19
H index
24
i10 index
1781
Citations
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:
MORE DETAILS IN: ABOUT THIS REPORT:
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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 |
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Review of Financial Studies | 6 |
Journal of Finance | 6 |
Management Science | 3 |
Journal of Financial and Quantitative Analysis | 3 |
Journal of International Money and Finance | 2 |
Year | Title of citing document | |
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2018 | Realizing 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. Full description at Econpapers || Download paper | |
2018 | On the time consistency of collective preferences. (2018). Alcalá, Luis. In: Papers. RePEc:arx:papers:1607.02688. Full description at Econpapers || Download paper | |
2017 | Hedging under generalized good-deal bounds and model uncertainty. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1607.04488. Full description at Econpapers || Download paper | |
2018 | Optimal Shrinkage Estimator for High-Dimensional Mean Vector. (2018). Parolya, Nestor ; Bodnar, Taras ; Okhrin, Ostap. In: Papers. RePEc:arx:papers:1610.09292. Full description at Econpapers || Download paper | |
2017 | Analytic solution to variance optimization with no short-selling. (2017). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1612.07067. Full description at Econpapers || Download paper | |
2017 | Robust Portfolio Optimisation with Specified Competitors. (2017). McDonald, Mark ; Simoes, Gonccalo ; Hauser, Raphael ; Fenn, Daniel ; Williams, Stacy . In: Papers. RePEc:arx:papers:1701.02958. Full description at Econpapers || Download paper | |
2018 | Existence of a Radner equilibrium in a model with transaction costs. (2018). Weston, Kim . In: Papers. RePEc:arx:papers:1702.01706. Full description at Econpapers || Download paper | |
2018 | News Co-Occurrence, Attention Spillover and Return Predictability. (2018). Tao, Yubo ; Guo, LI. In: Papers. RePEc:arx:papers:1703.02715. Full description at Econpapers || Download paper | |
2018 | Mean field and n-agent games for optimal investment under relative performance criteria. (2018). Lacker, Daniel ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:1703.07685. Full description at Econpapers || Download paper | |
2017 | Good Deal Hedging and Valuation under Combined Uncertainty about Drift and Volatility. (2017). Becherer, Dirk ; Kentia, Klebert . In: Papers. RePEc:arx:papers:1704.02505. Full description at Econpapers || Download paper | |
2018 | Wright 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. Full description at Econpapers || Download paper | |
2017 | Investing for the Long Run. (2017). Platen, Eckhard ; Leisen, Dietmar . In: Papers. RePEc:arx:papers:1705.03929. Full description at Econpapers || Download paper | |
2018 | General Equilibrium Under Convex Portfolio Constraints and Heterogeneous Risk Preferences. (2018). Abbot, Tyler . In: Papers. RePEc:arx:papers:1706.05877. Full description at Econpapers || Download paper | |
2017 | Market Efficiency and Growth Optimal Portfolio. (2017). Platen, Eckhard ; Rendek, Renata . In: Papers. RePEc:arx:papers:1706.06832. Full description at Econpapers || Download paper | |
2018 | Equilibrium Returns with Transaction Costs. (2018). Bouchard, Bruno ; Muhle-Karbe, Johannes ; Herdegen, Martin ; Fukasawa, Masaaki. In: Papers. RePEc:arx:papers:1707.08464. Full description at Econpapers || Download paper | |
2017 | Financial option insurance. (2017). Wang, Qi-Wen ; Shu, Jian-Jun . In: Papers. RePEc:arx:papers:1708.02180. Full description at Econpapers || Download paper | |
2017 | Cardinality constrained portfolio selection via factor models. (2017). Monge, Juan Francisco . In: Papers. RePEc:arx:papers:1708.02424. Full description at Econpapers || Download paper | |
2018 | Large-Scale Portfolio Allocation Under Transaction Costs and Model Uncertainty. (2018). Hautsch, Nikolaus ; Voigt, Stefan. In: Papers. RePEc:arx:papers:1709.06296. Full description at Econpapers || Download paper | |
2018 | Analytic approach to variance optimization under an $\ell_1$ constraint. (2018). Kondor, Imre ; Caccioli, Fabio ; Papp, G'Abor. In: Papers. RePEc:arx:papers:1709.08755. Full description at Econpapers || Download paper | |
2017 | Sparse 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. Full description at Econpapers || Download paper | |
2017 | Calibration of Distributionally Robust Empirical Optimization Models. (2017). Gotoh, Jun-Ya ; Kim, Michael Jong. In: Papers. RePEc:arx:papers:1711.06565. Full description at Econpapers || Download paper | |
2018 | Reducing Estimation Risk in Mean-Variance Portfolios with Machine Learning. (2018). Kinn, Daniel. In: Papers. RePEc:arx:papers:1804.01764. Full description at Econpapers || Download paper | |
2018 | Forward-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. Full description at Econpapers || Download paper | |
2018 | Incremental Sharpe and other performance ratios. (2018). Benhamou, Eric ; Guez, Beatrice. In: Papers. RePEc:arx:papers:1807.09864. Full description at Econpapers || Download paper | |
