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)
Pages: 141-168
| Handle: | RePEc:spr:decfin:v:34:y:2011:i:2:p:141-168 |
| Contact details of provider: | Web page: http://www.springer.com Web page: http://www.amases.org/
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| Order Information: | Web: http://www.springer.com/economics/economic+theory/journal/10203/PS2 |
References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Jun Liu & Francis A. Longstaff & Jun Pan, 2003.
"Dynamic Asset Allocation with Event Risk,"
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- Jun Liu & Francis A. Longstaff & Jun Pan, 2002. "Dynamic Asset Allocation With Event Risk," NBER Working Papers 9103, National Bureau of Economic Research, Inc.
- Liu, Jun & Longstaff, Francis & Pan, Jun, 2001. "Dynamic Asset Allocation with Event Risk," University of California at Los Angeles, Anderson Graduate School of Management qt9fm6t5nb, Anderson Graduate School of Management, UCLA.
- Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
- Jun Liu, 2007. "Portfolio Selection in Stochastic Environments," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 1-39, January.
- Merton, Robert C., 1971.
"Optimum consumption and portfolio rules in a continuous-time model,"
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- 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.
- Liu, Jun & Pan, Jun, 2003.
"Dynamic Derivative Strategies,"
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4334-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
- 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,"
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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.
- Das, Sanjiv Ranjan & Uppal, Raman, 2002. "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers 3305, C.E.P.R. Discussion Papers.
- 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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