Raman Uppal : Citation Profile

Are you Raman Uppal?

Groupe EDHEC (École de Hautes Études Commerciales du Nord)

22

H index

28

i10 index

3174

Citations

RESEARCH PRODUCTION:

27

Articles

39

Papers

2

Books

RESEARCH ACTIVITY:

   28 years (1992 - 2020). See details.
   Cites by year: 113
   Journals where Raman Uppal has often published
   Relations with other researchers
   Recent citing documents: 232.    Total self citations: 30 (0.94 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pup16
   Updated: 2024-07-05    RAS profile: 2022-08-03    
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Relations with other researchers

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:

Coeurdacier, Nicolas (40)

Peel, David (29)

Guidolin, Massimo (28)

Caporin, Massimiliano (25)

Paya, Ivan (23)

Basak, Suleyman (22)

Santos, Andre (18)

Wong, Wing-Keung (18)

Bec, Frédérique (18)

Paterlini, Sandra (17)

Kapetanios, George (16)

Cites to:

Campbell, John (39)

merton, robert (32)

Epstein, Larry (26)

Dumas, Bernard (23)

Calvet, Laurent (20)

Constantinides, George (17)

Shleifer, Andrei (16)

Weil, Philippe (15)

Basak, Suleyman (15)

phalippou, ludovic (14)

Xiong, Wei (14)

Main data

Where Raman Uppal has published?

Journals with more than one article published# docs
The Review of Financial Studies7
Journal of Finance5
Journal of Financial and Quantitative Analysis3
Journal of International Money and Finance2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers22
NBER Working Papers / National Bureau of Economic Research, Inc5
Swiss Finance Institute Research Paper Series / Swiss Finance Institute2
SAFE Working Paper Series / Leibniz Institute for Financial Research SAFE2

Recent works citing Raman Uppal (2024 and 2023)

YearTitle of citing document
2023Sensitivity to measurement errors of the distance to the efficient frontier. (2023). Vanhems, Anne ; Szafarz, Ariane ; Simar, Leopold ; Briere, Marie. In: LIDAM Discussion Papers ISBA. RePEc:aiz:louvad:2023017.

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2023Sampling Distributions of Optimal Portfolio Weights and Characteristics in Low and Large Dimensions. (2019). Thors, Erik ; Parolya, Nestor ; Dette, Holger ; Bodnar, Taras. In: Papers. RePEc:arx:papers:1908.04243.

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2023Optimal Portfolio Using Factor Graphical Lasso. (2020). Seregina, Ekaterina ; Lee, Tae-Hwy. In: Papers. RePEc:arx:papers:2011.00435.

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2023Large Non-Stationary Noisy Covariance Matrices: A Cross-Validation Approach. (2020). , Vincent ; Vincent, ; Zohren, Stefan. In: Papers. RePEc:arx:papers:2012.05757.

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2024Robustifying Conditional Portfolio Decisions via Optimal Transport. (2021). Ye, Yinyu ; Delage, Erick ; Blanchet, Jose ; Zhang, Fan ; Nguyen, Viet Anh. In: Papers. RePEc:arx:papers:2103.16451.

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2024An Empirical Assessment of Characteristics and Optimal Portfolios. (2021). Lamoureux, Christopher G ; Zhang, Huacheng. In: Papers. RePEc:arx:papers:2104.12975.

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2023Mean-Covariance Robust Risk Measurement. (2021). Filipovi, Damir ; Abadeh, Soroosh Shafieezadeh ; Nguyen, Viet Anh ; Kuhn, Daniel. In: Papers. RePEc:arx:papers:2112.09959.

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2024Sensitivity to large losses and $\rho$-arbitrage for convex risk measures. (2022). Herdegen, Martin ; Khan, Nazem. In: Papers. RePEc:arx:papers:2202.07610.

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2023Sparse multivariate modeling for stock returns predictability. (2022). Bernardi, Mauro ; Bianco, Nicolas ; Bianchi, Daniele. In: Papers. RePEc:arx:papers:2202.12644.

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2023Distributionally robust risk evaluation with causality constraint and structural information. (2022). Han, Bingyan. In: Papers. RePEc:arx:papers:2203.10571.

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2023Does non-linear factorization of financial returns help build better and stabler portfolios?. (2022). Hardle, Wolfgang Karl ; Spilak, Bruno. In: Papers. RePEc:arx:papers:2204.02757.

