Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets
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Volume (Year): 34 (2011)
Issue (Month): 2 (November)
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References listed on IDEAS
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- Jun Liu & Francis A. Longstaff & Jun Pan, 2003.
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4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Aase, Knut Kristian, 1984. "Optimum portfolio diversification in a general continuous-time model," Stochastic Processes and their Applications, Elsevier, vol. 18(1), pages 81-98, September.
- Merton, Robert C., 1975.
"Option pricing when underlying stock returns are discontinuous,"
787-75., Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Merton, Robert C., 1976. "Option pricing when underlying stock returns are discontinuous," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 125-144.
- Sanjiv Ranjan Das & Raman Uppal, 2004.
"Systemic Risk and International Portfolio Choice,"
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American Finance Association, vol. 59(6), pages 2809-2834, December.
- Kim, Myung-Jig & Oh, Young-Ho & Brooks, Robert, 1994. "Are Jumps in Stock Returns Diversifiable? Evidence and Implications for Option Pricing," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 29(04), pages 609-631, December.
- Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
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