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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. Stephan Dieckmann & Michael Gallmeyer, . "The Equilibrium Allocation of Diffusive and Jump Risks with Heterogeneous Agents," GSIA Working Papers 2003-E36, Carnegie Mellon University, Tepper School of Business.
  2. Ahmad, Tanveer & Shahzad, Syed Jawad Hussain & Rehman, Mobeen ur, 2014. "Industry Premiums and Systematic Risk under Terror: Empirical Evidence from Pakistan," MPRA Paper 60082, University Library of Munich, Germany.
  3. 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.
  4. 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.
  5. Arif, Imtiaz & Suleman, Tahir, 2014. "Terrorism and Stock Market Linkages: An Empirical Study from Pakistan," MPRA Paper 58918, University Library of Munich, Germany.
  6. Massimo Guidolin & Giovanna Nicodano, 2009. "Small caps in international equity portfolios: the effects of variance risk," Annals of Finance, Springer, vol. 5(1), pages 15-48, January.
  7. 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.
  8. Su, Jen-Je & Cheung, Adrian (Wai-Kong) & Roca, Eduardo, 2012. "Are securitised real estate markets efficient?," Economic Modelling, Elsevier, vol. 29(3), pages 684-690.
  9. repec:wyi:journl:002108 is not listed on IDEAS
  10. Wang, Jianxin & Yang, Minxian, 2009. "Asymmetric volatility in the foreign exchange markets," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 19(4), pages 597-615, October.
  11. 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.
  12. 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, vol. 10(3), pages 201-217, December.
  13. Julien Chevallier & Benoît Sévi, 2014. "On the Stochastic Properties of Carbon Futures Prices," Environmental & Resource Economics, European Association of Environmental and Resource Economists, vol. 58(1), pages 127-153, May.
  14. repec:dgr:uvatin:2011028 is not listed on IDEAS
  15. Larsen, Linda Sandris, 2010. "Optimal investment strategies in an international economy with stochastic interest rates," International Review of Economics & Finance, Elsevier, vol. 19(1), pages 145-165, January.
  16. 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, issue Mar.
  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. Morel, Christophe & Michel, Thierry & Michel, Laurent, 2010. "A Volatility-Driven Asset Allocation (VDAA)," Economics Papers from University Paris Dauphine 123456789/5954, Paris Dauphine University.
  19. Jakša Cvitanić & Vassilis Polimenis & Fernando Zapatero, 2008. "Optimal portfolio allocation with higher moments," Annals of Finance, Springer, vol. 4(1), pages 1-28, January.
  20. Christensen, Kim & Oomen, Roel & Podolskij, Mark, 2010. "Realised quantile-based estimation of the integrated variance," Journal of Econometrics, Elsevier, vol. 159(1), pages 74-98, November.
  21. 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.
  22. Erhan Bayraktar, 2007. "Minimizing the Lifetime Shortfall or Shortfall at Death," Papers math/0703824, arXiv.org.
  23. Kole, Erik & Koedijk, Kees & Verbeek, Marno, 2006. "Portfolio implications of systemic crises," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2347-2369, August.
  24. Patrick Leoni, 2007. "Monte-Carlo Estimations of the Downside Risk of Derivative Portfolios," Economics, Finance and Accounting Department Working Paper Series n1760607, Department of Economics, Finance and Accounting, National University of Ireland - Maynooth.
  25. Georgy Chabakauri, 2015. "Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors," LSE Research Online Documents on Economics 60737, London School of Economics and Political Science, LSE Library.
  26. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  27. Buckley, Winston & Long, Hongwei & Perera, Sandun, 2014. "A jump model for fads in asset prices under asymmetric information," European Journal of Operational Research, Elsevier, vol. 236(1), pages 200-208.
  28. Asgharian, Hossein & Nossman, Marcus, 2011. "Risk contagion among international stock markets," Journal of International Money and Finance, Elsevier, vol. 30(1), pages 22-38, February.
  29. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  30. Davide Raggi & Silvano Bordignon, 2011. "Volatility, Jumps, and Predictability of Returns: A Sequential Analysis," Econometric Reviews, Taylor & Francis Journals, vol. 30(6), pages 669-695.
  31. Marcel Prokopczuk, 2011. "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer, vol. 34(2), pages 141-168, November.
  32. Tim Bollerslev & Viktor Todorov, 2009. "Tails, Fears and Risk Premia," CREATES Research Papers 2009-26, School of Economics and Management, University of Aarhus.
  33. 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.
  34. Yacine A\"it-Sahalia & T. R. Hurd, 2012. "Portfolio Choice in Markets with Contagion," Papers 1210.1598, arXiv.org.
  35. 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.
  36. 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, vol. 39(C), pages 18-36.
  37. 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, vol. 29(12), pages 2947-2969, December.