2018 | Adaptive l1-regularization for short-selling control in portfolio selection. (2018). Corsaro, Stefania ; de Simone, Valentina . In: Papers. RePEc:arx:papers:1808.00982. Full description at Econpapers || Download paper | |
2018 | Portfolio diversification and model uncertainty: a robust dynamic mean-variance approach. (2018). Pham, Huyen ; Zhou, Chao ; Wei, Xiaoli. In: Papers. RePEc:arx:papers:1809.01464. Full description at Econpapers || Download paper | |
2018 | Diversity and Sparsity: A New Perspective on Index Tracking. (2018). Yang, Yongxin ; Hospedales, Timothy M ; Zheng, YU. In: Papers. RePEc:arx:papers:1809.01989. Full description at Econpapers || Download paper | |
2018 | Measuring Systematic Risk with Neural Network Factor Model. (2018). Huh, Jeonggyu. In: Papers. RePEc:arx:papers:1809.04925. Full description at Econpapers || Download paper | |
2018 | Spanning Tests for Markowitz Stochastic Dominance. (2018). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios. In: Papers. RePEc:arx:papers:1810.10800. Full description at Econpapers || Download paper | |
2018 | Asset Price Distributions and Efficient Markets. (2018). Stroup, Caleb ; Fernholz, Ricardo. In: Papers. RePEc:arx:papers:1810.12840. Full description at Econpapers || Download paper | |
2018 | An updated review of (sub-)optimal diversification models. (2018). Bock, Johannes. In: Papers. RePEc:arx:papers:1811.08255. Full description at Econpapers || Download paper | |
2018 | Spatially Structured Deep Uncertainty, Robust Control, and Climate Change Policies. (2018). Xepapadeas, Anastasios ; Yannacopoulos, Athanasios . In: DEOS Working Papers. RePEc:aue:wpaper:1807. Full description at Econpapers || Download paper | |
2017 | On the economic determinants of optimal stock-bond portfolios: international evidence. (2017). Conrad, Christian ; Stuermer, Karin . In: Working Papers. RePEc:awi:wpaper:0636. Full description at Econpapers || Download paper | |
2017 | Linear and Nonlinear Predictability in Investment Style Factors: Multivariate Evidence*. (2017). Guidolin, Massimo ; Chincoli, Francesco . In: BAFFI CAREFIN Working Papers. RePEc:baf:cbafwp:cbafwp1754. Full description at Econpapers || Download paper | |
2018 | Portfolio 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. Full description at Econpapers || Download paper | |
2018 | Forecasting 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. Full description at Econpapers || Download paper | |
2017 | Volatility Risk and Economic Welfare. (2017). Xu, Shaofeng. In: Staff Working Papers. RePEc:bca:bocawp:17-20. Full description at Econpapers || Download paper | |
2018 | Multivariate Jump Diffusion Model with Markovian Contagion. (2018). de Carvalho, Pablo ; Gupta, Aparna ; Campos, Pablo Jose. In: Working Papers Series. RePEc:bcb:wpaper:482. Full description at Econpapers || Download paper | |
2018 | Frontiers of macrofinancial linkages. (2018). Claessens, Stijn ; Kose, Ayhan M. In: BIS Papers. RePEc:bis:bisbps:95. Full description at Econpapers || Download paper | |
2017 | Asset prices and macroeconomic outcomes: a survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: BIS Working Papers. RePEc:bis:biswps:676. Full description at Econpapers || Download paper | |
2018 | Noise 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. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2018 | Vine 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. Full description at Econpapers || Download paper | |
2018 | Non†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. Full description at Econpapers || Download paper | |
2017 | Asset 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. Full description at Econpapers || Download paper | |
2017 | EXPLOITING 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. Full description at Econpapers || Download paper | |
2017 | Special 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. Full description at Econpapers || Download paper | |
2017 | Depositor 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2017 | Forecasting 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. Full description at Econpapers || Download paper | |
2017 | Belief Dispersion in the Stock Market. (2017). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12056. Full description at Econpapers || Download paper | |
2017 | A 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. Full description at Econpapers || Download paper | |
2017 | Asset Prices and Macroeconomic Outcomes: A Survey. (2017). Kose, Ayhan ; Claessens, Stijn. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12460. Full description at Econpapers || Download paper | |
2017 | Shrinking the Cross Section. (2017). Nagel, Stefan ; Santosh, Shrihari ; Kozak, Serhiy. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12463. Full description at Econpapers || Download paper | |
2018 | Expected Stock Returns and the Correlation Risk Premium. (2018). Vilkov, Grigory ; Schonleber, Lorenzo ; Buss, Adrian. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12760. Full description at Econpapers || Download paper | |
