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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- 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.
- Jun Liu, 2007. "Portfolio Selection in Stochastic Environments," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 1-39, January.
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