Raman Uppal : Citation Profile

Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

19

H index

24

i10 index

1781

Citations

RESEARCH PRODUCTION:

25

Articles

29

Papers

2

Books

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 77
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 311.    Total self citations: 17 (0.95 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2019-02-13    RAS profile: 2016-03-05    
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Relations with other researchers

Works with:

Vilkov, Grigory (3)

Bhamra, Harjoat (3)

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

Is cited by:

Guidolin, Massimo (26)

McAleer, Michael (23)

Coeurdacier, Nicolas (22)

Caporin, Massimiliano (22)

Wong, Wing-Keung (16)

Peel, David (16)

Basak, Suleyman (15)

Santos, Andre (14)

Giofre', Maela (13)

Bec, Frédérique (12)

Miao, Jianjun (12)

Cites to:

Epstein, Larry (17)

merton, robert (10)

Campbell, John (9)

Kreps, David (8)

Engel, Charles (8)

Ledoit, Olivier (7)

Jorion, Philippe (7)

Rogoff, Kenneth (7)

Zin, Stanley (7)

Wolf, Michael (7)

He, Hua (7)

Main data

Where Raman Uppal has published?

Journals with more than one article published# docs
Review of Financial Studies6
Journal of Finance6
Management Science3
Journal of Financial and Quantitative Analysis3
Journal of International Money and Finance2

Recent works citing Raman Uppal (2018 and 2017)

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

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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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2017Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.04488.

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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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2017Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067.

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2017Robust Portfolio Optimisation with Specified Competitors. (2017). McDonald, Mark ; Simoes, Gonccalo ; Hauser, Raphael ; Fenn, Daniel ; Williams, Stacy . In: Papers. RePEc:arx:papers:1701.02958.

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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). Lacker, Daniel ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1703.07685.

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2017Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1704.02505.

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

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2017Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929.

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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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2017Market Efficiency and Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata . In: Papers. RePEc:arx:papers:1706.06832.

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

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2017Financial option insurance. (2017). Wang, Qi-Wen ; Shu, Jian-Jun . In: Papers. RePEc:arx:papers:1708.02180.

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2017Cardinality constrained portfolio selection via factor models. (2017). Monge, Juan Francisco . In: Papers. RePEc:arx:papers:1708.02424.

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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). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755.

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2017Sparse Portfolio Selection via the sorted $\ell_{1}$-Norm. (2017). Kremer, Philipp J ; Paterlini, Sandra ; Bogdan, Malgorzata ; Lee, Sangkyun. In: Papers. RePEc:arx:papers:1710.02435.

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2017Calibration of Distributionally Robust Empirical Optimization Models. (2017). Gotoh, Jun-Ya ; Kim, Michael Jong. 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). Bianchi, Michele Leonardo ; Tassinari, Gian Luca. In: Papers. RePEc:arx:papers:1805.05584.

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

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

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

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

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2018Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925.

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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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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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2017On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636.

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2017Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754.

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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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2017Volatility Risk and Economic Welfare. (2017). Xu, Shaofeng. In: Staff Working Papers. RePEc:bca:bocawp:17-20.

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2018Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482.

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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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2017Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676.

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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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2017The market premium for the option to close: evidence from Australian gold mining firms. (2017). Kelly, Simone. In: Accounting and Finance. RePEc:bla:acctfi:v:57:y:2017:i:2:p:511-531.

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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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2018Non†myopic portfolio choice with unpredictable returns: The jump†to†default case. (2018). Battauz, Anna ; Sbuelz, Alessandro. In: European Financial Management. RePEc:bla:eufman:v:24:y:2018:i:2:p:192-208.

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2017Asset Pricing Model Uncertainty: A Tradeoff between Bias and Variance. (2017). Tian, Weidong ; Zhou, Qing. In: International Review of Finance. RePEc:bla:irvfin:v:17:y:2017:i:2:p:289-324.

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2017EXPLOITING CLOSED-END FUND DISCOUNTS: A SYSTEMATIC EXAMINATION OF ALPHAS. (2017). Patro, Dilip ; Wu, Yangru ; Piccotti, Louis R. In: Journal of Financial Research. RePEc:bla:jfnres:v:40:y:2017:i:2:p:223-248.

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2017Special Edition: Longevity 10 – The Tenth International Longevity Risk and Capital Markets Solutions Conference. (2017). Blake, David ; Melenberg, Bertrand ; Waegenaere, Anja ; Li, Hong ; Morales, Marco. In: Journal of Risk & Insurance. RePEc:bla:jrinsu:v:84:y:2017:i:s1:p:459-475.

