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

DOI10.1007/S10203-011-0111-5zbMATH Open1228.91062OpenAlexW2053089775MaRDI QIDQ651334FDOQ651334

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

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zbMATH Keywords

systemic riskoptimal portfolio choice

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Optimum consumption and portfolio rules in a continuous-time model
• An Intertemporal Capital Asset Pricing Model
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• Option pricing when underlying stock returns are discontinuous
• Portfolio choice with jumps: a closed-form solution
• Title not available (Why is that?)
• Optimum portfolio diversification in a general continuous-time model

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?

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