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International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences · Study

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PreprintInternational Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Allan Timmermann2005

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Preprintgreen2005

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences

Allan Timmermann · Massimo Guidolin

129 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Financial Markets and Investment Strategies Financial Risk and Volatility Modeling

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References

1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1992ARCH modeling in finance 1972Essays in the Theory of Risk-Bearing.1988Dividend yields and expected stock returns 1999Home Bias at Home: Local Equity Preference in Domestic Portfolios 2000Conditional Skewness in Asset Pricing Tests 2001Extreme Correlation of International Equity Markets 1991Investor Diversification and International Equity Markets

Cited by

2013Forecasting Real Estate Prices 2007Optimal portfolio allocation with higher moments 2011The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity 2011On the Importance of Time Variability in Higher Moments for Asset Allocation 2011Improving Portfolio Selection Using Option-Implied Volatility and Skewness 2012Optimal dividend distribution under Markov regime switching

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2008International asset allocation under regime switching, skew, and kurtosis preferencesarticle · 66 shared references 2005International Asset Allocation under Regime Switching, Skew and Kurtosis Preferencesreport · 48 shared references 2004Strategic Asset Allocation and Consumption Decisions Under Multivariate Regime Switchingpreprint · 33 shared references 2006Asset Allocation Under Multivariate Regime Switchingpreprint · 25 shared references 2003Chapter 16 Are financial assets priced locally or globally?chapter · 21 shared references 2011Global Asset Pricingreview · 21 shared references

Details

Year2005

Typepreprint

Published2005-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations129

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.676023

openalex_workW2129697657

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2008

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2013Contagion and Global Financial Crises: Lessons from Nine Crisis Episodes