SEARCH

SEARCH BY CITATION

Cited in:

CrossRef

This article has been cited by:

  1. 1
    Winston S. Buckley, Hongwei Long, A discontinuous mispricing model under asymmetric information, European Journal of Operational Research, 2015,

    CrossRef

  2. 2
    R. Elkamhi, D. Stefanova, Dynamic Hedging and Extreme Asset Co-movements, Review of Financial Studies, 2015, 28, 3, 743

    CrossRef

  3. 3
    SASCHA DESMETTRE, RALF KORN, FRANK THOMAS SEIFRIED, LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS, International Journal of Theoretical and Applied Finance, 2015, 18, 01, 1550004

    CrossRef

  4. 4
    Alexandre Hocquard, Nicolas Papageorgiou, Bruno Remillard, The payoff distribution model: an application to dynamic portfolio insurance, Quantitative Finance, 2015, 15, 2, 299

    CrossRef

  5. 5
    Winston Buckley, Hongwei Long, Sandun Perera, A jump model for fads in asset prices under asymmetric information, European Journal of Operational Research, 2014, 236, 1, 200

    CrossRef

  6. 6
    C. Lan, An Out-of-Sample Evaluation of Dynamic Portfolio Strategies, Review of Finance, 2014,

    CrossRef

  7. 7
    João Amaro de Matos, Nuno Silva, Consuming durable goods when stock markets jump: A strategic asset allocation approach, Journal of Economic Dynamics and Control, 2014, 42, 86

    CrossRef

  8. 8
    Pierre Collin-Dufresne, Julien Hugonnier, Event risk, contingent claims and the temporal resolution of uncertainty, Mathematics and Financial Economics, 2014, 8, 1, 29

    CrossRef

  9. 9
    Kim Christensen, Roel C.A. Oomen, Mark Podolskij, Fact or friction: Jumps at ultra high frequency, Journal of Financial Economics, 2014, 114, 3, 576

    CrossRef

  10. 10
    Asma Graja, Aida Jarraya, Afif Masmoudi, Implicit Estimation for the Stochastic Volatility Model, Communications in Statistics - Theory and Methods, 2014, 43, 6, 1061

    CrossRef

  11. 11
    Cui-Xia Li, Jin-Yuan Chen, Zhi Liu, Bing-Yi Jing, On Integrated Volatility of Itô Semimartingales when Sampling Times are Endogenous, Communications in Statistics - Theory and Methods, 2014, 43, 24, 5263

    CrossRef

  12. 12
    Julien Chevallier, Benoît Sévi, On the Stochastic Properties of Carbon Futures Prices, Environmental and Resource Economics, 2014, 58, 1, 127

    CrossRef

  13. 13
    Nicole Branger, Holger Kraft, Christoph Meinerding, Partial information about contagion risk, self-exciting processes and portfolio optimization, Journal of Economic Dynamics and Control, 2014, 39, 18

    CrossRef

  14. 14
    Daniel Zieling, Antje Mahayni, Sven Balder, Performance evaluation of optimized portfolio insurance strategies, Journal of Banking & Finance, 2014, 43, 212

    CrossRef

  15. 15
    Stefano Pagliarani, Tiziano Vargiolu, Portfolio optimization in a defaultable Lévy-driven market model, OR Spectrum, 2014,

    CrossRef

  16. 16
    Jérôme Detemple, Portfolio Selection: A Review, Journal of Optimization Theory and Applications, 2014, 161, 1, 1

    CrossRef

  17. 17
    Jan Hanousek, Evžen Kočenda, Jan Novotný, Price jumps on European stock markets, Borsa Istanbul Review, 2014, 14, 1, 10

    CrossRef

  18. 18
    Patrick Konermann, Christoph Meinerding, Olga Sedova, Asset allocation in markets with contagion: The interplay between volatilities, jump intensities, and correlations, Review of Financial Economics, 2013, 22, 1, 36

