Raman Uppal : Citation Profile


Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

18

H index

24

i10 index

1854

Citations

RESEARCH PRODUCTION:

26

Articles

38

Papers

2

Books

RESEARCH ACTIVITY:

   26 years (1992 - 2018). See details.
   Cites by year: 71
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 320.    Total self citations: 20 (1.07 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2020-05-23    RAS profile: 2020-04-21    
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Relations with other researchers


Works with:

Vilkov, Grigory (6)

Bhamra, Harjoat (5)

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 (17)

Basak, Suleyman (16)

Peel, David (14)

Santos, Andre (14)

Miao, Jianjun (12)

Bec, Frédérique (12)

Chang, Chia-Lin (11)

Cites to:

Epstein, Larry (19)

merton, robert (14)

Campbell, John (11)

Wolf, Michael (9)

Guvenen, Fatih (9)

Zin, Stanley (9)

Kreps, David (9)

Jorion, Philippe (9)

Ledoit, Olivier (9)

Basak, Suleyman (8)

Engel, Charles (8)

Main data


Where Raman Uppal has published?


Journals with more than one article published# docs
Review of Financial Studies6
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
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2

Recent works citing Raman Uppal (2019 and 2018)


YearTitle of citing document
2018DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:36-94.

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2018Realizing Correlations Across Asset Classes. (2018). Vander Elst, Harry ; Olesen, Kasper V ; Lunde, Asger ; Gronborg, Niels S. In: CREATES Research Papers. RePEc:aah:create:2018-37.

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2019Uncertainty and the Uncovered Interest Parity Condition: How Are They Related?. (2019). Terrones, Marco ; Ramírez-Rondán, N.R. ; Ramirez-Rondan, N R. In: Working Papers. RePEc:apc:wpaper:156.

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2018On the time consistency of collective preferences. (2018). Alcalá, Luis. In: Papers. RePEc:arx:papers:1607.02688.

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2018Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292.

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2018Existence of a Radner equilibrium in a model with transaction costs. (2018). Weston, Kim . In: Papers. RePEc:arx:papers:1702.01706.

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2018News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715.

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2018Mean field and n-agent games for optimal investment under relative performance criteria. (2018). Zariphopoulou, Thaleia ; Lacker, Daniel . In: Papers. RePEc:arx:papers:1703.07685.

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2018Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2018). Panchenko, Valentyn ; Lafond, François ; Farmer, J. ; Lillo, Fabrizio ; Way, Rupert . In: Papers. RePEc:arx:papers:1705.03423.

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2018General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877.

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2018Equilibrium Returns with Transaction Costs. (2018). Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki ; Bouchard, Bruno. In: Papers. RePEc:arx:papers:1707.08464.

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2018Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296.

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2018Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Caccioli, Fabio ; Papp, G'Abor ; Kondor, Imre. In: Papers. RePEc:arx:papers:1709.08755.

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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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2018Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1804.01764.

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2018Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform. (2018). Tassinari, Gian Luca ; Bianchi, Michele Leonardo. In: Papers. RePEc:arx:papers:1805.05584.

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2018Incremental Sharpe and other performance ratios. (2018). Guez, Beatrice ; Benhamou, Eric. In: Papers. RePEc:arx:papers:1807.09864.

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2018Adaptive l1-regularization for short-selling control in portfolio selection. (2018). de Simone, Valentina ; Corsaro, Stefania. In: Papers. RePEc:arx:papers:1808.00982.

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2018Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Zhou, Chao ; Wei, Xiaoli ; Pham, Huyen. In: Papers. RePEc:arx:papers:1809.01464.

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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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2018Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800.

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2018Asset Price Distributions and Efficient Markets. (2018). Stroup, Caleb ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1810.12840.

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2018An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255.

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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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2019Robust Asset Allocation for Robo-Advisors. (2019). Roncalli, Thierry ; Lezmi, Edmond ; Bourgeron, Thibault. In: Papers. RePEc:arx:papers:1902.07449.

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2019Horizon-unbiased Investment with Ambiguity. (2019). Zhou, Chao ; Sun, Xianming ; Lin, Qian. In: Papers. RePEc:arx:papers:1904.09379.

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2019Forecasting in Big Data Environments: an Adaptable and Automated Shrinkage Estimation of Neural Networks (AAShNet). (2019). Maasoumi, Esfandiar ; Habibnia, Ali. In: Papers. RePEc:arx:papers:1904.11145.