  38. Christensen, Kim & Oomen, Roel C.A. & Podolskij, Mark, 2014. "Fact or friction: Jumps at ultra high frequency," Journal of Financial Economics, Elsevier, vol. 114(3), pages 576-599.
  39. Du Du & Heng-fu Zou, 2008. "Intertemporal Portfolio Choice under Multiple Types of Event Risks," CEMA Working Papers 332, China Economics and Management Academy, Central University of Finance and Economics.
  40. Fulvio Corsi & Davide Pirino & Roberto Reno, 2009. "Volatility Forecasting: The Jumps Do Matter," Global COE Hi-Stat Discussion Paper Series gd08-036, Institute of Economic Research, Hitotsubashi University.
  41. Liu, Qingfu & Tu, Anthony H., 2012. "Jump spillovers in energy futures markets: Implications for diversification benefits," Energy Economics, Elsevier, vol. 34(5), pages 1447-1464.
  42. Julien Chevallier, 2014. "Review of the Stochastic Properties of CO2 Futures Prices," Working Papers 2014-565, Department of Research, Ipag Business School.
  43. Muck, Matthias, 2010. "Trading strategies with partial access to the derivatives market," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1288-1298, June.
  44. Daglish, Toby, 2008. "The Effect of Asset Price Jumps on Consumption and Investment Decisions," Working Paper Series 4006, Victoria University of Wellington, The New Zealand Institute for the Study of Competition and Regulation.
  45. 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.
  46. 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.
  47. 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, vol. 22(1), pages 36-46.
  48. Pan, Jun, 2002. "The jump-risk premia implicit in options: evidence from an integrated time-series study," Journal of Financial Economics, Elsevier, vol. 63(1), pages 3-50, January.
  49. Tim Bollerslev & Sophia Zhengzi Li & Viktor Todorov, 2014. "Roughing up Beta: Continuous vs. Discontinuous Betas, and the Cross-Section of Expected Stock Returns," CREATES Research Papers 2014-48, School of Economics and Management, University of Aarhus.
  50. Benoît Sévi & César Baena, 2011. "Brownian motion vs. pure-jump processes for individual stocks," Economics Bulletin, AccessEcon, vol. 31(4), pages 3138-3152.
  51. 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.
  52. Branger, Nicole & Schlag, Christian & Schneider, Eva, 2008. "Optimal portfolios when volatility can jump," Journal of Banking & Finance, Elsevier, vol. 32(6), pages 1087-1097, June.
  53. Hatemi-J, Abdulnasser & Roca, Eduardo, 2006. "A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods," Economic Modelling, Elsevier, vol. 23(6), pages 993-1007, December.
  54. Stephan Dieckmann & Michael Gallmeyer, 2006. "Pricing Rare Event Risk in Emerging Markets," 2006 Meeting Papers 305, Society for Economic Dynamics.
  55. 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.
  56. Isaenko, Sergei, 2010. "Portfolio choice under transitory price impact," Journal of Economic Dynamics and Control, Elsevier, vol. 34(11), pages 2375-2389, November.
  57. Zieling, Daniel & Mahayni, Antje & Balder, Sven, 2014. "Performance evaluation of optimized portfolio insurance strategies," Journal of Banking & Finance, Elsevier, vol. 43(C), pages 212-225.
  58. Zongwu Cai & Yongmiao Hong, 2013. "Some Recent Developments in Nonparametric Finance," Papers 2013-10-14, Working Paper.
  59. 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 WP-07-11, Federal Reserve Bank of Chicago.
  60. 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, vol. 141(2), pages 1245-1280, December.
  61. 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, vol. 42(C), pages 86-104.
  62. Enrico De Giorgi, . "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers 185, Institute for Empirical Research in Economics - University of Zurich.
  63. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5036-5047.
  64. Liu, Jun & Peleg, Ehud & Subrahmanyam, Avanidhar, 2004. "The Value of Private Information," University of California at Los Angeles, Anderson Graduate School of Management qt71t9z3w3, Anderson Graduate School of Management, UCLA.
  65. Liu, Jun & Pan, Jun, 2003. "Dynamic derivative strategies," Journal of Financial Economics, Elsevier, vol. 69(3), pages 401-430, September.
  66. 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, vol. 6(2), pages 103-119, August.
  67. Chollete, Loran & Ismailescu, Iuliana & Lu, Ching-Chih, 2014. "Dependence between Extreme Events in the Real and Financial Sectors," UiS Working Papers in Economics and Finance 2014/12, University of Stavanger.
  68. Jin, Xing & Zhang, Kun, 2013. "Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1733-1746.
  69. 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.
  70. Chollete, Loran, 2011. "A Model of Endogenous Extreme Events," UiS Working Papers in Economics and Finance 2012/2, University of Stavanger.
  71. Gomes, Francisco J., 2007. "Exploiting short-run predictability," Journal of Banking & Finance, Elsevier, vol. 31(5), pages 1427-1440, May.
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