    CrossRef

  19. 19
    Xing Jin, Kun Zhang, Dynamic optimal portfolio choice in a jump-diffusion model with investment constraints, Journal of Banking & Finance, 2013, 37, 5, 1733

    CrossRef

  20. 20
    Shumin Chen, Zhifeng Hao, Funding and investment decisions in a stochastic defined benefit pension plan with regime switching*, Lithuanian Mathematical Journal, 2013, 53, 2, 161

    CrossRef

  21. 21
    Hong Liu, Mark Loewenstein, Market Crashes, Correlated Illiquidity, and Portfolio Choice, Management Science, 2013, 59, 3, 715

    CrossRef

  22. 22
    Francis J. DiTraglia, Jeffrey R. Gerlach, Portfolio selection: An extreme value approach, Journal of Banking & Finance, 2013, 37, 2, 305

    CrossRef

  23. 23
    Nicole Branger, Linda Sandris Larsen, Robust portfolio choice with uncertainty about jump and diffusion risk, Journal of Banking & Finance, 2013, 37, 12, 5036

    CrossRef

  24. 24
    George J. Jiang, Tong Yao, Stock Price Jumps and Cross-Sectional Return Predictability, Journal of Financial and Quantitative Analysis, 2013, 48, 05, 1519

    CrossRef

  25. 25
    Matthias Muck, Stefan Weisheit, Rethinking Valuation and Pricing Models, 2013,

    CrossRef

  26. 26
    Jen-Je Su, Adrian (Wai-Kong) Cheung, Eduardo Roca, Are securitised real estate markets efficient?, Economic Modelling, 2012, 29, 3, 684

    CrossRef

  27. 27
    CHRISTOPH MEINERDING, ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT, International Journal of Theoretical and Applied Finance, 2012, 15, 03, 1250023

    CrossRef

  28. 28
    X. Jin, A. X. Zhang, Decomposition of Optimal Portfolio Weight in a Jump-Diffusion Model and Its Applications, Review of Financial Studies, 2012, 25, 9, 2877

    CrossRef

  29. 29
    LIONEL MARTELLINI, VINCENT MILHAU, Dynamic allocation decisions in the presence of funding ratio constraints, Journal of Pension Economics and Finance, 2012, 11, 04, 549

    CrossRef

  30. 30
    S. Basak, G. Chabakauri, Dynamic Hedging in Incomplete Markets: A Simple Solution, Review of Financial Studies, 2012, 25, 6, 1845

    CrossRef

  31. 31
    Chaolin He, Weidong Meng, Dynamic portfolio choice under the time-varying, jumps, and knight uncertainty of asset return process, Journal of Systems Science and Complexity, 2012, 25, 5, 896

    CrossRef

  32. 32
    Qingfu Liu, Anthony H. Tu, Jump spillovers in energy futures markets: Implications for diversification benefits, Energy Economics, 2012, 34, 5, 1447

    CrossRef

  33. 33
    Andrew E.B. Lim, Thaisiri Watewai, Optimal investment and consumption when regime transitions cause price shocks, Insurance: Mathematics and Economics, 2012, 51, 3, 551

    CrossRef

  34. 34
    CHRISTIAN KOZIOL, JULIANE PROELSS, DENIS SCHWEIZER, DO INSTITUTIONAL INVESTORS CARE ABOUT THE AMBIGUITY OF THEIR ASSETS? EVIDENCE FROM PORTFOLIO HOLDINGS IN ALTERNATIVE INVESTMENTS, International Journal of Theoretical and Applied Finance, 2011, 14, 04, 465

    CrossRef

  35. 35
    Jérôme Lahaye, Sébastien Laurent, Christopher J. Neely, Jumps, cojumps and macro announcements, Journal of Applied Econometrics, 2011, 26, 6
  36. 36
    Marcel Prokopczuk, Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets, Decisions in Economics and Finance, 2011, 34, 2, 141

    CrossRef

  37. 37
    Anatoliy Swishchuk, Li Xu, Pricing Variance Swaps for Stochastic Volatilities with Delay and Jumps, International Journal of Stochastic Analysis, 2011, 2011, 1

