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Citations for "Dynamic Asset Allocation With Event Risk"

by Jun Liu & Francis A. Longstaff & Jun Pan

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  1. Enrico De Giorgi, 2005. "Evolutionary Portfolio Selection with Liquidity Shocks," Computing in Economics and Finance 2005, Society for Computational Economics 15, Society for Computational Economics.
  2. Erhan Bayraktar, 2007. "Minimizing the Lifetime Shortfall or Shortfall at Death," Papers math/0703824, arXiv.org.
  3. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2005. "Portfolio Choice over the Life-Cycle in the Presence of 'Trickle Down' Labor Income," NBER Working Papers 11247, National Bureau of Economic Research, Inc.
  4. Luca Benzoni & Pierre Collin-Dufresne & Robert S. Goldstein, 2007. "Portfolio choice over the life-cycle when the stock and labor markets are cointegrated," Working Paper Series, Federal Reserve Bank of Chicago WP-07-11, Federal Reserve Bank of Chicago.
  5. Jan Hanousek & Evžen Kočenda & Jan Novotný, 2013. "Price Jumps on European Stock Markets," William Davidson Institute Working Papers Series wp1059, William Davidson Institute at the University of Michigan.
  6. Konermann, Patrick & Meinerding, Christoph & Sedova, Olga, 2013. "Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations," Review of Financial Economics, Elsevier, Elsevier, vol. 22(1), pages 36-46.
  7. Cai, Zongwu & Hong, Yongmiao, 2003. "Nonparametric Methods in Continuous-Time Finance: A Selective Review," SFB 373 Discussion Papers 2003,15, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
  8. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers, Society for Economic Dynamics 305, Society for Economic Dynamics.
  9. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2014. "Partial information about contagion risk, self-exciting processes and portfolio optimization," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 39(C), pages 18-36.
  10. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, Elsevier, vol. 43(C), pages 212-225.
  11. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, Elsevier, vol. 34(5), pages 1447-1464.
  12. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(12), pages 5036-5047.
  13. Chen, An-Sing & Leung, Mark T., 2005. "Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model," Journal of Banking & Finance, Elsevier, Elsevier, vol. 29(12), pages 2947-2969, December.
  14. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, Elsevier, vol. 23(6), pages 993-1007, December.
  15. Morel, Christophe & Michel, Thierry & Michel, Laurent, 2010. "A Volatility-Driven Asset Allocation (VDAA)," Economics Papers from University Paris Dauphine, Paris Dauphine University 123456789/5954, Paris Dauphine University.
  16. repec:wyi:journl:002108 is not listed on IDEAS
  17. Hurvich, Clifford & Wang, Yi, 2009. "A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Leverage, and Nonsynchronous Trading Effects," MPRA Paper 12575, University Library of Munich, Germany.
  18. Hartmann, Daniel & Kempa, Bernd & Pierdzioch, Christian, 2006. "Economic and Financial Crises and the Predictability of U.S. Stock Returns," MPRA Paper 561, University Library of Munich, Germany.
  19. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, Springer, vol. 4(1), pages 1-28, January.
  20. Kim Christensen & Roel Oomen & Mark Podolskij, 2010. "Realised quantile-based estimation of the integrated variance," Post-Print, HAL peer-00732538, HAL.
  21. Patrick Leoni, 2007. "Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios," Economics, Finance and Accounting Department Working Paper Series, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth n1760607, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  22. Fulvio Corsi & Davide Pirino & Roberto Renò, 2008. "Volatility forecasting: the jumps do matter," Department of Economics University of Siena, Department of Economics, University of Siena 534, Department of Economics, University of Siena.
  23. Amaro de Matos, João & Silva, Nuno, 2014. "Consuming durable goods when stock markets jump: A strategic asset allocation approach," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 42(C), pages 86-104.
  24. Julien Chevallier & Benoît Sévi, 2012. "On the Stochastic Properties of Carbon Futures Prices," Working Papers, HAL halshs-00720166, HAL.
  25. Lim, Andrew E.B. & Watewai, Thaisiri, 2012. "Optimal investment and consumption when regime transitions cause price shocks," Insurance: Mathematics and Economics, Elsevier, vol. 51(3), pages 551-566.
  26. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, Elsevier, vol. 34(6), pages 1288-1298, June.
  27. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer, Springer, vol. 34(2), pages 141-168, November.
  28. Tim Bollerslev & Viktor Todorov, 2010. "Tails, Fears and Risk Premia," Working Papers, Duke University, Department of Economics 10-33, Duke University, Department of Economics.
  29. Kraft, Holger & Steffensen, Mogens, 2009. "Asset allocation with contagion and explicit bankruptcy procedures," Journal of Mathematical Economics, Elsevier, vol. 45(1-2), pages 147-167, January.
