22
H index
28
i10 index
3064
Citations
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. MORE DETAILS IN: ABOUT THIS REPORT: Permalink: http://citec.repec.org/pup16 |
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: | Cites to: |
Journals with more than one article published | # docs |
---|---|
Review of Financial Studies | 7 |
Journal of Finance | 5 |
Journal of Financial and Quantitative Analysis | 3 |
Journal of International Money and Finance | 2 |
Working Papers Series with more than one paper published | # docs |
---|---|
CEPR Discussion Papers / C.E.P.R. Discussion Papers | 22 |
NBER Working Papers / National Bureau of Economic Research, Inc | 5 |
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE | 2 |
Swiss Finance Institute Research Paper Series / Swiss Finance Institute | 2 |
Year | Title of citing document | |
---|---|---|
2023 | Sensitivity 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. Full description at Econpapers || Download paper | |
2023 | Sampling 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. Full description at Econpapers || Download paper | |
2023 | Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435. Full description at Econpapers || Download paper | |
2023 | Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757. Full description at Econpapers || Download paper | |
2023 | An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975. Full description at Econpapers || Download paper | |
2023 | Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959. Full description at Econpapers || Download paper | |
2023 | Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644. Full description at Econpapers || Download paper | |
2023 | Distributionally robust risk evaluation with causality constraint and structural information. (2022). Han, Bingyan. In: Papers. RePEc:arx:papers:2203.10571. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2023 | Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679. Full description at Econpapers || Download paper | |
2023 | Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623. Full description at Econpapers || Download paper | |
2023 | Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420. Full description at Econpapers || Download paper | |
2023 | A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158. Full description at Econpapers || Download paper | |
2023 | A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751. Full description at Econpapers || Download paper | |
2023 | Option 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. Full description at Econpapers || Download paper | |
2023 | Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166. Full description at Econpapers || Download paper | |
2023 | Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530. Full description at Econpapers || Download paper | |
2023 | Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881. Full description at Econpapers || Download paper | |
2023 | Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343. Full description at Econpapers || Download paper | |
2023 | An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402. Full description at Econpapers || Download paper | |
2023 | Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384. Full description at Econpapers || Download paper | |
2023 | Diffusion 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. Full description at Econpapers || Download paper | |
2023 | Risk-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. Full description at Econpapers || Download paper | |
2023 | Doubly Robust Mean-CVaR Portfolio. (2023). Kuroki, Seiichi ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2309.11693. Full description at Econpapers || Download paper | |
2023 | Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511. Full description at Econpapers || Download paper | |
2023 | Consensus 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. Full description at Econpapers || Download paper | |
2023 | A return-diversification approach to portfolio selection. (2023). Tardella, Fabio ; Martino, Manuel Luis ; Giacometti, Rosella ; Cesarone, Francesco. In: Papers. RePEc:arx:papers:2312.09707. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Investor 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. Full description at Econpapers || Download paper | |
2023 | Belief 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. Full description at Econpapers || Download paper | |
2023 | Robust 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. Full description at Econpapers || Download paper | |
2023 | Beliefs 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. Full description at Econpapers || Download paper | |
2023 | Bayesian 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. Full description at Econpapers || Download paper | |
2023 | Integrating 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. Full description at Econpapers || Download paper | |
2023 | Naïve 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. Full description at Econpapers || Download paper | |
2023 | Model 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Discussion Papers. RePEc:cfm:wpaper:2312. Full description at Econpapers || Download paper | |
2023 | Test 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. Full description at Econpapers || Download paper | |
2023 | High-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. Full description at Econpapers || Download paper | |
2023 | Historical 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. Full description at Econpapers || Download paper | |
2023 | Portfolio 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. Full description at Econpapers || Download paper | |
2023 | Portfolio 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. Full description at Econpapers || Download paper | |
2023 | Semiparametric 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Building 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. Full description at Econpapers || Download paper | |
2023 | PELVE: 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. Full description at Econpapers || Download paper | |
2023 | Sharpe 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. Full description at Econpapers || Download paper | |
2023 | Cardinality-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. Full description at Econpapers || Download paper | |
2023 | Portfolio 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. Full description at Econpapers || Download paper | |
2023 | Emerging 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Using, 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. Full description at Econpapers || Download paper | |
2023 | Stock 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. Full description at Econpapers || Download paper | |
2023 | Automated 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. Full description at Econpapers || Download paper | |
2023 | When “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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Measuring 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. Full description at Econpapers || Download paper | |
2023 | Rational 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Kurtosis-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. Full description at Econpapers || Download paper | |
2023 | Firm 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. Full description at Econpapers || Download paper | |
2023 | Job 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Average 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. Full description at Econpapers || Download paper | |
2023 | Two faces of the size effect. (2023). Guo, Laite. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002886. Full description at Econpapers || Download paper | |
2023 | Money 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. Full description at Econpapers || Download paper | |
2023 | International 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. Full description at Econpapers || Download paper | |
2023 | Portfolio 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. Full description at Econpapers || Download paper | |
2023 | New 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. Full description at Econpapers || Download paper | |
2023 | Schumpeterian 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. Full description at Econpapers || Download paper | |
2023 | Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Journal of Economic Theory. RePEc:eee:jetheo:v:210:y:2023:i:c:s002205312300039x. Full description at Econpapers || Download paper | |
2023 | Institutional 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Insurance 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. Full description at Econpapers || Download paper | |