    CrossRef

  38. 38
    Hossein Asgharian, Marcus Nossman, Risk contagion among international stock markets, Journal of International Money and Finance, 2011, 30, 1, 22

    CrossRef

  39. 39
    TIM BOLLERSLEV, VIKTOR TODOROV, Tails, Fears, and Risk Premia, The Journal of Finance, 2011, 66, 6
  40. 40
    T. Ui, The Ambiguity Premium vs. the Risk Premium under Limited Market Participation, Review of Finance, 2011, 15, 2, 245

    CrossRef

  41. 41
    Davide Raggi, Silvano Bordignon, Volatility, Jumps, and Predictability of Returns: A Sequential Analysis, Econometric Reviews, 2011, 30, 6, 669

    CrossRef

  42. 42
    Clifford M. Hurvich, Yi Wang, A Pure-Jump Transaction-Level Price Model Yielding Cointegration, Journal of Business & Economic Statistics, 2010, 28, 4, 539

    CrossRef

  43. 43
    Jianwei Gao, An extended CEV model and the Legendre transform–dual–asymptotic solutions for annuity contracts, Insurance: Mathematics and Economics, 2010, 46, 3, 511

    CrossRef

  44. 44
    ANDREA BURASCHI, PAOLO PORCHIA, FABIO TROJANI, Correlation Risk and Optimal Portfolio Choice, The Journal of Finance, 2010, 65, 1
  45. 45
    Nicole Branger, Beate Breuer, Christian Schlag, Discrete-time implementation of continuous-time portfolio strategies, The European Journal of Finance, 2010, 16, 2, 137

    CrossRef

  46. 46
    David R. Just, Sivalai V. Khantachavana, Richard E. Just, Empirical Challenges for Risk Preferences and Production, Annual Review of Resource Economics, 2010, 2, 1, 13

    CrossRef

  47. 47
    Nicole Branger, Antje Mahayni, Judith C. Schneider, On the optimal design of insurance contracts with guarantees, Insurance: Mathematics and Economics, 2010, 46, 3, 485

    CrossRef

  48. 48
    Frank Thomas Seifried, Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach, Mathematics of Operations Research, 2010, 35, 3, 559

    CrossRef

  49. 49
    Linda Sandris Larsen, Optimal investment strategies in an international economy with stochastic interest rates, International Review of Economics & Finance, 2010, 19, 1, 145

    CrossRef

  50. 50
    Laura Pasin, Tiziano Vargiolu, Optimal Portfolio for CRRA Utility Functions when Risky Assets are Exponential Additive Processes, Economic Notes, 2010, 39, 1-2
  51. 51
    Sergei Isaenko, Portfolio choice under transitory price impact, Journal of Economic Dynamics and Control, 2010, 34, 11, 2375

    CrossRef

  52. 52
    Kim Christensen, Roel Oomen, Mark Podolskij, Realised quantile-based estimation of the integrated variance, Journal of Econometrics, 2010, 159, 1, 74

    CrossRef

  53. 53
    Matthias Muck, Trading strategies with partial access to the derivatives market, Journal of Banking & Finance, 2010, 34, 6, 1288

    CrossRef

  54. 54
    Michael Johannes, Nicholas Polson, Handbook of Financial Econometrics: Applications, 2010,

    CrossRef

  55. 55
    Michael W. Brandt, Handbook of Financial Econometrics: Tools and Techniques, 2010,

    CrossRef

  56. 56
    Holger Kraft, Mogens Steffensen, Asset allocation with contagion and explicit bankruptcy procedures, Journal of Mathematical Economics, 2009, 45, 1-2, 147

    CrossRef

  57. 57
    Jianxin Wang, Minxian Yang, Asymmetric volatility in the foreign exchange markets, Journal of International Financial Markets, Institutions and Money, 2009, 19, 4, 597