2018 | Option Prices and Costly Short-Selling. (2018). Basak, Suleyman ; Atmaz, Adem. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13029. Full description at Econpapers || Download paper | |
2018 | Inequality Aversion, Populism, and the Backlash Against Globalization. (2018). Pastor, Lubos ; Veronesi, Pietro. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:13107. Full description at Econpapers || Download paper | |
2017 | Interest 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. Full description at Econpapers || Download paper | |
2017 | Entropy-based implied moments. (2017). Xiao, Xiao ; Zhou, Chen. In: DNB Working Papers. RePEc:dnb:dnbwpp:581. Full description at Econpapers || Download paper | |
2017 | Risk 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. Full description at Econpapers || Download paper | |
2018 | An 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. Full description at Econpapers || Download paper | |
2018 | Socially 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. Full description at Econpapers || Download paper | |
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. Full description at Econpapers || Download paper | |
2017 | Rank 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. Full description at Econpapers || Download paper | |
2017 | Empirical 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. Full description at Econpapers || Download paper | |
2017 | Booms, 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. Full description at Econpapers || Download paper | |
2017 | Volatility 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. Full description at Econpapers || Download paper | |
2017 | Optimal 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. Full description at Econpapers || Download paper | |
2018 | Dynamic 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. Full description at Econpapers || Download paper | |
2018 | Optimal 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. Full description at Econpapers || Download paper | |
2019 | Cojumps 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. Full description at Econpapers || Download paper | |
2018 | Equity 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. Full description at Econpapers || Download paper | |
2017 | Asset 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. Full description at Econpapers || Download paper | |
2017 | Robust 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. Full description at Econpapers || Download paper | |
2017 | Can 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | Time-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. Full description at Econpapers || Download paper | |
2018 | High-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. Full description at Econpapers || Download paper | |
2018 | The 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. Full description at Econpapers || Download paper | |
2017 | On 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. Full description at Econpapers || Download paper | |
2018 | The “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. Full description at Econpapers || Download paper | |
2018 | How 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. Full description at Econpapers || Download paper | |
2018 | Optimal 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. Full description at Econpapers || Download paper | |
2017 | Econometric 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. Full description at Econpapers || Download paper | |
2017 | Mixture 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. Full description at Econpapers || Download paper | |
2017 | Using 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. Full description at Econpapers || Download paper | |
2018 | Portfolio 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. Full description at Econpapers || Download paper | |
2018 | A 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. Full description at Econpapers || Download paper | |
2018 | Modeling 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. Full description at Econpapers || Download paper | |
2017 | Robust 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. Full description at Econpapers || Download paper | |
2017 | Chance-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. Full description at Econpapers || Download paper | |
2017 | Robust 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. Full description at Econpapers || Download paper | |
2017 | On 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. Full description at Econpapers || Download paper | |
2017 | The 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. Full description at Econpapers || Download paper | |
2017 | Multivariate 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. Full description at Econpapers || Download paper | |
2017 | Asset 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. Full description at Econpapers || Download paper | |
2018 | Naive 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. Full description at Econpapers || Download paper | |
