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Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion?
16 references·2 citing·36 second hop
Conditional Asset Allocation Under Non-Normality: How Costly is the Mean-Variance Criterion? (2005)Conditional Asset Allocation Under Non-No…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH (2001)Theoretical and Empirical pro…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…Evaluating Density Forecasts with Applications to Financial Risk Management (1998)Evaluating Density Forecasts …Emerging equity market volatility (1997)Emerging equity market volati…Predictable Risk and Returns in Emerging Markets (1995)Predictable Risk and Returns …Predictable Risk and Returns in Emerging Markets (1994)Predictable Risk and Returns …Autoregressive Conditional Density Estimation (1994)Autoregressive Conditional De…On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)On the Relation between the E…Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models (1991)Quadrature-Based Methods for …Generalized autoregressive conditional heteroskedasticity (1986)Generalized autoregressive co…Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Autoregressive Conditional He…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS* (1976)SKEWNESS PREFERENCE AND THE V…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Dynamic Hedging and Extreme Asset Co-movements (2014)Dynamic Hedging and Extreme A…Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung (2007)Portfoliooptimierung mit Hedg…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Risk, Return, and Equilibrium: Empirical Tests (1973)The relationship between return and market value of common stocks (1981)… and the Cross-Section of Expected Returns (2015)Time Series Analysis: Forecasting and Control (1977)Time Series Analysis: Forecasting and Control (1977)Multivariate Simultaneous Generalized ARCH (1995)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)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)The Cross‐Section of Volatility and Expected Returns (2006)Estimating Time Varying Risk Premia in the Term Structure: The Arch-M Model (1987)Modeling and pricing long memory in stock market volatility (1996)The econometrics of financial markets (1996)GENERALIZED AUTOREGRESSIVE SCORE MODELS WITH APPLICATIONS (2012)The Cross-Section of Expected Stock Returns (1992)On Persistence in Mutual Fund Performance (1997)Introductory Econometrics for Finance (2008)ARCH modeling in finance (1992)Quasi-maximum likelihood estimation and inference in dynamic models with time-varying covariances (1992)Comparing Predictive Accuracy (1994)Modeling and Forecasting Realized Volatility (2001)Testing Density Forecasts, With Applications to Risk Management (2001)The Copula-GARCH model of conditional dependencies: An international stock market application (2006)Econometric Analysis of Cross Section and Panel Data (2001)Asymmetric Volatility and Risk in Equity Markets (2000)Asymmetric correlations of equity portfolios (2002)Individualism and Momentum around the World (2010)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? (2007)The relationship between corporate social responsibility and shareholder value: an empirical test of the risk management hypothesis (2008)
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References

  • 1986Generalized autoregressive conditional heteroskedasticity22,329 cited
  • 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation20,684 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
  • 2000Conditional Skewness in Asset Pricing Tests2,837 cited
  • 1976SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*1,808 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1997Emerging equity market volatility1,703 cited
  • 1994Autoregressive Conditional Density Estimation1,580 cited
  • 1998Evaluating Density Forecasts with Applications to Financial Risk Management1,452 cited
  • 2001Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH1,401 cited
  • 1994Predictable Risk and Returns in Emerging Markets1,042 cited
  • 1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
  • 1995Predictable Risk and Returns in Emerging Markets982 cited
  • 1991Quadrature-Based Methods for Obtaining Approximate Solutions to Nonlinear Asset Pricing Models

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926 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance874 cited
  • Cited by

    • 2007Portfoliooptimierung mit Hedgefonds unter Berücksichtigung höherer Momente der Verteilung27 cited
    • 2014Dynamic Hedging and Extreme Asset Co-movements20 cited