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Portfolio selection in a two-regime world
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Portfolio selection in a two-regime world (2014)Portfolio selection in a two-regime worldIntegración de los mercados financieros Latinoamericanos por medio de MILA (2020)Integración de los mercados f…International Asset Allocation With Regime Shifts (2002)International Asset Allocatio…The Investor Fear Gauge (2000)The Investor Fear GaugeModeling the conditional distribution of interest rates as a regime-switching process (1996)Modeling the conditional dist…Autoregressive conditional heteroskedasticity and changes in regime (1994)Autoregressive conditional he…Foundations of Portfolio Theory (1991)Foundations of Portfolio Theo…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Rational-expectations econometric analysis of changes in regime (1988)Rational-expectations econome…The stochastic behavior of common stock variances Value, leverage and interest rate effects (1982)The stochastic behavior of co…Approximating Expected Utility by a Function of Mean and Variance (1979)Approximating Expected Utilit…The Efficiency Analysis of Choices Involving Risk (1969)The Efficiency Analysis of Ch…Rules for Ordering Uncertain Prospects (1969)Rules for Ordering Uncertain …Mutual Fund Performance (1966)Mutual Fund PerformanceAspects of the Theory of Risk-Bearing. (1966)Aspects of the Theory of Risk…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*On the measurement of inequality (1970)On Economic Inequality (1973)A theory of anticipated utility (1982)Theory of games and economic behavior (2019)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Pricing of Options and Corporate Liabilities (1973)Time Series Analysis: Forecasting and Control (1977)Threshold heteroskedastic models (1994)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)The distribution of realized stock return volatility (2001)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)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 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)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Fractionally integrated generalized autoregressive conditional heteroskedasticity (1996)Noise Trader Risk in Financial Markets (1990)Investor Psychology and Security Market Under‐ and Overreactions (1998)Investor Sentiment and the Cross‐Section of Stock Returns (2006)In Search of Attention (2011)The short of it: Investor sentiment and anomalies (2011)Policy Uncertainty and Corporate Investment (2015)Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Risk Aversion and Incentive Effects (2002)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)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)Efficient Capital Markets: II (1991)
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References

  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1989A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle9,681 cited
  • 1966Mutual Fund Performance3,932 cited
  • 2020Integración de los mercados financieros Latinoamericanos por medio de MILA3,764 cited
  • 1982The stochastic behavior of common stock variances Value, leverage and interest rate effects2,382 cited
  • 1966Aspects of the Theory of Risk-Bearing.1,888 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1994Autoregressive conditional heteroskedasticity and changes in regime1,835 cited
  • 2002International Asset Allocation With Regime Shifts1,779 cited
  • 1969Rules for Ordering Uncertain Prospects1,757 cited
  • 1996Modeling the conditional distribution of interest rates as a regime-switching process1,492 cited
  • 1969The Efficiency Analysis of Choices Involving Risk1,416 cited
  • 1991Foundations of Portfolio Theory1,129 cited
  • 2000The Investor Fear Gauge1,097 cited
  • 1988Rational-expectations econometric analysis of changes in regime898 cited
  • 1979Approximating Expected Utility by a Function of Mean and Variance

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