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2024Diversification Quotients: Quantifying Diversification via Risk Measures. (2022). Wang, Ruodu ; Lin, Liyuan ; Han, Xia. In: Papers. RePEc:arx:papers:2206.13679.

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2023Publication Bias in Asset Pricing Research. (2022). Zimmermann, Tom ; Chen, Andrew Y. In: Papers. RePEc:arx:papers:2209.13623.

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2023Integrating multiple sources of ordinal information in portfolio optimization. (2022). Pferschy, Ulrich ; Mestel, Roland ; Hafner, Stephan ; Ccela, Eranda. In: Papers. RePEc:arx:papers:2211.00420.

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2024A GRU-Based Dynamic Generative Factor Model for CVaR Portfolio Optimization. (2023). Yan, Xing ; Ma, Wenxuan ; Sun, Chuting. In: Papers. RePEc:arx:papers:2301.07318.

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2024A Modified CTGAN-Plus-Features Based Method for Optimal Asset Allocation. (2023). Cifuentes, Arturo ; Ram, Domingo ; Larr, Omar ; Su, Fernando. In: Papers. RePEc:arx:papers:2302.02269.

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2024Uniform Pessimistic Risk and Optimal Portfolio. (2023). Jeon, Jong-June ; Hong, Sungchul. In: Papers. RePEc:arx:papers:2303.07158.

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2023A Unified Framework for Fast Large-Scale Portfolio Optimization. (2023). Safikhani, Abolfazl ; Polak, Pawel ; Shah, Ronakdilip ; Deng, Weichuan. In: Papers. RePEc:arx:papers:2303.12751.

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2023Option pricing using a skew random walk pricing tree. (2023). Fabozzi, Frank J ; Rachev, Svetlozar T ; Lindquist, Brent W ; Hu, Yuan. In: Papers. RePEc:arx:papers:2303.17014.

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2023Ledoit-Wolf linear shrinkage with unknown mean. (2023). Miot, Alexandre ; Oriol, Benoit. In: Papers. RePEc:arx:papers:2304.07045.

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2023A hybrid model for day-ahead electricity price forecasting: Combining fundamental and stochastic modelling. (2023). Musgens, Felix ; Grothe, Oliver ; Mobius, Thomas ; Watermeyer, Mira. In: Papers. RePEc:arx:papers:2304.09336.

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2023Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166.

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2023Portfolio Optimization Rules beyond the Mean-Variance Approach. (2023). Markov, Vladimir. In: Papers. RePEc:arx:papers:2305.08530.

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2023Integrating Different Informations for Portfolio Selection. (2023). Wang, Shikun ; Zhu, Shushang ; Li, Duan ; Huang, YI. In: Papers. RePEc:arx:papers:2305.17881.

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2023Optimal Investment with Stochastic Interest Rates and Ambiguity. (2023). Holzermann, Julian. In: Papers. RePEc:arx:papers:2306.13343.

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2023An exploration of the mathematical structure and behavioural biases of financial crises. (2023). Menzies, Max ; James, Nick. In: Papers. RePEc:arx:papers:2307.15402.

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2023Hedging Forecast Combinations With an Application to the Random Forest. (2023). Wolf, Michael ; Kozbur, Damian ; Beck, Elliot. In: Papers. RePEc:arx:papers:2308.15384.

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2023Diffusion Variational Autoencoder for Tackling Stochasticity in Multi-Step Regression Stock Price Prediction. (2023). Chua, Tat-Seng ; Ng, Ritchie ; Ma, Yunshan. In: Papers. RePEc:arx:papers:2309.00073.

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2023Risk-reducing design and operations toolkit: 90 strategies for managing risk and uncertainty in decision problems. (2023). Gutfraind, Alexander. In: Papers. RePEc:arx:papers:2309.03133.

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2023Doubly Robust Mean-CVaR Portfolio. (2023). Kuroki, Seiichi ; Abe, Masaya ; Nakagawa, Kei. In: Papers. RePEc:arx:papers:2309.11693.

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2023Dynamic Realized Minimum Variance Portfolio Models. (2023). Oh, Minseog ; Kim, Donggyu. In: Papers. RePEc:arx:papers:2310.13511.

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2023Consensus group decision making under model uncertainty with a view towards environmental policy making. (2023). Papayiannis, Georgios I ; Koundouri, Phoebe ; Yannacopoulos, Athanasios N ; Petracou, Electra V. In: Papers. RePEc:arx:papers:2312.00436.

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2023A return-diversification approach to portfolio selection. (2023). Giacometti, Rosella ; Cesarone, Francesco ; Tardella, Fabio ; Martino, Manuel Luis. In: Papers. RePEc:arx:papers:2312.09707.

