The DOI matches its Crossref record; 43 of the 43 references it cites were found in a registry or an index.
Systemic Risk and International Portfolio Choice
Abstract
Returns on international equities are characterized by jumps; moreover, these jumps tend to occur at the same time across countries leading to systemic risk. We capture these stylized facts using a multivariate system of jump‐diffusion processes where the arrival of jumps is simultaneous across assets. We then determine an investor's optimal portfolio for this model of returns. Systemic risk has two effects: One, it reduces the gains from diversification and two, it penalizes investors for holding levered positions. We find that the loss resulting from diminished diversification is small, while that from holding very highly levered positions is large.
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Cites
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
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Optimum consumption and portfolio rules in a continuous-time model
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Option pricing when underlying stock returns are discontinuous
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A First Course in Stochastic Processes
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Conditional Skewness in Asset Pricing Tests
Harvey, C. R., & Siddique, A. (2000) · The Journal of Finance · doi:10.1111/0022-1082.00247 · Cited by 2,827
Investor Diversification and International Equity Markets
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Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options
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Is the correlation in international equity returns constant: 1960–1990?
Longin, F. M., & Solnik, B. H. (1995) · Journal of International Money and Finance · doi:10.1016/0261-5606(94)00001-h · Cited by 1,883
SKEWNESS PREFERENCE AND THE VALUATION OF RISK ASSETS*
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Cited by
Threshold bipower variation and the impact of jumps on volatility forecasting
Corsi, F., Pirino, D., & Renò, R. (2010) · Journal of Econometrics · doi:10.1016/j.jeconom.2010.07.008 · Cited by 561
An Equilibrium Model of Rare-Event Premia and Its Implication for Option Smirks
Liu, J., Pan, J., & Wang, T. (2005) · Review of Financial Studies · doi:10.1093/rfs/hhi011 · Cited by 391
Ang, A., Bekaert, G., & Liu, J. (2005) · Journal of Financial Economics · doi:10.1016/j.jfineco.2004.03.009 · Cited by 353
Modeling International Financial Returns with a Multivariate Regime-switching Copula
Chollete, L., Heinen, A., & Valdesogo, A. (2009) · Journal of Financial Econometrics · doi:10.1093/jjfinec/nbp014 · Cited by 292
Wen, X., Wei, Y., & Huang, D. (2012) · Energy Economics · doi:10.1016/j.eneco.2012.06.021 · Cited by 273
Metadata
- Authors
- DAS, S. R., & UPPAL, R.
- Venue
- The Journal of Finance
- Publisher
- Wiley
- Published
- 2004-12
- Volume
- 59
- Issue
- 6
- Pages
- 2809-2834
- ISSN
- 0022-1082 (ISSN-L)
- 1540-6261
- OpenAlex
- W3123627733
- Cited by
- 403
- References
- 43
- FWCI
- 20.90
- Type
- journal article
- Language
- en
- Open access
- closed
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Bibliographic data: Semantic Scholar, OpenAlex, Crossref.
Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