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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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2019Sampling 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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2019Critical Decisions for Asset Allocation via Penalized Quantile Regression. (2019). Bonaccolto, Giovanni. In: Papers. RePEc:arx:papers:1908.04697.

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2019Quantitative 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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2019Robust 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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2019Optimal investment and contingent claim valuation with exponential disutility under proportional transaction costs. (2019). Xu, Zhikang ; Roux, Alet. In: Papers. RePEc:arx:papers:1909.06260.

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2019Machine Learning Optimization Algorithms & Portfolio Allocation. (2019). Roncalli, Thierry ; Perrin, Sarah. In: Papers. RePEc:arx:papers:1909.10233.

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2019A Robust Transferable Deep Learning Framework for Cross-sectional Investment Strategy. (2019). Komiyama, Junpei ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:1910.01491.

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2019Portfolio Cuts: A Graph-Theoretic Framework to Diversification. (2019). Mandic, Danilo P ; Constantinides, Anthony G ; Stankovic, Ljubisa ; Dees, Bruno Scalzo. In: Papers. RePEc:arx:papers:1910.05561.

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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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2019Sparsity and Stability for Minimum-Variance Portfolios. (2019). Steinert, Rick ; Shivarova, Antoniya ; Husmann, Sven . In: Papers. RePEc:arx:papers:1910.11840.

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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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2019Portfolio optimization based on forecasting models using vine copulas: An empirical assessment for the financial crisis. (2019). Stephan, Andreas ; Sahamkhadam, Maziar. In: Papers. RePEc:arx:papers:1912.10328.

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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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2018Spatially Structured Deep Uncertainty, Robust Control, and Climate Change Policies. (2018). Xepapadeas, Anastasios ; Yannacopoulos, Athanasios. In: DEOS Working Papers. RePEc:aue:wpaper:1807.

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2018Portfolio Performance of Linear SDF Models: An Out-of-Sample Assessment. (2018). Hansen, Erwin ; Guidolin, Massimo ; Lozano-Banda, Martin. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1885.

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2018Forecasting Commodity Futures Returns: An Economic Value Analysis of Macroeconomic vs. Specific Factors. (2018). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1886.

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2019How Smart is the Real Estate Smart Beta? Evidence from Optimal Style Factor Strategies for REITs. (2019). Guidolin, Massimo ; Pedio, Manuela. In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp19117.

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2019A Volatility Smile-Based Uncertainty Index. (2019). Moura, Jaqueline Terra ; Machado, Jose Valentim. In: Working Papers Series. RePEc:bcb:wpaper:502.

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2018Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95.

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2018Noise Momentum Around the World. (2018). Cai, Charlie X ; Shin, Yongcheol ; Faff, Robert. In: Abacus. RePEc:bla:abacus:v:54:y:2018:i:1:p:79-104.

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2018Vine copulas: modelling systemic risk and enhancing higher‐moment portfolio optimisation. (2018). Yew, Rand Kwong. In: Accounting and Finance. RePEc:bla:acctfi:v:58:y:2018:i:s1:p:423-463.

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2019Biased beliefs, costly external finance, and firm behavior : A Unified theory. (2019). Yang, Jinqiang ; Mu, Congming ; Lu, Lei ; Li, Delong. In: Research Discussion Papers. RePEc:bof:bofrdp:2019_018.

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2019An Asset-Based Framework of Credit Creation (applied to the Global Financial Crisis). (2019). Didier, Sornette ; Becke, Von Der. In: Accounting, Economics, and Law: A Convivium. RePEc:bpj:aelcon:v:9:y:2019:i:2:p:21:n:1.

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2018A New Semiparametric Estimation Approach for Large Dynamic Covariance Matrices with Multiple Conditioning Variables. (2018). LINTON, OLIVER ; Chen, Jia. In: Cambridge Working Papers in Economics. RePEc:cam:camdae:1876.

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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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2018Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760.

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2018Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13029.

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2018Factors that Fit the Time Series and Cross-Section of Stock Returns. (2018). Lettau, Martin ; Pelger, Markus. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13049.

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2018Inequality Aversion, Populism, and the Backlash Against Globalization. (2018). Pastor, Lubos ; Veronesi, Pietro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13107.

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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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2019Pension funds, large capital inflows and stock returns in a thin market. (2019). Serwa, Dobromi ; Bohl, Martin T ; Brzeszczyski, Janusz. In: Journal of Pension Economics and Finance. RePEc:cup:jpenef:v:18:y:2019:i:03:p:347-387_00.

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2018An Analysis of Gold Futures as an Alternative Asset: Evidence from India. (2018). Jaiswal, Ritika ; Uchil, Rashmi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2018-06-21.