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2024Finding Near-Optimal Portfolios With Quality-Diversity. (2024). Jakobovic, Domagoj ; Djurasevi, Marko ; Gavsperov, Bruno. In: Papers. RePEc:arx:papers:2402.16118.

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2024Navigating Complexity: Constrained Portfolio Analysis in High Dimensions with Tracking Error and Weight Constraints. (2024). Caner, Mehmet ; Li, Yingying ; Fan, Qingliang. In: Papers. RePEc:arx:papers:2402.17523.

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2024The social value of overreaction to information. (2024). Bizzarri, Matteo ; D'Arienzo, Daniele. In: Papers. RePEc:arx:papers:2403.08532.

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2024Portfolio management using graph centralities: Review and comparison. (2024). Vrontos, Spyridon ; Noferini, Vanni ; Arslan, Bahar. In: Papers. RePEc:arx:papers:2404.00187.

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2024Despite Absolute Information Advantages, All Investors Incur Welfare Loss. (2024). Ye, QI ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2405.08822.

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2023The financial and green effects of cultural values on mission drifts in European social enterprises. (2023). Dicorato, Spiridione Lucio ; Doronzo, Emanuele ; Esposito, Paolo. In: Business Strategy and the Environment. RePEc:bla:bstrat:v:32:y:2023:i:1:p:1-29.

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2023Investor beliefs about transformative innovations under uncertainty. (2023). Oechslin, Manuel ; Garbely, Anja ; Binswanger, Johannes. In: Economica. RePEc:bla:econom:v:90:y:2023:i:360:p:1119-1144.

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2023Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342.

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2023Robust irreversible investment strategy with ambiguity to jump and diffusion risk. (2023). Wang, Haijun ; Li, Shuang. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:3:p:645-665.

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2023A novel approach to portfolio selection using news volume and sentiment. (2023). Wang, Wanbin Walter ; Ho, Kinyip. In: International Review of Finance. RePEc:bla:irvfin:v:23:y:2023:i:4:p:903-917.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2023Bayesian Solutions for the Factor Zoo: We Just Ran Two Quadrillion Models. (2023). Julliard, Christian ; Huang, Jiantao ; Bryzgalova, Svetlana. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:487-557.

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2023Integrating Factor Models. (2023). Voigt, Stefan ; Metzker, Lior ; Cheng, SI ; Avramov, Doron. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1593-1646.

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2023Naïve Buying Diversification and Narrow Framing by Individual Investors. (2023). Hirshleifer, David ; Gathergood, John ; Stewart, Neil ; Sakaguchi, Hiroaki ; Leake, David. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1705-1741.

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2023Model Comparison with Transaction Costs. (2023). Velikov, Mihail ; Novymarx, Robert ; Detzel, Andrew. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:3:p:1743-1775.

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2023A Simple Rule is Born: How CEOs Distill Heuristics. (2023). Khapova, Svetlana N ; Ruotsalainen, Riku ; Atanasiu, Radu. In: Journal of Management Studies. RePEc:bla:jomstd:v:60:y:2023:i:5:p:1064-1104.

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2023Doubts about the model and optimal policy. (2023). Karantounias, Anastasios. In: Discussion Papers. RePEc:cfm:wpaper:2312.

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2023Test for Trading Costs Effect in a Portfolio Selection Problem with Recursive Utility. (2023). Kon, N'Golo ; Carrasco, Marine. In: CIRANO Working Papers. RePEc:cir:cirwor:2023s-03.

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2023High-dimensional sparse portfolio selection with nonnegative constraint. (2023). Yang, HU ; Xia, Siwei. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:443:y:2023:i:c:s0096300322008347.

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2024Narrow framing and under-diversification: Empirical evidence from Chinese households. (2024). Pantelous, Athanasios A ; Tang, Ruohua ; Xie, Yuxin ; Lu, Xiaomeng. In: China Economic Review. RePEc:eee:chieco:v:83:y:2024:i:c:s1043951x23001803.

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2023Historical social capital and contemporary private investment choices. (2023). Kang, Yankun ; Bai, Caiquan ; Feng, Chen. In: Journal of Corporate Finance. RePEc:eee:corfin:v:79:y:2023:i:c:s0929119923000147.

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2024Dynamic CVaR portfolio construction with attention-powered generative factor learning. (2024). Yan, Xing ; Wu, QI ; Sun, Chuting. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:160:y:2024:i:c:s0165188924000137.

