second-order stochastic dominance constraints. (2023). Kouaissah, Noureddine. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:88:y:2023:i:c:p:53-62.

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2023The volatility index and volatility risk premium in China. (2023). Zhang, Jin E ; Gehricke, Sebastian ; Ruan, Xinfeng ; Yue, Tian. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:91:y:2023:i:c:p:40-55.

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2023Crisis stress for the diversity of financial portfolios — evidence from European households. (2023). Stephan, Andreas ; Schäfer, Dorothea ; Weser, Henriette ; Schafer, Dorothea. In: International Review of Economics & Finance. RePEc:eee:reveco:v:83:y:2023:i:c:p:330-347.

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2023Nonlinearity in the cross-section of stock returns: Evidence from China. (2023). Chen, Dongxu ; Tong, Guoshi ; Wu, KE ; Wang, Jianqiu. In: International Review of Economics & Finance. RePEc:eee:reveco:v:85:y:2023:i:c:p:174-205.

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2023International portfolio diversification and the home bias puzzle. (2023). Oh, Frederick Dongchuhl ; Lee, Kyounghun. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922001933.

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2023Re-evaluating portfolio diversification and design using cryptocurrencies: Are decentralized cryptocurrencies enough?. (2023). Vo, Xuan Vinh ; Bakry, Walid ; Al-Mohamad, Somar ; Prasad, Mason ; Khaki, Audil. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s0275531922002094.

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2023Analysing and forecasting co-movement between innovative and traditional financial assets based on complex network and machine learning. (2023). Uddin, Gazi Salah ; Zhu, You ; Wang, Gang-Jin ; Xie, Chi ; Zhou, Yang. In: Research in International Business and Finance. RePEc:eee:riibaf:v:64:y:2023:i:c:s027553192200232x.

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2023Does reinforcement learning outperform deep learning and traditional portfolio optimization models in frontier and developed financial markets?. (2023). van Nguyen, Phuc ; Ngo, Vu Minh. In: Research in International Business and Finance. RePEc:eee:riibaf:v:65:y:2023:i:c:s0275531923000624.

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2023Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117701.

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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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article12
2017Does Household Finance Matter? Small Financial Errors with Large Social Costs.(2017) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 12
paper
1993 A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance.
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article150
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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article293
1997 An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance.
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article30
2003Model Misspecification and Underdiversification In: Journal of Finance.
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article172
2002Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 172
paper
2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
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article165
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 165
paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 165
paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 165
paper
2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
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paper16
2016The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis.(2016) In: Journal of Monetary Economics.
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This paper has nother version. Agregated cites: 16
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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paper12
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 nother version. Agregated cites: 12
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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paper0
2016Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?.(2016) In: 2016 Meeting Papers.
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This paper has nother version. Agregated cites: 0
paper
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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paper7
2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
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paper0
2020Investor Sophistication and Portfolio Dynamics In: CEPR Discussion Papers.
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paper0
2002Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers.
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paper3
2002Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers.
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paper45
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 nother version. Agregated cites: 45
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 nother version. Agregated cites: 45
paper
2002The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers.
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paper9
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 nother version. Agregated cites: 9
article
2005The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers.
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paper30
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 nother version. Agregated cites: 30
article
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
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paper269
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 269
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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This paper has nother version. Agregated cites: 269
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 nother version. Agregated cites: 269
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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paper101
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 101
article
2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
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paper84
2012Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science.
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This paper has nother version. Agregated cites: 84
article
2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
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paper50
2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 50
article
2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
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paper97
2014Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: Review of Financial Studies.
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This paper has nother version. Agregated cites: 97
article
2013Asset Prices with Heterogeneity in Preferences and Beliefs.(2013) In: 2013 Meeting Papers.
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This paper has nother version. Agregated cites: 97
paper
2006Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books.
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book28
2000Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes.(2000) In: Cambridge Books.
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This paper has nother version. Agregated cites: 28
book
1993Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis.
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article70
1994Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis.
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article15
2003Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review.
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article22
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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article26
1997Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers.
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This paper has nother version. Agregated cites: 26
paper
1998Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers.
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This paper has nother version. Agregated cites: 26
paper
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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article22
1996Valuing Risk and Flexibility: A Comparison of Methods..(1996) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has nother version. Agregated cites: 22
paper
2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
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article22
2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science.
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article326
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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paper18
2001Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 18
article
2009Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies.
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article857
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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article45
2020A Transaction-Cost Perspective on the Multitude of Firm Characteristics In: Review of Financial Studies.
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article30
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
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paper13

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