2023 | Flights-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. Full description at Econpapers || Download paper | |
2023 | Which 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | Gold, 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. Full description at Econpapers || Download paper | |
2023 | Unrealized 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. Full description at Econpapers || Download paper | |
2023 | Dynamic 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. Full description at Econpapers || Download paper | |
2023 | A 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Robust 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. Full description at Econpapers || Download paper | |
2023 | The 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. Full description at Econpapers || Download paper | |
2023 | Crisis 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. Full description at Econpapers || Download paper | |
2023 | Nonlinearity 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. Full description at Econpapers || Download paper | |
2023 | International 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. Full description at Econpapers || Download paper | |
2023 | Re-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. Full description at Econpapers || Download paper | |
2023 | Analysing 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. Full description at Econpapers || Download paper | |
2023 | Does 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. Full description at Econpapers || Download paper | |
2023 | Dynamic portfolio optimization with inverse covariance clustering. (2023). Aste, Tomaso ; Wang, Yuanrong. In: LSE Research Online Documents on Economics. RePEc:ehl:lserod:117701. Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
2023 | . Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
---|---|---|---|
2019 | Does Household Finance Matter? Small Financial Errors with Large Social Costs In: American Economic Review. [Full Text][Citation analysis] | article | 12 |
2017 | Does Household Finance Matter? Small Financial Errors with Large Social Costs.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
1993 | A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance. [Full Text][Citation analysis] | article | 150 |
1995 | The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity. In: Journal of Finance. [Full Text][Citation analysis] | article | 293 |
1997 | An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 30 |
2003 | Model Misspecification and Underdiversification In: Journal of Finance. [Full Text][Citation analysis] | article | 172 |
2002 | Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 172 | paper | |
2009 | Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 165 |
2007 | Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 165 | paper | |
2007 | Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 165 | paper | |
2007 | Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 165 | paper | |
2016 | The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks. [Full Text][Citation analysis] | paper | 16 |
2016 | The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis.(2016) In: Journal of Monetary Economics. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | article | |
2016 | The intended and unintended consequences of financial-market regulations: A general equilibrium analysis.(2016) In: SAFE Working Paper Series. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 16 | paper | |
2006 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 12 |
2005 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2005 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 12 | paper | |
2015 | Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 2 |
2017 | Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2016 | Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?.(2016) In: 2016 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 0 | paper | |
2017 | Financial Innovation and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2017 | A Portfolio Perspective on the Multitude of Firm Characteristics In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2018 | The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2020 | Investor Sophistication and Portfolio Dynamics In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2002 | Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2002 | Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 45 |
2000 | Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2000) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
2001 | Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2001) In: NBER Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 45 | paper | |
2002 | The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2004 | The exchange rate and purchasing power parity: extending the theory and tests.(2004) In: Journal of International Money and Finance. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 9 | article | |
2005 | The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 30 |
2006 | The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility.(2006) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 30 | article | |
2005 | Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 269 |
2005 | Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 269 | paper | |
2004 | Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 269 | paper | |
2007 | Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 269 | article | |
2005 | How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2006 | The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 5 |
2010 | Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 101 |
2013 | Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 101 | article | |
2010 | Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 84 |
2012 | Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 84 | article | |
2013 | Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 50 |
2014 | Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 50 | article | |
2013 | Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 97 |
2014 | Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | article | |
2013 | Asset Prices with Heterogeneity in Preferences and Beliefs.(2013) In: 2013 Meeting Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 97 | paper | |
2006 | Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books. [Citation analysis] | book | 28 |
2000 | Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes.(2000) In: Cambridge Books. [Citation analysis] This paper has nother version. Agregated cites: 28 | book | |
1993 | Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 70 |
1994 | Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 15 |
2003 | Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review. [Full Text][Citation analysis] | article | 22 |
1997 | Sovereign debt and the London Club: A precommitment device for limiting punishment for default In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 0 |
2000 | Efficient Intertemporal Allocations with Recursive Utility In: Journal of Economic Theory. [Full Text][Citation analysis] | article | 26 |
1997 | Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers. [Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
1998 | Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has nother version. Agregated cites: 26 | paper | |
1992 | Deviations from purchasing power parity and capital flows In: Journal of International Money and Finance. [Full Text][Citation analysis] | article | 7 |
1996 | Valuing risk and flexibility : A comparison of methods In: Resources Policy. [Full Text][Citation analysis] | article | 22 |
1996 | Valuing 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 | |
2005 | Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science. [Full Text][Citation analysis] | article | 22 |
2009 | A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science. [Full Text][Citation analysis] | article | 326 |
1996 | The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 5 |
1999 | Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers. [Full Text][Citation analysis] | paper | 18 |
2001 | Global 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 | |
2009 | Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 857 |
2009 | The 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. [Full Text][Citation analysis] | article | 45 |
2020 | A Transaction-Cost Perspective on the Multitude of Firm Characteristics In: Review of Financial Studies. [Full Text][Citation analysis] | article | 30 |
2015 | Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 13 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated December, 10 2023. Contact: CitEc Team