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2023Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang. In: Economic Modelling. RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157.

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2023Portfolio optimization in the presence of tail correlation. (2023). Chibane, Messaoud ; ben Abdelaziz, Fouad. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000470.

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2023Semiparametric portfolios: Improving portfolio performance by exploiting non-linearities in firm characteristics. (2023). Torrent, Hudson S ; Caldeira, Joo F. In: Economic Modelling. RePEc:eee:ecmode:v:122:y:2023:i:c:s0264999323000512.

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2023The role of uncertainty in forecasting volatility comovements across stock markets. (2023). Palomba, Giulio ; Rossi, Eduardo ; Bucci, Andrea. In: Economic Modelling. RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001219.

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2023Sustainable investment under ESG volatility and ambiguity. (2023). Yan, Qianhui ; Shan, Xun ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002833.

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2023No place like home: Home bias and flight-to-quality in Group of Seven countries. (2023). Nagy, Balint-Zsolt ; Socaciu, Erzsebet-Mirjam ; Benedek, Botond. In: Economic Modelling. RePEc:eee:ecmode:v:129:y:2023:i:c:s0264999323003619.

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2024Does exchange rate volatility affect the impact of appreciation and depreciation on the trade balance? A nonlinear bivariate approach. (2024). Bosupeng, Mpho ; Naranpanawa, Athula. In: Economic Modelling. RePEc:eee:ecmode:v:130:y:2024:i:c:s0264999323004042.

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2023Building optimal regime-switching portfolios. (2023). Bucci, Andrea ; Ciciretti, Vito. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:64:y:2023:i:c:s1062940822001723.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2023PELVE: Probability Equivalent Level of VaR and ES. (2023). Wang, Ruodu ; Li, Hengxin. In: Journal of Econometrics. RePEc:eee:econom:v:234:y:2023:i:1:p:353-370.

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2023Sharpe Ratio analysis in high dimensions: Residual-based nodewise regression in factor models. (2023). Medeiros, Marcelo ; Caner, Mehmet. In: Journal of Econometrics. RePEc:eee:econom:v:235:y:2023:i:2:p:393-417.

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2023What explains equity home bias? Theory and evidence at the sector level. (2023). Hu, Chenyue. In: European Economic Review. RePEc:eee:eecrev:v:160:y:2023:i:c:s0014292123002131.

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2023Cardinality-constrained distributionally robust portfolio optimization. (2023). Nakata, Kazuhide ; Takano, Yuichi ; Kobayashi, Ken. In: European Journal of Operational Research. RePEc:eee:ejores:v:309:y:2023:i:3:p:1173-1182.

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2023Portfolio selection: A target-distribution approach. (2023). Vrins, Frédéric ; Lassance, Nathan. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:1:p:302-314.

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2024Long-term dynamic asset allocation under asymmetric risk preferences. (2024). Pantelous, Athanasios A ; Kallinterakis, Vasileios ; Hwang, Soosung ; Kontosakos, Vasileios E. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:2:p:765-782.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024On solving robust log-optimal portfolio: A supporting hyperplane approximation approach. (2024). Hsieh, Chung-Han. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:3:p:1129-1139.

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2023Emerging equity markets in a globalized world. (2023). Bekaert, Geert ; Mondino, Tomas ; Harvey, Campbell R. In: Emerging Markets Review. RePEc:eee:ememar:v:56:y:2023:i:c:s1566014123000390.

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2023A robust Glasso approach to portfolio selection in high dimensions. (2023). Gu, Xinhua ; Shu, Lianjie ; Ding, Wenliang. In: Journal of Empirical Finance. RePEc:eee:empfin:v:70:y:2023:i:c:p:22-37.

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2023Using, taming or avoiding the factor zoo? A double-shrinkage estimator for covariance matrices. (2023). Zhao, Zhao ; de Nard, Gianluca. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:23-35.

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2023Stock return predictability and cyclical movements in valuation ratios. (2023). Chen, LI ; Huang, Difang ; Yu, Deshui. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:36-53.

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2023Automated stock picking using random forests. (2023). Breitung, Christian. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:532-556.

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2023When “time varying” volatility meets “transaction cost” in portfolio selection. (2023). Li, E ; Wen, T ; Liao, Y ; Gibberd, A ; Bu, D ; Qiao, W. In: Journal of Empirical Finance. RePEc:eee:empfin:v:73:y:2023:i:c:p:220-237.