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2017Depositor discipline in Russian regions: Flight to familiarity or trust in local authorities?. (2017). Semenova, Maria ; Schoors, Koen ; Zubanov, Andrey . In: BOFIT Discussion Papers. RePEc:bof:bofitp:2017_001.

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

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2017Forecasting EUR/PLN Exchange Rate: the Role of Purchasing Power Parity Hypothesis in ESTVEC Models. (2017). Pipień, Mateusz ; Mazur, Błażej ; Pipien, Mateusz Pawel ; Burda, Adrian Marek. In: Dynamic Econometric Models. RePEc:cpn:umkdem:v:17:y:2017:p:97-114.

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2017Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056.

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2017A Portfolio Perspective on the Multitude of Firm Characteristics. (2017). de Miguel, Victor ; Uppal, Raman ; Nogales, Francisco J ; Martin-Utrera, Alberto ; Demiguel, Victor. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12417.

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2017Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460.

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2017Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12463.

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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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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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2017Interest Rate Future Quality Options and Negative Interest Rates. (2017). Herrero, Ricardo Laborda ; de la Corte, Alejandro Balbas. In: INDEM - Working Paper Business Economic Series. RePEc:cte:idrepe:24859.

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2017Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581.

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2017Risk parity in the brazilian market. (2017). de Souza, Pierre O ; Righi, Marcelo B ; Borenstein, Denis ; Caldeira, Joo F ; Filomena, Tiago P. In: Economics Bulletin. RePEc:ebl:ecbull:eb-17-00061.

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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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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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2017Rank constrained distribution and moment computations. (2017). Liu, Wei ; Hayter, Anthony J ; Kiatsupaibul, Seksan . In: Computational Statistics & Data Analysis. RePEc:eee:csdana:v:105:y:2017:i:c:p:229-242.

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2017Empirical properties of a heterogeneous agent model in large dimensions. (2017). Coqueret, Guillaume. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:77:y:2017:i:c:p:180-201.

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2017Booms, busts and behavioural heterogeneity in stock prices. (2017). Hommes, Cars ; In, Daan . In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:101-124.

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2017Volatility risk and economic welfare. (2017). Xu, Shaofeng. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:80:y:2017:i:c:p:17-33.

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2017Optimal portfolios when variances and covariances can jump. (2017). Branger, Nicole ; Weisheit, Stefan ; Seifried, Frank Thomas ; Muck, Matthias. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:85:y:2017:i:c:p:59-89.

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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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2018Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like. (2018). Oliva, I ; Reno, R. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:94:y:2018:i:c:p:242-256.

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2019Cojumps and asset allocation in international equity markets. (2019). Arouri, Mohamed ; Pukthuanthong, Kuntara ; Nguyen, Duc Khuong ; Msaddek, Oussama. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:98:y:2019:i:c:p:1-22.

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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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2017Asset pricing and institutional investors with disagreements. (2017). Ma, Chaoqun ; Hu, Duni ; Cheng, Fengchao ; Wang, Hailong. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:231-248.

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2017Robust minimum variance portfolio optimization modelling under scenario uncertainty. (2017). Xidonas, Panos ; Samitas, Aristeidis ; Soulis, John ; Hassapis, Christis. In: Economic Modelling. RePEc:eee:ecmode:v:64:y:2017:i:c:p:60-71.

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2017Can investors of Chinese energy stocks benefit from diversification into commodity futures?. (2017). Nguyen, Duc Khuong ; Wen, Xiaoqian. In: Economic Modelling. RePEc:eee:ecmode:v:66:y:2017:i:c:p:184-200.

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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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2017On the State and Wealth dependence of risk aversion: An analysis using severance pay allocation. (2017). Rose, Giuseppe ; Ordine, Patrizia. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:42:y:2017:i:c:p:156-171.

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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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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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2017Econometric analysis of multivariate realised QML: Estimation of the covariation of equity prices under asynchronous trading. (2017). Shephard, Neil ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:1:p:19-42.

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2017Mixture of distribution hypothesis: Analyzing daily liquidity frictions and information flows. (2017). Le Fol, Gaelle ; darolles, serge ; Mero, Gulten. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:367-383.

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2017Using principal component analysis to estimate a high dimensional factor model with high-frequency data. (2017). Ait-Sahalia, Yacine ; Xiu, Dacheng. In: Journal of Econometrics. RePEc:eee:econom:v:201:y:2017:i:2:p:384-399.

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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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2017Robust normal mixtures for financial portfolio allocation. (2017). Gambacciani, Marco ; Paolella, Marc S. In: Econometrics and Statistics. RePEc:eee:ecosta:v:3:y:2017:i:c:p:91-111.

