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Portfolio choice and equilibrium in capital markets with safety-first investors

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Author Info
Arzac, Enrique R.
Bawa, Vijay S.
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Article provided by Elsevier in its journal Journal of Financial Economics.

Volume (Year): 4 (1977)
Issue (Month): 3 (May)
Pages: 277-288
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Handle: RePEc:eee:jfinec:v:4:y:1977:i:3:p:277-288

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Web page: http://www.elsevier.com/locate/inca/505576

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  1. Manfred Gilli, Evis Kellezi, 2000. "Heuristic Approaches For Portfolio Optimization," Computing in Economics and Finance 2000 289, Society for Computational Economics. [Downloadable!]
  2. Olga Bourachnikova, 2007. "Weighting Function in the Behavioral Portfolio Theory," Working Papers DULBEA 07-07.RS, Université libre de Bruxelles, Department of Applied Economics (DULBEA). [Downloadable!]
  3. Jesus Gonzalo & Jose Olmo, 2008. "Testing downside risk efficiency under market distress," Economics Working Papers we084321, Universidad Carlos III, Departamento de Economía. [Downloadable!]
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  4. Steven Li, 2003. "A single-period model and some empirical evidences for optimal asset allocation with value-at-risk constraints," School of Economics and Finance Discussion Papers and Working Papers Series 143, School of Economics and Finance, Queensland University of Technology. [Downloadable!]
  5. Patrice Bertail & Christian Haefke & D Politis & Halbert White, 2000. "A Subsampling Approach to Estimating The Distribution of Diverging Statistics with Applications to Assessing Financial Market Risk," University of California at San Diego, Economics Working Paper Series 2000-01, Department of Economics, UC San Diego. [Downloadable!]
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  6. Dennis W. Jansen, 2001. "Limited Downside Risk In Portfolio Selection Among U.S. And Pacific Basin Equities," International Economic Journal, Korean International Economic Association, vol. 15(4), pages 1-22, December. [Downloadable!] (restricted)
  7. Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001. "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers 01-069/2, Tinbergen Institute. [Downloadable!]
  8. Enrico Diecidue & Jeroen van de Ven & Utz Weitzel, 2008. "Shareholders' expectations, aspiration levels, and mergers," Working Papers 08-06, Utrecht School of Economics. [Downloadable!]
  9. Cotter, John, 2004. "Downside Risk for European Equity Markets," MPRA Paper 3537, University Library of Munich, Germany. [Downloadable!]
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  10. Olga Bourachnikova, 2007. "Weighting Function in the Behavioral Portfolio Theory," Working Papers CEB 07-011.RS, Université Libre de Bruxelles, Solvay Business School, Centre Emile Bernheim (CEB). [Downloadable!]
  11. Rachel A. Campbell & Roman Kräussl, 2006. "Revisiting the Home Bias Puzzle. Downside Equity Risk," CFS Working Paper Series 2006/31, Center for Financial Studies. [Downloadable!]
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  12. Gagnon, Louis & Karolyi, G. Andrew, 2006. "Price and Volatility Transmission across Borders," Working Paper Series 2006-5, Ohio State University, Charles A. Dice Center for Research in Financial Economics. [Downloadable!]
  13. Jesus Gonzalo & Jose Olmo, 2007. "The Impact of Heavy Tails and Comovements in Downside-Risk Diversification," City University Economics Discussion Papers 07/02, Department of Economics, City University, London. [Downloadable!]
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