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2023The commodity risk premium and neural networks. (2023). faff, robert ; Yew, Rand Kwong ; Rad, Hossein ; Miffre, Joelle. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001007.

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2023A financial modeling approach to industry exchange-traded funds selection. (2023). Conlon, Thomas ; cotter, john ; Post, Thierry ; Kovalenko, Illia. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001081.

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2023Does green improve portfolio optimisation?. (2023). Moussa, Faten ; Boubaker, Sabri ; Banerjee, Ameet Kumar ; Akhtaruzzaman, MD. In: Energy Economics. RePEc:eee:eneeco:v:124:y:2023:i:c:s0140988323003298.

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2023A new hybrid deep learning model for monthly oil prices forecasting. (2023). Gong, XU ; Guan, Keqin. In: Energy Economics. RePEc:eee:eneeco:v:128:y:2023:i:c:s0140988323006345.

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2023Optimization of large portfolio allocation for new-energy stocks: Evidence from China. (2023). Jiang, Hui ; Huang, Lei ; Wu, Yunlin. In: Energy. RePEc:eee:energy:v:285:y:2023:i:c:s0360544223028505.

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2023The impact of global economic policy uncertainty on portfolio optimization: A Black–Litterman approach. (2023). Li, Jie ; Han, Yingwei. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521922004264.

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2023Measuring minimum variance hedging effectiveness: Traditional vs. sophisticated models. (2023). Karmakar, Madhusudan ; Sharma, Udayan. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923001370.

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2023Rational distorted beliefs investor; which risk matters?. (2023). Moutanabbir, Khouzeima ; Bouaddi, Mohammed. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006080.

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2023The effects of personality and IQ on portfolio outcomes. (2023). Leake, David ; Antoniou, Constantinos ; Stewart, Neil ; Firth, Chris. In: Finance Research Letters. RePEc:eee:finlet:v:51:y:2023:i:c:s1544612322006407.

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2023A Privacy-preserving mean–variance optimal portfolio. (2023). Lee, Jaewook ; Ko, Hyungjin ; Byun, Junyoung. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001678.

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2023Kurtosis-based vs volatility-based asset allocation strategies: Do they share the same properties? A first empirical investigation. (2023). Zoia, Maria Grazia ; Nava, Consuelo Rubina ; Braga, Maria Debora. In: Finance Research Letters. RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323001708.

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2023Variance risk premiums and aging firms. (2023). Neururer, Thaddeus. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pa:s1544612323006840.

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2023Regression, multicollinearity and Markowitz. (2023). Mellado, Cristhian ; Contreras, Mauricio ; Ortiz, Roberto. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pc:s1544612323009224.

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2023Do commodity factors work as inflation hedges and safe havens?. (2023). Sakemoto, Ryuta ; Nakagawa, Kei. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323009571.

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2023Stock market reaction to news: Do tense and horizon matter?. (2023). Laudy, Olav ; Huynh, Karen ; Briere, Marie ; Pouget, Sebastien. In: Finance Research Letters. RePEc:eee:finlet:v:58:y:2023:i:pd:s1544612323010024.

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2024Incorporating green assets in equity portfolios. (2024). Lalwani, Vaibhav. In: Finance Research Letters. RePEc:eee:finlet:v:59:y:2024:i:c:s154461232301187x.

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Works by Raman Uppal:

