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Portfolio Choice Under Local Factors

https://doi.org/10.2139/ssrn.1362224
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1007/978-1-4757-6441-3_8openalex-extracted
Macroeconomic Factors and International Industry Returns
inferredcites →https://doi.org/10.1016/b978-0-444-50897-3.50008-0openalex-extracted
Portfolio Choice Problems
inferredcites →https://doi.org/10.1016/j.irfa.2004.10.004openalex-extracted
An unobserved component model of asset pricing across financial markets
inferredcites →https://doi.org/10.1016/j.jbankfin.2004.06.004openalex-extracted
Measurement, estimation and comparison of credit migration matrices
inferredcites →https://doi.org/10.1016/j.jedc.2007.11.003openalex-extracted
Strategic asset allocation with liabilities: Beyond stocks and bonds
inferredcites →https://doi.org/10.1016/s0304-405x(02)00231-3openalex-extracted
A multivariate model of strategic asset allocation
inferredcites →https://doi.org/10.1016/s0378-4266(99)00057-6openalex-extracted
Stability of rating transitions
inferredcites →https://doi.org/10.1017/cbo9780511625848openalex-extracted
Generalized Method of Moments Estimation
inferredcites →https://doi.org/10.1073/pnas.0904287106openalex-extracted
Sparse and stable Markowitz portfolios
inferredcites →https://doi.org/10.1080/09603100110069374openalex-extracted
Macroeconomic factors and international industry returns
inferredcites →https://doi.org/10.1086/260061openalex-extracted
Risk, Return, and Equilibrium: Empirical Tests
inferredcites →https://doi.org/10.1093/0198774753.001.0001openalex-extracted
Simulation-based Econometric Methods
inferredcites →https://doi.org/10.1093/rfs/15.4.1137openalex-extracted
International Asset Allocation With Regime Shifts
inferredcites →https://doi.org/10.1111/1468-2354.00026openalex-extracted
Bootstrap Testing in Nonlinear Models
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00717.xopenalex-extracted
Systemic Risk and International Portfolio Choice
inferredcites →https://doi.org/10.20955/wp.2005.034openalex-extracted
International Asset Allocation under Regime Switching, Skew and Kurtosis Preferences
inferredcites →https://doi.org/10.2139/ssrn.2565853openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.354388openalex-extracted
Systemic Risk and International Portfolio Choice
inferredcites →https://doi.org/10.2139/ssrn.661343openalex-extracted
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
inferredcites →https://doi.org/10.2139/ssrn.675681openalex-extracted
inferredcites →https://doi.org/10.2139/ssrn.676023openalex-extracted
International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences
inferredcites →https://doi.org/10.2307/1912775openalex-extracted
Large Sample Properties of Generalized Method of Moments Estimators
inferredcites →https://doi.org/10.2469/faj.v52.n2.1978openalex-extracted
National versus Global Influences on Equity Returns
inferredcites →https://doi.org/10.2469/faj.v56.n1.2330openalex-extracted
Dispersion as Cross-Sectional Correlation
inferredcites →https://doi.org/10.3386/w10996openalex-extracted
Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns
inferredcites →https://doi.org/10.3386/w5857openalex-extracted
Consumption and Portfolio Decisions When Expected Returns are Time Varying
inferredcites →https://doi.org/10.3386/w8566openalex-extracted
A Multivariate Model of Strategic Asset Allocation
inferredcites →https://doi.org/10.3905/jpm.1995.409523openalex-extracted
Industry and Country Effects in International Stock Returns
inferredcites →https://doi.org/10.3905/jpm.2005.570152openalex-extracted
Country versus Region Effects in International Stock Returns
inferredcites →https://doi.org/10.1111/j.1540-6261.2009.01512.xopenalex-snapshot
International Stock Return Comovements
inferredcites →https://doi.org/10.1162/003355399556043openalex-snapshot
Consumption and Portfolio Decisions when Expected Returns are Time Varying

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.7282/t37m09jcopenalex-snapshot
Portfolio selection, pead anomaly and value relevance of earnings
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