Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets

DOI10.1007/S10203-011-0111-5MaRDI QIDQ651334zbMATH OpenOpenAlexFDO

Authors Marcel Prokopczuk

Publication date 13 December 2011

Published in Decisions in Economics and Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s10203-011-0111-5

zbMATH Keywords

systemic riskoptimal portfolio choice

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

Recommendations

• Systemic risk-driven portfolio selection
• What is the impact of stock market contagion on an investor's portfolio choice?
• Dynamic portfolio choice with heterogeneous beliefs
• Portfolio optimization when expected stock returns are determined by exposure to risk
• Optimal portfolio allocation with higher moments

Cites work

• scientific article; zbMATH DE number 1200330 (Why is no real title available?)
• scientific article; zbMATH DE number 1869272 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• An Intertemporal Capital Asset Pricing Model
• Optimum consumption and portfolio rules in a continuous-time model
• Optimum portfolio diversification in a general continuous-time model
• Option pricing when underlying stock returns are discontinuous
• Portfolio choice with jumps: a closed-form solution

Cited in

(4)

• Asset allocation and asset pricing in the face of systemic risk: a literature overview and assessment
• Systemic risk-driven portfolio selection
• COHERENT PORTFOLIO SEPARATION — INHERENT SYSTEMIC RISK?
• What is the impact of stock market contagion on an investor's portfolio choice?

This page was built for publication: Optimal portfolio choice in the presence of domestic systemic risk: Empirical evidence from stock markets

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q651334)