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2018Socially responsible investment portfolios: Does the optimization process matter?. (2018). Sutcliffe, Charles ; Platanakis, Emmanouil ; Oikonomou, Ioannis. In: The British Accounting Review. RePEc:eee:bracre:v:50:y:2018:i:4:p:379-401.

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2019Harmful diversification: Evidence from alternative investments. (2019). Sutcliffe, Charles ; Sakkas, Athanasios ; Platanakis, Emmanouil. In: The British Accounting Review. RePEc:eee:bracre:v:51:y:2019:i:1:p:1-23.

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2018(How) do credit market conditions affect firms post-hedging outcomes? Evidence from bank lending standards and firms currency exposure. (2018). Bergbrant, Mikael C ; Hunter, Delroy M. In: Journal of Corporate Finance. RePEc:eee:corfin:v:50:y:2018:i:c:p:203-222.

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2019Wright meets Markowitz: How standard portfolio theory changes when assets are technologies following experience curves. (2019). Panchenko, Valentyn ; Lafond, François ; Way, Rupert ; Farmer, Doyne J ; Lillo, Fabrizio. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:101:y:2019:i:c:p:211-238.

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2019Markowitz with regret. (2019). Korn, Olaf ; Baule, Rainer ; Kuntz, Laura-Chloe . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:103:y:2019:i:c:p:1-24.

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2019Investor expectations, earnings management, and asset prices. (2019). Du, Kai. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:105:y:2019:i:c:p:134-157.

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2019Hedging recessions. (2019). Munk, Claus ; Larsen, Linda Sandris ; Branger, Nicole. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:107:y:2019:i:c:2.

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2019A unified model for regularized and robust portfolio optimization. (2019). Plachel, Lukas. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:109:y:2019:i:c:s0165188919301769.

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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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2018Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

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2018Equity home bias—A global perspective from the shrunk frontier. (2018). Paul, Satya ; Shankar, Sriram ; Mukherjee, Raja. In: Economic Analysis and Policy. RePEc:eee:ecanpo:v:57:y:2018:i:c:p:9-21.

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2018A generalized CAPM model with asymmetric power distributed errors with an application to portfolio construction. (2018). Bao, Te ; Li, Hao ; Diks, Cees. In: Economic Modelling. RePEc:eee:ecmode:v:68:y:2018:i:c:p:611-621.

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2018Time-consistent mean-variance portfolio selection with only risky assets. (2018). Pun, Chi Seng. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:281-292.

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2018High-dimensional covariance forecasting based on principal component analysis of high-frequency data. (2018). Jian, Zhi Hong ; Zhu, Zhican ; Deng, Pingjun. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:422-431.

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2018The importance of hedging currency risk: Evidence from CNY and CNH. (2018). Du, Jiangze ; Lai, Kin Keung ; Hsu, Yuan-Teng ; Wang, Jying-Nan. In: Economic Modelling. RePEc:eee:ecmode:v:75:y:2018:i:c:p:81-92.

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2019Predatory cells and puzzling financial crises: Are toxic products good for the financial markets?. (2019). Racicot, François-Éric ; Mesly, Olivier ; Chkir, Imed. In: Economic Modelling. RePEc:eee:ecmode:v:78:y:2019:i:c:p:11-31.

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2018The “Sell in May” effect: A review and new empirical evidence. (2018). Degenhardt, Thomas ; Auer, Benjamin R. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:43:y:2018:i:c:p:169-205.

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2018How money illusions and heterogeneous beliefs affect asset prices. (2018). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:44:y:2018:i:c:p:167-192.

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2019International portfolio of stock indices with spatiotemporal correlations: Can investors still benefit from portfolio, when and where?. (2019). Liu, Fang ; Zhang, Weiguo ; Tan, Chunzhi ; Mo, Guoli. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:47:y:2019:i:c:p:168-183.

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2019Approximate analytical solutions for consumption/investment problems under recursive utility and finite horizon. (2019). Garcia, Rene ; Campani, Carlos Heitor. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:364-384.

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2019Screening rules and portfolio performance. (2019). Nieto, Belen ; Navarro, Lluis ; Leon, Angel . In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:642-662.

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2019Can investors attention on oil markets predict stock returns?. (2019). Feng, Jiabao ; Yin, Libo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:48:y:2019:i:c:p:786-800.

