Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

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

Sequential Optimal Portfolio Performance: Market and Volatility Timing

16 references·15 citing·41 second hopsampled

FromToDepth

this work references cited by second hop· second hop is a sample of the most-cited connections

References

1993On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks9,041 cited
1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
1987Expected stock returns and volatility4,147 cited
1980On estimating the expected return on the market2,818 cited
1999Predictive regressions1,614 cited
1992Dividend Yields and Expected Stock Returns: Alternative Procedures for Inference and Measurement1,521 cited
2000Investing for the Long Run when Returns Are Predictable1,372 cited
2002Bayesian Analysis of Stochastic Volatility Models1,363 cited
1999Consumption and Portfolio Decisions when Expected Returns are Time Varying1,035 cited
1991On the Sensitivity of Mean-Variance-Efficient Portfolios to Changes in Asset Means: Some Analytical and Computational Results999 cited
2003Alternative models for stock price dynamics893 cited
2001The Economic Value of Volatility Timing848 cited
1996Dynamic Nonmyopic Portfolio Behavior747 cited
1997Strategic asset allocation730 cited
1996On the Predictability of Stock Returns: An Asset‐Allocation Perspective730 cited

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

2006Portfolio Selection in Stochastic Environments660 cited

Cited by

2003CAPM Over the Long-Run: 1926-200169 cited
2008Are Stocks Really Less Volatile in the Long Run?47 cited
2006Evaluating Portfolio Policies: A Duality Approach47 cited
2004Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics42 cited
2009Are Stocks Really Less Volatile in the Long Run?39 cited
2021Volatility timing, sentiment, and the short-term profitability of VIX-based cross-sectional trading strategies38 cited
2011Payout yield, risk, and mispricing: A Bayesian analysis35 cited
2014What is the chance that the equity premium varies over time? Evidence from regressions on the dividend-price ratio31 cited
2008Mutual fund volatility timing and management fees31 cited
2004Volatility Comovement: A Multifrequency Approach31 cited
2005CAPM Over the Long Run: 1926-200131 cited
2008Predictive Systems: Living with Imperfect Predictors31 cited
2012The performance of model based option trading strategies25 cited
2002Nonlinear Filtering of Stochastic Differential Equations with Jumps25 cited
2003Financial Asset Returns, Direction-of-Change Forecasting, and Volatility Dynamics25 cited