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Portfolio Selection Under Systemic Risk
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Outgoing claims: the papers this work cites, builds on, or argues with.
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Modeling, estimation, and optimization of equity portfolios with heavy-tailed distributions
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Beyond Sharpe ratio: Optimal asset allocation using different performance ratios
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Systemic Risk Measurement: Multivariate GARCH Estimation of CoVaR
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Granger causality in risk and detection of extreme risk spillover between financial markets
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On the network topology of variance decompositions: Measuring the connectedness of financial firms
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Systemic sovereign credit risk: Lessons from the U.S. and Europe
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Optimal portfolio selection in a Value-at-Risk framework
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DebtRank: Too Central to Fail? Financial Networks, the FED and Systemic Risk
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Portfolio selection in the presence of systemic risk
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Pessimistic Portfolio Allocation and Choquet Expected Utility
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Equilibrium Underdiversification and the Preference for Skewness
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Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
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Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
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Does Systemic Risk in the Financial Sector Predict Future Economic Downturns?
inferredcites →https://doi.org/10.1093/rfs/hhw060openalex-snapshot
SRISK: A Conditional Capital Shortfall Measure of Systemic Risk
inferredcites →https://doi.org/10.1093/rof/rfu010openalex-snapshot
Financial Network Systemic Risk Contributions
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Where the Risks Lie: A Survey on Systemic Risk
inferredcites →https://doi.org/10.1111/1540-6261.00580openalex-snapshot
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.1111/j.1540-5982.2012.01750.xopenalex-snapshot
Bilateral exposures and systemic solvency risk
inferredcites →https://doi.org/10.1111/j.1540-6261.1952.tb01525.xopenalex-snapshot
PORTFOLIO SELECTION*
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Mean-Gini, Portfolio Theory, and the Pricing of Risky Assets
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Systemic Risk Monitoring and Financial Stability
inferredcites →https://doi.org/10.1111/jmcb.12636openalex-snapshot
M‐PRESS‐CreditRisk: Microprudential and Macroprudential Capital Requirements for Credit Risk under Systemic Stress
inferredcites →https://doi.org/10.11118/actaun201563061969openalex-snapshot
Application of Performance Ratios in Portfolio Optimization
inferredcites →https://doi.org/10.1142/s0219024908004713openalex-snapshot
DESIRABLE PROPERTIES OF AN IDEAL RISK MEASURE IN PORTFOLIO THEORY
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A Survey of Systemic Risk Analytics
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Dynamic Conditional Correlation
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Capital Shortfall: A New Approach to Ranking and Regulating Systemic Risks
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A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
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Mean-Absolute Deviation Portfolio Optimization Model and Its Applications to Tokyo Stock Market
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A Minimax Portfolio Selection Rule with Linear Programming Solution
inferredcites →https://doi.org/10.1287/opre.2021.2234openalex-snapshot
Systemic Risk-Driven Portfolio Selection
inferredcites →https://doi.org/10.1920/wp.cem.2004.0904openalex-snapshot
Pessimistic portfolio allocation and Choquet expected utility
inferredcites →https://doi.org/10.2139/ssrn.1815502openalex-snapshot
Systemic Sovereign Credit Risk: Lessons from the U.S. and Europe
inferredcites →https://doi.org/10.2139/ssrn.204390openalex-snapshot
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.2139/ssrn.2192469openalex-snapshot
Bilateral Exposures and Systemic Solvency Risk
inferredcites →https://doi.org/10.2139/ssrn.2316285openalex-snapshot
On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
inferredcites →https://doi.org/10.2139/ssrn.630821openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.2307/2019327openalex-snapshot
Theory of Games and Economic Behavior
inferredcites →https://doi.org/10.2307/2109358openalex-snapshot
Modelling the Coherence in Short-Run Nominal Exchange Rates: A Multivariate Generalized Arch Model
inferredcites →https://doi.org/10.2307/2296205openalex-snapshot
Liquidity Preference as Behavior Towards Risk
inferredcites →https://doi.org/10.3386/w8922openalex-snapshot
Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps
inferredcites →https://doi.org/10.3905/jpm.2004.443328openalex-snapshot
Different Approaches to Risk Estimation in Portfolio Theory
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Incoming claims: where this work appears in other papers’ reference lists and arguments.
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Enhanced Index-Tracking Strategies Based on Systemic Financial Shocks: A Comparison of Countries Versus Sectors Investments
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Systemic Growth-at-Risk and Growth Spread Measures
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From Imports to Fracking: A Markov-Switching Granger Causality Analysis of Crude Oil Prices and Political Polarization in the U.S
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Geopolitical Risk and Domestic Bank Deposits
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Portfolio Selection under Growth-at-Risk
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Granger Causality Regimes and Volatility Dynamics: A Unified Markov-Switching Framework
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Sustainable vs. Non-Sustainable Assets: A Deep Learning-Based Dynamic Portfolio Allocation Strategy
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Multifactor Risk Attribution Applied to Systemic, Climate and Geopolitical Tail Risks for the Eurozone Banking Sector
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Portfolio Optimization with Systemic Risk Approach
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