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Article provided by Springer in its journal Annals of Finance.

Volume (Year): 4 (2008)
Issue (Month): 1 (January)
Pages: 1-28
Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Handle: RePEc:kap:annfin:v:4:y:2008:i:1:p:1-28

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Related research

Keywords: Pure-jump processes; Optimal allocation; Higher moments; C61; G11;

References listed on IDEAS
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1. Clark, Peter K, 1973. "A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices," Econometrica, Econometric Society, vol. 41(1), pages 135-55, January. [Downloadable!] (restricted)
2. Campbell R. Harvey & Akhtar Siddique, 2000. "Conditional Skewness in Asset Pricing Tests," Journal of Finance, American Finance Association, vol. 55(3), pages 1263-1295, 06. [Downloadable!] (restricted)
3. Kraus, Alan & Litzenberger, Robert H, 1976. "Skewness Preference and the Valuation of Risk Assets," Journal of Finance, American Finance Association, vol. 31(4), pages 1085-1100, September. [Downloadable!] (restricted)
4. Peter Carr & Liuren Wu, 2003. "The Finite Moment Log Stable Process and Option Pricing," Journal of Finance, American Finance Association, vol. 58(2), pages 753-778, 04. [Downloadable!] (restricted)
   Other versions:
   • Peter Carr & Liuren Wu, 2002. "The Finite Moment Log Stable Process and Option Pricing," Finance 0207012, EconWPA. [Downloadable!]
5. Bansal, Ravi & Hsieh, David A & Viswanathan, S, 1993. " A New Approach to International Arbitrage Pricing," Journal of Finance, American Finance Association, vol. 48(5), pages 1719-47, December. [Downloadable!] (restricted)
6. Kraus, Alan & Litzenberger, Robert, 1983. " On the Distributional Conditions for a Consumption-Oriented Three Moment CAPM," Journal of Finance, American Finance Association, vol. 38(5), pages 1381-91, December. [Downloadable!] (restricted)
7. Chapman, David A, 1997. " Approximating the Asset Pricing Kernel," Journal of Finance, American Finance Association, vol. 52(4), pages 1383-1410, September. [Downloadable!] (restricted)
8. Peter Carr & Helyette Geman, 2002. "The Fine Structure of Asset Returns: An Empirical Investigation," Journal of Business, University of Chicago Press, vol. 75(2), pages 305-332, April. [Downloadable!]
9. Massimo Guidolin & Giovanna Nicodano, 2005. "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers 41, Center for Research on Pensions and Welfare Policies, Turin (Italy). [Downloadable!]
   Other versions:
   • Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers 2005-075, Federal Reserve Bank of St. Louis. [Downloadable!]
   • Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January. [Downloadable!] (restricted)
10. Kyle, Albert S, 1985. "Continuous Auctions and Insider Trading," Econometrica, Econometric Society, vol. 53(6), pages 1315-35, November. [Downloadable!] (restricted)
11. Dilip B. Madan & Xing Jin & Peter Carr, 2001. "Optimal investment in derivative securities," Finance and Stochastics, Springer, vol. 5(1), pages 33-59. [Downloadable!] (restricted)
12. Frank Milne & Dilip Madan, 1991. "Option Pricing With V. G. Martingale Components," Working Papers 1159, Queen's University, Department of Economics. [Downloadable!]
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    Other versions:
    • R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
14. Carr, Peter & Wu, Liuren, 2004. "Time-changed Levy processes and option pricing," Journal of Financial Economics, Elsevier, vol. 71(1), pages 113-141, January. [Downloadable!] (restricted)
    Other versions:
    • Peter Carr & Liuren Wu, 2002. "Time-Changed Levy Processes and Option Pricing," Finance 0207011, EconWPA. [Downloadable!]
15. Sanjiv Ranjan Das & Raman Uppal, 2004. "Systemic Risk and International Portfolio Choice," Journal of Finance, American Finance Association, vol. 59(6), pages 2809-2834, December. [Downloadable!] (restricted)
16. Jun Liu & Francis A. Longstaff & Jun Pan, 2003. "Dynamic Asset Allocation with Event Risk," Journal of Finance, American Finance Association, vol. 58(1), pages 231-259, 02. [Downloadable!] (restricted)

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