  30. Julien Chevallier, 2014. "Review of the Stochastic Properties of CO2 Futures Prices," Working Papers, Department of Research, Ipag Business School 2014-565, Department of Research, Ipag Business School.
  31. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(5), pages 1733-1746.
  32. Branger, Nicole & Kraft, Holger & Meinerding, Christoph, 2009. "What is the impact of stock market contagion on an investor's portfolio choice?," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 94-112, August.
  33. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, Elsevier, vol. 19(1), pages 145-165, January.
  34. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 34(11), pages 2375-2389, November.
  35. Jan Hanousek & Evzen Kocenda & Jan Novotny, 2011. "The Identification of Price Jumps," CERGE-EI Working Papers wp434, The Center for Economic Research and Graduate Education - Economic Institute, Prague.
  36. Ahmad Telfah, . "" Do Financial Planners Take Financial Crashes In Their Advice: Dynamic Asset Allocation Under Thick Tails And Fast Volatility Updating," API-Working Paper Series 0604, Arab Planning Institute - Kuwait, Information Center.
  37. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  38. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, Elsevier, vol. 30(8), pages 2347-2369, August.
  39. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, Elsevier, vol. 30(1), pages 22-38, February.
  40. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2004. "The Value of Private Information," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA qt71t9z3w3, Anderson Graduate School of Management, UCLA.
  41. Simon H. Yen & Jai Jen Wang, 2007. "General Equilibrium Stock Index Futures Pricing Allowing for Event Risk," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 6(2), pages 103-119, August.
  42. Yacine A\"it-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
  43. Yu, Jialin, 2007. "Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan," Journal of Econometrics, Elsevier, Elsevier, vol. 141(2), pages 1245-1280, December.
  44. Jan Novotný & Jan Hanousek & Evžen Kočenda, 2013. "Price Jump Indicators: Stock Market Empirics During the Crisis," William Davidson Institute Working Papers Series wp1050, William Davidson Institute at the University of Michigan.
  45. Du Du & Heng-fu Zou, 2008. "Intertemporal Portfolio Choice under Multiple Types of Event Risks," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics 332, China Economics and Management Academy, Central University of Finance and Economics.
  46. Massimo Guidolin & Giovanna Nicodano, 2007. "Small caps in international equity portfolios: the effects of variance risk," Working Papers, Federal Reserve Bank of St. Louis 2005-075, Federal Reserve Bank of St. Louis.
  47. Branger, Nicole & Schlag, Christian & Schneider, Eva, 2008. "Optimal portfolios when volatility can jump," Journal of Banking & Finance, Elsevier, Elsevier, vol. 32(6), pages 1087-1097, June.
  48. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, Elsevier, vol. 69(3), pages 401-430, September.
  49. Jin-Ray Lu & Chih-Ming Chan & Wen-Shen Li, 2011. "Portfolio Selections with Innate Learning Ability," International Journal of Business and Economics, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, College of Business, and College of Finance, Feng Chia University, Taichung, Taiwan, vol. 10(3), pages 201-217, December.
  50. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, Elsevier, vol. 37(2), pages 305-323.
  51. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, Elsevier, vol. 29(3), pages 684-690.
  52. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, Elsevier, vol. 31(5), pages 1427-1440, May.
  53. repec:wyi:wpaper:002011 is not listed on IDEAS
  54. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library 24481, London School of Economics and Political Science, LSE Library.
  55. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  56. repec:dgr:uvatin:2011028 is not listed on IDEAS
  57. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  58. Ngwira, Bernard & Gerrard, Russell, 2007. "Stochastic pension fund control in the presence of Poisson jumps," Insurance: Mathematics and Economics, Elsevier, vol. 40(2), pages 283-292, March.
  59. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, Elsevier, vol. 236(1), pages 200-208.
  60. Qiang Dai & Kenneth J. Singleton & Wei Yang, 2004. "Regime shifts in a dynamic term structure model of U.S. Treasury bond yields," Proceedings, Federal Reserve Bank of San Francisco, Federal Reserve Bank of San Francisco, issue Mar.
  61. Branger, Nicole & Mahayni, Antje & Schneider, Judith C., 2010. "On the optimal design of insurance contracts with guarantees," Insurance: Mathematics and Economics, Elsevier, vol. 46(3), pages 485-492, June.
  62. Dieckmann, Stephan & Gallmeyer, Michael, 2005. "The equilibrium allocation of diffusive and jump risks with heterogeneous agents," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 29(9), pages 1547-1576, September.
  63. Liu, Jun & Pan, Jun, 2003. "Dynamic Derivative Strategies," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management 4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  64. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, Elsevier, vol. 19(4), pages 597-615, October.