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2017Chance-constrained optimization for pension fund portfolios in the presence of default risk. (2017). Aw, Grace ; Sun, Yufei ; Teo, Kok Lay ; Loxton, Ryan. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:205-214.

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2017Robust two-stage stochastic linear optimization with risk aversion. (2017). Sun, Jie ; Ling, Aifan ; Yang, Xiaoguang ; Xiu, Naihua. In: European Journal of Operational Research. RePEc:eee:ejores:v:256:y:2017:i:1:p:215-229.

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2017On exact and approximate stochastic dominance strategies for portfolio selection. (2017). Bruni, Renato ; Tardella, Fabio ; Scozzari, Andrea ; Cesarone, Francesco . In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:1:p:322-329.

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2017The dynamic Black–Litterman approach to asset allocation. (2017). Harris, Richard ; Tan, Linzhi ; Stoja, Evarist. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1085-1096.

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2017Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. (2017). Nguyen, Duc Khuong ; Berger, Theo ; Hernandez, Jose Arreola. In: European Journal of Operational Research. RePEc:eee:ejores:v:259:y:2017:i:3:p:1121-1131.

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2017Asset allocation with correlation: A composite trade-off. (2017). Conlon, Thomas ; cotter, john ; Salvador, Enrique ; Carroll, Rachael . In: European Journal of Operational Research. RePEc:eee:ejores:v:262:y:2017:i:3:p:1164-1180.

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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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2018Semi-analytical solutions for dynamic portfolio choice in jump-diffusion models and the optimal bond-stock mix. (2018). Jin, Xing ; Hong, YI. In: European Journal of Operational Research. RePEc:eee:ejores:v:265:y:2018:i:1:p:389-398.

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

Works by Raman Uppal:

YearTitleTypeCited
1993 A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance.
[Full Text][Citation analysis]		article117
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]		article186
1997 An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance.
[Full Text][Citation analysis]		article22
2003Model Misspecification and Underdiversification In: Journal of Finance.
[Full Text][Citation analysis]		article112
2002Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 112		paper
2004Systemic Risk and International Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]		article146
2002Systemic Risk and International Portfolio Choice.(2002) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 146		paper
2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article91
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91		paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 91		paper
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper7
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 7		paper
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers.
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This paper has another version. Agregated cites: 7		paper
2015Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2002Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper23
2000Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2000) In: Rodney L. White Center for Financial Research Working Papers.
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This paper has another version. Agregated cites: 23		paper
2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2001) In: NBER Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 23		paper
2002The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2004The 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 another version. Agregated cites: 7		article
2005The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper24
2006The 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 another version. Agregated cites: 24		article
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper165
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 165		paper
2004Portfolio 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 another version. Agregated cites: 165		paper
2007Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2007) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 165		article
2005How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
2006The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
2010Improving Portfolio Selection Using Option-Implied Volatility and Skewness In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper41
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 41		article
2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper38
2012Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 38		article
2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper22
2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 22		article
2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper31
2014Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: Review of Financial Studies.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		article
2013Asset Prices with Heterogeneity in Preferences and Beliefs.(2013) In: 2013 Meeting Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 31		paper
2006Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books.
[Citation analysis]		book19
2000Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes.(2000) In: Cambridge Books.
[Citation analysis]
This paper has another version. Agregated cites: 19		book
1993Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article60
1994Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article13
2003Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review.
[Full Text][Citation analysis]		article17
1997Sovereign debt and the London Club: A precommitment device for limiting punishment for default In: Journal of Banking & Finance.
[Full Text][Citation analysis]		article0
2000Efficient Intertemporal Allocations with Recursive Utility In: Journal of Economic Theory.
[Full Text][Citation analysis]		article19
1997Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers.
[Citation analysis]
This paper has another version. Agregated cites: 19		paper
1998Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 19		paper
1992Deviations from purchasing power parity and capital flows In: Journal of International Money and Finance.
[Full Text][Citation analysis]		article7
1996Valuing risk and flexibility : A comparison of methods In: Resources Policy.
[Full Text][Citation analysis]		article16
1996Valuing Risk and Flexibility: A Comparison of Methods..(1996) In: G.R.E.Q.A.M..
[Citation analysis]
This paper has another version. Agregated cites: 16		paper
2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
[Full Text][Citation analysis]		article16
2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science.
[Full Text][Citation analysis]		article154
1996The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper4
1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers.
[Full Text][Citation analysis]		paper14
2001Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods..(2001) In: Review of Financial Studies.
[Citation analysis]
This paper has another version. Agregated cites: 14		article
2009Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies.
[Full Text][Citation analysis]		article372
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.
[Full Text][Citation analysis]		article21
2014Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper7

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