YearTitleTypeCited
2019Does Household Finance Matter? Small Financial Errors with Large Social Costs In: American Economic Review.
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2017Does Household Finance Matter? Small Financial Errors with Large Social Costs.(2017) In: CEPR Discussion Papers.
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1993 A General Equilibrium Model of International Portfolio Choice. In: Journal of Finance.
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1995 The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity. In: Journal of Finance.
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1997 An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets. In: Journal of Finance.
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2003Model Misspecification and Underdiversification In: Journal of Finance.
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2002Model Misspecification and Under-Diversification.(2002) In: CEPR Discussion Papers.
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2009Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility In: Journal of Finance.
[Full Text][Citation analysis]		article167
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: Swiss Finance Institute Research Paper Series.
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This paper has nother version. Agregated cites: 167		paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 167		paper
2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility.(2007) In: NBER Working Papers.
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2016The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis In: Carlo Alberto Notebooks.
[Full Text][Citation analysis]		paper19
2016The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis.(2016) In: Journal of Monetary Economics.
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This paper has nother version. Agregated cites: 19		article
2016The intended and unintended consequences of financial-market regulations: A general equilibrium analysis.(2016) In: SAFE Working Paper Series.
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2006What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations? In: Swiss Finance Institute Research Paper Series.
[Full Text][Citation analysis]		paper12
2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: CEPR Discussion Papers.
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2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?.(2005) In: NBER Working Papers.
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2015Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper2
2017Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2016Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?.(2016) In: 2016 Meeting Papers.
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2017Financial Innovation and Asset Prices In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper1
2017A Portfolio Perspective on the Multitude of Firm Characteristics In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper7
2018The Implications of Financial Innovation for Capital Markets and Household Welfare In: CEPR Discussion Papers.
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2020Investor Sophistication and Portfolio Dynamics In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper0
2002Systemic Risk and International Portfolio Choice In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper3
2002Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper45
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 nother version. Agregated cites: 45		paper
2001Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.(2001) In: NBER Working Papers.
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This paper has nother version. Agregated cites: 45		paper
2002The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper9
2004The exchange rate and purchasing power parity: extending the theory and tests.(2004) In: Journal of International Money and Finance.
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This paper has nother version. Agregated cites: 9		article
2005The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper30
2006The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility.(2006) In: Journal of Economic Dynamics and Control.
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This paper has nother version. Agregated cites: 30		article
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper276
2005Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2005) In: CEPR Discussion Papers.
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This paper has nother version. Agregated cites: 276		paper
2004Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2004) In: Money Macro and Finance (MMF) Research Group Conference 2004.
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This paper has nother version. Agregated cites: 276		paper
2007Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach.(2007) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 276		article
2005How Inefficient is the 1/N Asset-Allocation Strategy? In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper5
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]		paper111
2013Improving Portfolio Selection Using Option-Implied Volatility and Skewness.(2013) In: Journal of Financial and Quantitative Analysis.
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This paper has nother version. Agregated cites: 111		article
2010Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper87
2012Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification.(2012) In: Management Science.
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This paper has nother version. Agregated cites: 87		article
2013Stock Return Serial Dependence and Out-of-Sample Portfolio Performance In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper52
2014Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.(2014) In: The Review of Financial Studies.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 52		article
2013Asset Prices with Heterogeneity in Preferences and Beliefs In: CEPR Discussion Papers.
[Full Text][Citation analysis]		paper99
2014Asset Prices with Heterogeneity in Preferences and Beliefs.(2014) In: The Review of Financial Studies.
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2013Asset Prices with Heterogeneity in Preferences and Beliefs.(2013) In: 2013 Meeting Papers.
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This paper has nother version. Agregated cites: 99		paper
2006Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes In: Cambridge Books.
[Citation analysis]		book28
2000Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes.(2000) In: Cambridge Books.
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This paper has nother version. Agregated cites: 28		book
1993Optimal Replication of Options with Transactions Costs and Trading Restrictions In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article71
1994Leverage Constraints and the Optimal Hedging of Stock and Bond Options In: Journal of Financial and Quantitative Analysis.
[Full Text][Citation analysis]		article15
2003Exchange rate volatility and international trade: A general-equilibrium analysis In: European Economic Review.
[Full Text][Citation analysis]		article23
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]		article26
1997Efficient Intertemporal Allocations with Recursive Utility.(1997) In: Working Papers.
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This paper has nother version. Agregated cites: 26		paper
1998Efficient Intertemporal Allocations with Recursive Utility.(1998) In: NBER Technical Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 26		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]		article22
1996Valuing Risk and Flexibility: A Comparison of Methods..(1996) In: G.R.E.Q.A.M..
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This paper has nother version. Agregated cites: 22		paper
2005Portfolio Investment with the Exact Tax Basis via Nonlinear Programming In: Management Science.
[Full Text][Citation analysis]		article22
2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms In: Management Science.
[Full Text][Citation analysis]		article339
1996The Equilibrium Approach to Exchange Rates: Theory and Tests In: NBER Working Papers.
[Full Text][Citation analysis]		paper5
1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods In: NBER Working Papers.
[Full Text][Citation analysis]		paper18
2001Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods..(2001) In: The Review of Financial Studies.
[Citation analysis]
This paper has nother version. Agregated cites: 18		article
2009Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy? In: The Review of Financial Studies.
[Full Text][Citation analysis]		article906
2009The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion In: The Review of Financial Studies.
[Full Text][Citation analysis]		article45
2020A Transaction-Cost Perspective on the Multitude of Firm Characteristics In: The Review of Financial Studies.
[Full Text][Citation analysis]		article32
2015Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs In: SAFE Working Paper Series.
[Full Text][Citation analysis]		paper13

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