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Portfolio Selection under Growth-at-Risk

https://doi.org/10.2139/ssrn.6450358
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1016/0304-405x(80)90007-0openalex-snapshot
On estimating the expected return on the market
inferredcites →https://doi.org/10.1016/0304-4076(90)90099-fopenalex-snapshot
Asset pricing with a factor-arch covariance structure
inferredcites →https://doi.org/10.1016/j.jmoneco.2020.11.003openalex-snapshot
Backtesting global Growth-at-Risk
inferredcites →https://doi.org/10.1016/s0304-3932(99)00027-6openalex-snapshot
Forecasting inflation
inferredcites →https://doi.org/10.1086/250059openalex-snapshot
By Force of Habit: A Consumption‐Based Explanation of Aggregate Stock Market Behavior
inferredcites →https://doi.org/10.1093/jjfinec/nby033openalex-snapshot
Factor Models for Portfolio Selection in Large Dimensions: The Good, the Better and the Ugly
inferredcites →https://doi.org/10.1093/revfin/hhm011openalex-snapshot
Equilibrium Underdiversification and the Preference for Skewness
inferredcites →https://doi.org/10.1093/rfs/14.2.371openalex-snapshot
Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
inferredcites →https://doi.org/10.1093/rfs/hhj035openalex-snapshot
Downside Risk
inferredcites →https://doi.org/10.1093/rfs/hhm075openalex-snapshot
Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?
inferredcites →https://doi.org/10.1111/0022-1082.00347openalex-snapshot
Consumption, Aggregate Wealth, and Expected Stock Returns
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.1468-0262.2006.00718.xopenalex-snapshot
Tests of Conditional Predictive Ability
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb05128.xopenalex-snapshot
On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks
inferredcites →https://doi.org/10.1111/jmcb.13038openalex-snapshot
Portfolio Selection Under Systemic Risk
inferredcites →https://doi.org/10.1111/jmcb.13121openalex-snapshot
Capturing Macro‐Economic Tail Risks with Bayesian Vector Autoregressions
inferredcites →https://doi.org/10.1198/073500102288618487openalex-snapshot
Dynamic Conditional Correlation
inferredcites →https://doi.org/10.1257/aer.20161923openalex-snapshot
Vulnerable Growth
inferredcites →https://doi.org/10.1287/mnsc.1080.0986openalex-snapshot
A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
inferredcites →https://doi.org/10.21314/jor.2000.038openalex-snapshot
Optimization of conditional value-at-risk
inferredcites →https://doi.org/10.21314/jor.2012.237openalex-snapshot
A practical guide to volatility forecasting through calm and storm
inferredcites →https://doi.org/10.2307/1907413openalex-snapshot
Safety First and the Holding of Assets
inferredcites →https://doi.org/10.2307/1914185openalex-snapshot
Prospect Theory: An Analysis of Decision under Risk
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