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2018Optimal vs naïve diversification in cryptocurrencies. (2018). Platanakis, Emmanouil ; Urquhart, Andrew ; Sutcliffe, Charles. In: Economics Letters. RePEc:eee:ecolet:v:171:y:2018:i:c:p:93-96.

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2019Portfolio management with cryptocurrencies: The role of estimation risk. (2019). Urquhart, Andrew ; Platanakis, Emmanouil. In: Economics Letters. RePEc:eee:ecolet:v:177:y:2019:i:c:p:76-80.

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2018Portfolio optimization based on stochastic dominance and empirical likelihood. (2018). Post, Thierry ; Arvanitis, Stelios ; Karabati, Seluk. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:167-186.

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2018A nonparametric eigenvalue-regularized integrated covariance matrix estimator for asset return data. (2018). Lam, Clifford ; Feng, Phoenix. In: Journal of Econometrics. RePEc:eee:econom:v:206:y:2018:i:1:p:226-257.

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2018Modeling and forecasting (un)reliable realized covariances for more reliable financial decisions. (2018). Quaedvlieg, Rogier ; Patton, Andrew J ; Bollerslev, Tim. In: Journal of Econometrics. RePEc:eee:econom:v:207:y:2018:i:1:p:71-91.

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2019High-dimensional multivariate realized volatility estimation. (2019). Bollerslev, Tim ; Meddahi, Nour ; Nyawa, Serge. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:116-136.

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2019A new semiparametric estimation approach for large dynamic covariance matrices with multiple conditioning variables. (2019). Li, Degui ; Chen, Jia ; Linton, Oliver. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:155-176.

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2019Large-scale portfolio allocation under transaction costs and model uncertainty. (2019). Hautsch, Nikolaus ; Voigt, Stefan. In: Journal of Econometrics. RePEc:eee:econom:v:212:y:2019:i:1:p:221-240.

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

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2018Naive versus optimal diversification: Tail risk and performance. (2018). Hwang, In Chang ; Xu, Simon ; In, Francis. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:372-388.

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2018Computing near-optimal Value-at-Risk portfolios using integer programming techniques. (2018). Babat, Onur ; Zuluaga, Luis F ; Vera, Juan C. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:304-315.

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2018Estimation of the global minimum variance portfolio in high dimensions. (2018). Parolya, Nestor ; Bodnar, Taras ; Schmid, Wolfgang. In: European Journal of Operational Research. RePEc:eee:ejores:v:266:y:2018:i:1:p:371-390.

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2018DEA frontier improvement and portfolio rebalancing: An application of China mutual funds on considering sustainability information disclosure. (2018). Zhou, Zhongbao ; Liu, Wenbin ; Jin, Qianying ; Xiao, Helu. In: European Journal of Operational Research. RePEc:eee:ejores:v:269:y:2018:i:1:p:111-131.

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2019Black–Litterman model for continuous distributions. (2019). Palczewski, Andrzej. In: European Journal of Operational Research. RePEc:eee:ejores:v:273:y:2019:i:2:p:708-720.

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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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2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
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2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers.
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2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers.
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2016The intended and unintended consequences of financial-market regulations: A general equilibrium analysis.(2016) In: SAFE Working Paper Series.
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2006What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series.
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2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers.
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2015Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers.
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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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2017Financial Innovation and Asset Prices In: CEPR Discussion Papers.
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2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
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2002Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers.
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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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2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2001) In: NBER Working Papers.
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2002The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers.
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2004The exchange rate and purchasing power parity: extending the theory and tests.(2004) In: Journal of International Money and Finance.
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2005The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers.
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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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2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
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2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers.
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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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2007Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2007) In: Review of Financial Studies.
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2005How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers.
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2006The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns In: CEPR Discussion Papers.
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2010Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers.
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2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
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2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
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2012Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science.
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2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
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2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: Review of Financial Studies.
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2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
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2014Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: Review of Financial Studies.
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1994Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis.
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1997Sovereign debt and the London Club: A precommitment device for limiting punishment for default In: Journal of Banking & Finance.
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2000Efficient Intertemporal Allocations with Recursive Utility In: Journal of Economic Theory.
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1997Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers.
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1998Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers.
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1992Deviations from purchasing power parity and capital flows In: Journal of International Money and Finance.
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1996Valuing risk and flexibility : A comparison of methods In: Resources Policy.
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1996Valuing Risk and Flexibility: A Comparison of Methods..(1996) In: G.R.E.Q.A.M..
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2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
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1996The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers.
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1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers.
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2001Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods..(2001) In: Review of Financial Studies.
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2009Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies.
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