    CrossRef

  58. 58
    Andrew Golightly, Bayesian Filtering for Jump-Diffusions With Application to Stochastic Volatility, Journal of Computational and Graphical Statistics, 2009, 18, 2, 384

    CrossRef

  59. 59
    Erhan Bayraktar, Virginia R. Young, Minimizing the lifetime shortfall or shortfall at death, Insurance: Mathematics and Economics, 2009, 44, 3, 447

    CrossRef

  60. 60
    M. S. Johannes, N. G. Polson, J. R. Stroud, Optimal Filtering of Jump Diffusions: Extracting Latent States from Asset Prices, Review of Financial Studies, 2009, 22, 7, 2759

    CrossRef

  61. 61
    Massimo Guidolin, Giovanna Nicodano, Small caps in international equity portfolios: the effects of variance risk, Annals of Finance, 2009, 5, 1, 15

    CrossRef

  62. 62
    Nicole Branger, Holger Kraft, Christoph Meinerding, What is the impact of stock market contagion on an investor’s portfolio choice?, Insurance: Mathematics and Economics, 2009, 45, 1, 94

    CrossRef

  63. 63
    Zongwu Cai, Yongmiao Hong, Nonparametric Econometric Methods, 2009,

    CrossRef

  64. 64
    Shu-Hsien Chen, Ming-Shann Tsai, Fang-Ling Liao, An alternative method for measuring risk compensation of event jumps, Applied Financial Economics Letters, 2008, 4, 5, 355

    CrossRef

  65. 65
    Daniel Hartmann, Bernd Kempa, Christian Pierdzioch, Economic and financial crises and the predictability of U.S. stock returns, Journal of Empirical Finance, 2008, 15, 3, 468

    CrossRef

  66. 66
    Enrico De Giorgi, Evolutionary portfolio selection with liquidity shocks, Journal of Economic Dynamics and Control, 2008, 32, 4, 1088

    CrossRef

  67. 67
    Shu-Hsien Chen, Ming-Shu Hua, Richard Stuetz, Measuring country event risk compensation on BRICs international portfolio management, Applied Economics, 2008, 40, 5, 657

    CrossRef

  68. 68
    Yiming Wang, Hanfei Tong, Modeling and estimating the jump risk of exchange rates: Applications to RMB, Physica A: Statistical Mechanics and its Applications, 2008, 387, 26, 6575

    CrossRef

  69. 69
    Nicole Branger, Beate Breuer, Christian Schlag, Optimal Derivative Strategies with Discrete Rebalancing, The Journal of Derivatives, 2008, 16, 2, 67

    CrossRef

  70. 70
    Nicole Branger, Christian Schlag, Eva Schneider, Optimal portfolios when volatility can jump, Journal of Banking & Finance, 2008, 32, 6, 1087

    CrossRef

  71. 71
    Mark Schroder, Costis Skiadas, OPTIMALITY AND STATE PRICING IN CONSTRAINED FINANCIAL MARKETS WITH RECURSIVE UTILITY UNDER CONTINUOUS AND DISCONTINUOUS INFORMATION, Mathematical Finance, 2008, 18, 2
  72. 72
    D. Easley, M. O'Hara, Ambiguity and Nonparticipation: The Role of Regulation, Review of Financial Studies, 2007, 22, 5, 1817

    CrossRef

  73. 73
    Jialin Yu, Closed-form likelihood approximation and estimation of jump-diffusions with an application to the realignment risk of the Chinese Yuan, Journal of Econometrics, 2007, 141, 2, 1245

    CrossRef

  74. 74
    Francisco J. Gomes, Exploiting short-run predictability, Journal of Banking & Finance, 2007, 31, 5, 1427

    CrossRef

  75. 75
    Morten Mosegaard Christensen, Kasper Larsen, No Arbitrage and the Growth Optimal Portfolio, Stochastic Analysis and Applications, 2007, 25, 1, 255

    CrossRef

  76. 76
    Jakša Cvitanić, Vassilis Polimenis, Fernando Zapatero, Optimal portfolio allocation with higher moments, Annals of Finance, 2007, 4, 1, 1

