Systemic Risk and International Portfolio Choice

By Sanjiv Ranjan Das, Raman Uppal. 2004

463 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/b278728a6e25f7bf146b116b4e679e35f95447f4

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Citations in the corpus

International Asset Allocation Under Regime Switching, Skew and Kurtosis Preferences (2005, methodology): “Returns in all but one market (Japan) are strongly non-normal with skews and fat tails as also found by Harvey and Zhou (1993) and Das and Uppal (2004).”
Portfolio Choice in Markets with Contagion (2012, unknown): “…and Pontier (1990), Shirakawa (1990), Han and Rachev (2000), Ortobelli et al. (2003), Kallsen (2000), Carr et al. (2001), Liu et al. (2003), Das and Uppal (2004), Emmer and Klüppelberg (2004), Madan (2004), Cvitanić et al. (2008), Delong and Klüppelberg (2008) and Äıt-Sahalia et al.…”
Portfolio optimization in the presence of dependent financial returns with long memory: A copula based approach. (2013, background): “Furthermore, several authors find evidence of asymmetry in the dependence between stock market returns (Longin and Solnik, 2001; Ang and Bekaert, 2002; Ang and Chen, 2002; Das and Uppal, 2004; Patton, 2004; Hong et al., 2007) and between exchange rate returns (Beine, 2004; Li, 2011).”
Correlation Risk and Optimal Portfolio Choice (2010, methodology): “Since the results on the persistence of the correlation process might be influenced by the two-stage nature of the DCC, we check their robustness by using the rolling windows estimator with correction for serial correlation recommended by De Santis et al. (2003). The results are similar.”
Dependence structure and extreme comovements in international equity and bond markets (2011, unknown): “Maximized Monte Carlo (MMC) tests of Dufour (2006), which are a generalization of classical Monte Carlo (MC) tests of Dwass (1957) and Barnard (1963), are adapted for tests facing these problems.”
Systemic Co-Jumps (2017, unknown): “For example, Longin and Solnik (2001) show that correlations increase after a collective crash in the market, dampening the diversification potential of portfolio managers, and Das and Uppal (2004) introduce a systemic jump component in their model to study its impact on portfolio choice.”
When is a copula constant? A test for changing relationships (2011, background): “Das and Upal (2004) highlight the costs of ignoring regime shifts for asset allocation.”
Optimal portfolio allocation with higher moments (2007, methodology): “Our study follows recent continuous time papers by Liu, Longstaff and Pan (2003) and Das and Uppal (2004).”
A revisit to the dependence structure between the stock and foreign exchange markets: A dependence-switching copula approach (2013, unknown): “Das and Uppal (2004) define systemic risk as the risk from infrequent events that are highly correlated across a large number of assets.”
Emerging Markets Finance (2003, background): “Other empirical studies (for example, Erb et al., 1994; De Santis and Gerard, 1997) find different correlations in up and down markets while Longin and Solnik (2001), Ang and Bekaert (2002) and Das and Uppal (2001) document higher correlations in bear markets.”