2018 | Semi-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. Full description at Econpapers || Download paper | |
2018 | Computing 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. Full description at Econpapers || Download paper | |
2018 | Estimation 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. Full description at Econpapers || Download paper | |
2018 | DEA 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. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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1993 | A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance. [Full Text][Citation analysis] | article | 117 |
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 | 186 |
1997 | An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance. [Full Text][Citation analysis] | article | 22 |
2003 | Model Misspecification and Underdiversification In: Journal of Finance. [Full Text][Citation analysis] | article | 112 |
2002 | Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 112 | paper | |
2004 | Systemic Risk and International Portfolio Choice In: Journal of Finance. [Full Text][Citation analysis] | article | 146 |
2002 | Systemic Risk and International Portfolio Choice.(2002) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 146 | paper | |
2009 | Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance. [Full Text][Citation analysis] | article | 91 |
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 another version. Agregated cites: 91 | 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 another version. Agregated cites: 91 | paper | |
2005 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series. [Full Text][Citation analysis] | paper | 7 |
2005 | What 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 | |
2005 | What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | 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 |
2002 | Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 23 |
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 another version. Agregated cites: 23 | 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 another version. Agregated cites: 23 | paper | |
2002 | The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
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 another version. Agregated cites: 7 | 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 | 24 |
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 another version. Agregated cites: 24 | article | |
2005 | Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 165 |
2005 | Portfolio 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 | |
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 another version. Agregated cites: 165 | 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 another version. Agregated cites: 165 | article | |
2005 | How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
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 | 41 |
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 another version. Agregated cites: 41 | article | |
2010 | Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 38 |
2012 | Keynes 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 | |
2013 | Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2014 | Stock 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 | |
2013 | Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 31 |
2014 | Asset 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 | |
2013 | Asset 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 | |
2006 | Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books. [Citation analysis] | book | 19 |
2000 | Exchange 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 | |
1993 | Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 60 |
1994 | Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 13 |
2003 | Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review. [Full Text][Citation analysis] | article | 17 |
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 | 19 |
1997 | Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
1998 | Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 19 | 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 | 16 |
1996 | Valuing 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 | |
2005 | Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science. [Full Text][Citation analysis] | article | 16 |
2009 | A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science. [Full Text][Citation analysis] | article | 154 |
1996 | The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers. [Full Text][Citation analysis] | paper | 4 |
1999 | Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers. [Full Text][Citation analysis] | paper | 14 |
2001 | Global 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 | |
2009 | Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: Review of Financial Studies. [Full Text][Citation analysis] | article | 372 |
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 | 21 |
2014 | Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series. [Full Text][Citation analysis] | paper | 7 |
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