Raman Uppal : Citation Profile

Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

19

H index

25

i10 index

1891

Citations

RESEARCH PRODUCTION:

25

Articles

29

Papers

2

Books

RESEARCH ACTIVITY:

   23 years (1992 - 2015). See details.
   Cites by year: 82
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 401.    Total self citations: 17 (0.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2019-10-21    RAS profile: 2016-03-05    
   Missing citations? Add them    Incorrect content? Let us know

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)

Coeurdacier, Nicolas (26)

Caporin, Massimiliano (22)

McAleer, Michael (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)

Wolf, Michael (7)

Zin, Stanley (7)

Ledoit, Olivier (7)

Rogoff, Kenneth (7)

He, Hua (7)

Jorion, Philippe (7)

Main data

Where Raman Uppal has published?

Journals with more than one article published# docs
Journal of Finance6
Review of Financial Studies6
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
2018DECISION SCIENCES, ECONOMICS, FINANCE, BUSINESS, COMPUTING, AND BIG DATA: CONNECTIONS. (2018). Wong, Wing-Keung ; McAleer, Michael ; Chang, Chia-Lin. In: Advances in Decision Sciences. RePEc:aag:wpaper:v:22:y:2018:i:1:p:36-94.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2017Hedging 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

2018Optimal 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

2017Analytic 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

2017Robust 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

2018Existence 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

2018News 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

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.

Full description at Econpapers || Download paper

2017Good 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018General 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

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

Full description at Econpapers || Download paper

2018Equilibrium 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Large-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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Calibration 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

2018Reducing 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Adaptive 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

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.

Full description at Econpapers || Download paper

2018Diversity 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

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

Full description at Econpapers || Download paper

2018Spanning 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

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Asset Pricing with Heterogeneous Beliefs and Illiquidity. (2019). Tan, Xiaowei ; Nutz, Marcel ; Muhle-Karbe, Johannes. In: Papers. RePEc:arx:papers:1905.05730.

Full description at Econpapers || Download paper

2019Quantifying horizon dependence of asset prices: a cluster entropy approach. (2019). Carbone, A ; Ponta, L. In: Papers. RePEc:arx:papers:1908.00257.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Quantitative portfolio selection: using density forecasting to find consistent portfolios. (2019). Adcock, C J ; Beasley, J E ; Meade, N. In: Papers. RePEc:arx:papers:1908.08442.

Full description at Econpapers || Download paper

2019Robust Utility Maximizing Strategies under Model Uncertainty and their Convergence. (2019). Westphal, Dorothee ; Sass, Jorn. In: Papers. RePEc:arx:papers:1909.01830.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:1910.06872.

Full description at Econpapers || Download paper

2018Spatially 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

2017On 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

2017Linear 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2018Multivariate 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

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

Full description at Econpapers || Download paper

2017Asset 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

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2019Tail risk interdependence. (2019). Chiu, Ching-Wai ; Stoja, Evarist ; Polanski, Arnold. In: Bank of England working papers. RePEc:boe:boeewp:0815.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

2019A regime switching skew-normal model of contagion. (2019). Fry-McKibbin, Renee ; Chan, Joshua ; Yu-Ling, Hsiao Cody ; Renee, Fry-Mckibbin. In: Studies in Nonlinear Dynamics & Econometrics. RePEc:bpj:sndecm:v:23:y:2019:i:1:p:24:n:3.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

2017Asset 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

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

Full description at Econpapers || Download paper

2017The Price Effects of Liquidity Shocks: A Study of SECs Tick-Size Experiment. (2017). Albuquerque, Rui ; Yao, Chen ; Song, Shiyun. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:12486.

Full description at Econpapers || Download paper

2018Expected 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

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

Full description at Econpapers || Download paper

2018Inequality 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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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

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

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.

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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.

Full description at Econpapers || Download paper

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]		article119
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]		article23
2003Model Misspecification and Underdiversification In: Journal of Finance.
[Full Text][Citation analysis]		article116
2002Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 116		paper
2004Systemic Risk and International Portfolio Choice In: Journal of Finance.
[Full Text][Citation analysis]		article153
2002Systemic Risk and International Portfolio Choice.(2002) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has another version. Agregated cites: 153		paper
2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article92
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: 92		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: 92		paper
2006What 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.
[Full Text][Citation analysis]
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.
[Full Text][Citation analysis]
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]		paper25
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: 25		article
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper173
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: 173		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: 173		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: 173		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]		paper47
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: 47		article
2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper44
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: 44		article
2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper26
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: 26		article
2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper35
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: 35		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: 35		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]		article62
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]		article17
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: 17		paper
2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
[Full Text][Citation analysis]		article17
2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science.
[Full Text][Citation analysis]		article168
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]		article415
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]		article22
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper11

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated July, 1st 2019. Contact: CitEc Team