    CrossRef

  77. 77
    LUCA BENZONI, PIERRE COLLIN-DUFRESNE, ROBERT S. GOLDSTEIN, Portfolio Choice over the Life-Cycle when the Stock and Labor Markets Are Cointegrated, The Journal of Finance, 2007, 62, 5
  78. 78
    Q. Dai, K. J. Singleton, W. Yang, Regime Shifts in a Dynamic Term Structure Model of U.S. Treasury Bond Yields, Review of Financial Studies, 2007, 20, 5, 1669

    CrossRef

  79. 79
    Andrea Consiglio, Flavio Cocco, Stavros A. Zenios, Scenario optimization asset and liability modelling for individual investors, Annals of Operations Research, 2007, 152, 1, 167

    CrossRef

  80. 80
    Bernard Ngwira, Russell Gerrard, Stochastic pension fund control in the presence of Poisson jumps, Insurance: Mathematics and Economics, 2007, 40, 2, 283

    CrossRef

  81. 81
    Abdulnasser Hatemi-J, Eduardo Roca, A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods, Economic Modelling, 2006, 23, 6, 993

    CrossRef

  82. 82
    Shu-Hsien Chen, Ming-Shu Hua, Richard Stuetz, Domestic portfolio choice amid political instability, Applied Financial Economics Letters, 2006, 2, 1, 37

    CrossRef

  83. 83
    Robert Jarrow, Feng Zhao, Downside Loss Aversion and Portfolio Management, Management Science, 2006, 52, 4, 558

    CrossRef

  84. 84
    S. S. Lee, P. A. Mykland, Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics, Review of Financial Studies, 2006, 21, 6, 2535

    CrossRef

  85. 85
    ANDREA BURASCHI, ALEXEI JILTSOV, Model Uncertainty and Option Markets with Heterogeneous Beliefs, The Journal of Finance, 2006, 61, 6
  86. 86
    Erik Kole, Kees Koedijk, Marno Verbeek, Portfolio implications of systemic crises, Journal of Banking & Finance, 2006, 30, 8, 2347

    CrossRef

  87. 87
    Weixing Wu, Yongxiang Wang, Investment with restricted stock and the value of information, Applied Mathematics and Computation, 2005, 163, 2, 811

    CrossRef

  88. 88
    Andrew E. B. Lim, Mean-Variance Hedging When There Are Jumps, SIAM Journal on Control and Optimization, 2005, 44, 5, 1893

    CrossRef

  89. 89
    An-Sing Chen, Mark T. Leung, Modeling time series information into option prices: An empirical evaluation of statistical projection and GARCH option pricing model, Journal of Banking & Finance, 2005, 29, 12, 2947

    CrossRef

  90. 90
    Stephan Dieckmann, Michael Gallmeyer, The equilibrium allocation of diffusive and jump risks with heterogeneous agents, Journal of Economic Dynamics and Control, 2005, 29, 9, 1547

    CrossRef

  91. 91
    Ralf Korn, Holger Kraft, ON THE STABILITY OF CONTINUOUS-TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET, Mathematical Finance, 2004, 14, 3
  92. 92
    SANJIV RANJAN DAS, RAMAN UPPAL, Systemic Risk and International Portfolio Choice, The Journal of Finance, 2004, 59, 6
  93. 93
    Jun Liu, Jun Pan, Dynamic derivative strategies, Journal of Financial Economics, 2003, 69, 3, 401

    CrossRef

  94. 94
    Andrew Lo, Innovation at MIT, Quantitative Finance, 2003, 3, 3, C33

    CrossRef

  95. 95
    Bjørn Eraker, Michael Johannes, Nicholas Polson, The Impact of Jumps in Volatility and Returns, The Journal of Finance, 2003, 58, 3
  96. 96
    Zongwu Cai, Yongmiao Hong, Recent Advances and Trends in Nonparametric Statistics, 2003,

    CrossRef