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Portfolio Selection and Asset Pricing Models

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Author Info
LUBO PÁSTOR

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Paper provided by Center for Research in Security Prices, Graduate School of Business, University of Chicago in its series CRSP working papers with number 498.

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Handle: RePEc:wop:chispw:498

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  1. Heung-Joo Cha & Thadavillil Jithendranathan, 2009. "Time-varying correlations and optimal allocation in emerging market equities for the US investors," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 14(2), pages 172-187. [Downloadable!]
  2. Stijn Van Nieuwerburgh & Laura Veldkamp, 2007. "Information Immobility and the Home Bias Puzzle," NBER Working Papers 13366, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  3. Shi, Wei & Irwin, Scott H., 2005. "A Bayesian Implementation of the Standard Optimal Hedging Model: Parameter Estimation Risk and Subjective Views," 2005 Annual meeting, July 24-27, Providence, RI 19155, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association). [Downloadable!]
  4. Pástor, Luboš & Stambaugh, Robert F, 2007. "Predictive Systems: Living with Imperfect Predictors," CEPR Discussion Papers 6076, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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  5. Tobias Adrian & Francesco Franzoni, 2008. "Learning about beta: time-varying factor loadings, expected returns, and the conditional CAPM," Staff Reports 193, Federal Reserve Bank of New York. [Downloadable!]
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  6. Xiaolou Yang, 2006. "Improving Portfolio Efficiency: A Genetic Algorithm Approach," Computational Economics, Springer, vol. 28(1), pages 1-14, August. [Downloadable!] (restricted)
  7. Bernd Scherer, 2004. "Resampled efficiency and portfolio choice," Financial Markets and Portfolio Management, Springer, vol. 18(4), pages 382-398, December. [Downloadable!] (restricted)
  8. Lubos Pastor & Robert F. Stambaugh, 2000. "Evaluating and Investing in Equity Mutual Funds," NBER Working Papers 7779, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  9. Dimitrios Christelis & Dimitris Georgarakos & Michael Haliassos, 2008. "Economic Integration and Mature Portfolios," CSEF Working Papers 194, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy. [Downloadable!]
  10. Lewis, Karen K., 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," Working Papers 06-6, University of Pennsylvania, Wharton School, Weiss Center. [Downloadable!]
  11. Josh Lerner, 2000. "Where Does State Street Lead? A First Look at Finance Patents, 1971-2000," NBER Working Papers 7918, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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  12. 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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  13. Susan Thorp, 2004. "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings 148, Econometric Society. [Downloadable!]
  14. Massimo Guidolin & Allan Timmerman, 2006. "International asset allocation under regime switching, skew and kurtosis preferences," Working Papers 2005-034, Federal Reserve Bank of St. Louis. [Downloadable!]
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  15. 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!]
    Other versions:
  16. Michael W. Brandt & Pedro Santa-Clara & Rossen Valkanov, 2004. "Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns," NBER Working Papers 10996, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
  17. Charles Engel & Akito Matsumoto, 2005. "Portfolio Choice in a Monetary Open-Economy DSGE Model," IMF Working Papers 05/165, International Monetary Fund. [Downloadable!]
    Other versions:
  18. Karen K. Lewis, 2006. "Is the International Diversification Potential Diminishing? Foreign Equity Inside and Outside the US," NBER Working Papers 12697, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
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This page was last updated on 2009-12-2.

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