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Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences
16 references·4 citing·44 second hop
Optimal Portfolio Choice under Regime Switching, Skew and Kurtosis Preferences (2005)Optimal Portfolio Choice under Regime Swi…Regime Switches in Interest Rates (2002)Regime Switches in Interest R…Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns (2002)Nonlinear Pricing Kernels, Ku…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Testing Density Forecasts, With Applications to Risk Management (2001)Testing Density Forecasts, Wi…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Conditional Skewness in Asset Pricing Tests (2000)Conditional Skewness in Asset…Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Consumption and Portfolio Dec…Modeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Standard Risk Aversion (1991)Standard Risk AversionDividend yields and expected stock returns (1988)Dividend yields and expected …Predicting returns in the stock and bond markets (1986)Predicting returns in the sto…Stock Returns and the Term Structure (1985)Stock Returns and the Term St…Forecasting and Conditional Projection Using Realistic Prior Distributions (1983)Forecasting and Conditional P…LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)LIFETIME PORTFOLIO SELECTION …Essays in the Theory of Risk-Bearing. (1972)Essays in the Theory of Risk-…Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)Lifetime Portfolio Selection …Downside risk reduction using regime-switching signals: a statistical jump model approach (2024)Downside risk reduction using…Optimal portfolio strategies in the presence of regimes in asset returns (2021)Optimal portfolio strategies …Downside Risk (2005)Downside RiskConditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion? (2005)Conditional Asset Allocation …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Time Series Analysis: Forecasting and Control (1977)Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root (1981)An analysis of intertemporal and cross-sectional determinants of earnings response coefficients (1989)The Variation of Economic Risk Premiums (1991)Expected Stock Returns and Variance Risk Premia (2009)Optimum consumption and portfolio rules in a continuous-time model (1971)A Theory of the Term Structure of Interest Rates (1985)A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to Measuring Financial Contagion (2003)Market Integration and Contagion (2005)How Sovereign Is Sovereign Credit Risk? (2011)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Asymmetric correlations of equity portfolios (2002)Forecasting Volatility in Financial Markets: A Review (2003)Portfolio Selection: Efficient Diversification of Investments (1959)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)The General Theory of Employment, Interest and Money. (1936)Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)An Intertemporal Capital Asset Pricing Model (1973)The Dividend-Price Ratio and Expectations of Future Dividends and Discount Factors (1986)Expected stock returns and volatility (1987)Consumption, Aggregate Wealth, and Expected Stock Returns (2001)Investor Psychology and Asset Pricing (2001)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)The Cross‐Section of Volatility and Expected Returns (2006)Introductory Econometrics for Finance (2008)… and the Cross-Section of Expected Returns (2015)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Business conditions and expected returns on stocks and bonds (1989)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Moral Hazard and Observability (1979)Prospect theory: An analysis of decision under risk (1988)The New Institutional Economics: Taking Stock, Looking Ahead (2000)Myopic Loss Aversion and the Equity Premium Puzzle (1993)
this work references cited by second hop

References

  • 1972Essays in the Theory of Risk-Bearing.3,991 cited
  • 1988Dividend yields and expected stock returns3,574 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1985Stock Returns and the Term Structure2,260 cited
  • 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING1,941 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1986Predicting returns in the stock and bond markets1,715 cited
  • 1969Lifetime Portfolio Selection By Dynamic Stochastic Programming1,692 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 1983Forecasting and Conditional Projection Using Realistic Prior Distributions1,209 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 2001Testing Density Forecasts, With Applications to Risk Management859 cited
  • 2002Regime Switches in Interest Rates854 cited
  • 1991Standard Risk Aversion851 cited
  • 2002Nonlinear Pricing Kernels, Kurtosis Preference, and Evidence from the Cross Section of Equity Returns

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Cited by

  • 2005Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion?32 cited
  • 2024Downside risk reduction using regime-switching signals: a statistical jump model approach19 cited
  • 2005Downside Risk19 cited
  • 2021Optimal portfolio strategies in the presence of regimes in asset returns18 cited