ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT

Related Items (3)

Systemic Risk and Default Clustering for Large Financial Systems ⋮ Network Effects in Default Clustering for Large Systems ⋮ Default Clustering in Large Pools: Large Deviations

Cites Work

Unnamed Item
Optimum consumption and portfolio rules in a continuous-time model
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?
Pricing credit derivatives under incomplete information: a nonlinear-filtering approach
The market for crash risk
Optimal portfolio choice for unobservable and regime-switching mean returns
Default and information
Asset allocation with contagion and explicit bankruptcy procedures
Portfolio choice with jumps: a closed-form solution
Asset allocation under multivariate regime switching
An overview of credit derivatives
Post-'87 crash fears in the S\&P 500 futures option market
OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
Is Regime Switching in Stock Returns Important in Portfolio Decisions?
CONSTANT PROPORTION PORTFOLIO INSURANCE IN THE PRESENCE OF JUMPS IN ASSET PRICES
Rare Disasters and Asset Markets in the Twentieth Century*
The Role of Portfolio Constraints in the International Propagation of Shocks
On Worst-Case Portfolio Optimization
Credit Risk Modeling
Asset Prices in an Exchange Economy
A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle
The Role of Learning in Dynamic Portfolio Decisions *
A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
CORRELATED DEFAULTS IN INTENSITY‐BASED MODELS
PORTFOLIO OPTIMIZATION WITH JUMPS AND UNOBSERVABLE INTENSITY PROCESS
Bankruptcy, Counterparty Risk, and Contagion*
DEFAULT RISK AND DIVERSIFICATION: THEORY AND EMPIRICAL IMPLICATIONS
CRASH HEDGING STRATEGIES AND WORST-CASE SCENARIO PORTFOLIO OPTIMIZATION

This page was built for publication: ASSET ALLOCATION AND ASSET PRICING IN THE FACE OF SYSTEMIC RISK: A LITERATURE OVERVIEW AND ASSESSMENT