Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Non-Normality of Market Returns: A Framework for Asset Allocation Decision Making

11 references·6 citing·46 second hop

FromToDepth

this work references cited by second hop

References

1999An Introduction to Copulas7,743 cited
2000Optimization of conditional value-at-risk6,711 cited
2002Correlation and Dependence in Risk Management: Properties and Pitfalls1,992 cited
2007Copulas for Finance - A Reading Guide and Some Applications426 cited
2009Copula–Based Models for Financial Time Series381 cited
1994Mean Reversion of Standard & Poor's 500 Index Basis Changes: Arbitrage‐induced or Statistical Illusion?303 cited
1994Value indices of commercial real estate: A comparison of index construction methods286 cited
2002Beyond Correlation: Extreme Co-Movements between Financial Assets219 cited
2007Which Copula is the Right One?145 cited
2004The choice of the distribution of asset returns: How extreme value theory can help?97 cited
1999Horizon Problems and Extreme Events in Financial Risk Management80 cited

Cited by

2014Robust analysis for downside risk in portfolio management for a volatile stock market35 cited
2016Perceptions of risk allocation methods and equitable risk distribution: a study of medium to large Southeast Queensland commercial construction projects35 cited
2014Assessing the role of U.S. timberland assets in a mixed portfolio under the mean-conditional value at risk framework

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

34 cited

2019Timberland investments in the United States: A review and prospects30 cited

2018New fat-tail normality test based on conditional second moments with applications to finance25 cited

2013Some stylized facts of return in the foreign exchange and stock markets in Peru22 cited