1. An Asymmetric Capital Asset Pricing Model. (2024). Hatemi-J, Abdulnasser.
   In: Papers.
   RePEc:arx:papers:2404.14137.

   Full description at Econpapers || Download paper

2. A bibliometric review of portfolio diversification literature. (2023). Migliavacca, Milena ; Goodell, John W ; Paltrinieri, Andrea.
   In: International Review of Financial Analysis.
   RePEc:eee:finana:v:90:y:2023:i:c:s1057521923003526.

   Full description at Econpapers || Download paper

3. A Simulation Package in VBA to Support Finance Students for Constructing Optimal Portfolios. (2023). Mustafa, Alan ; Hatemi-J, Abdulnasser.
   In: Papers.
   RePEc:arx:papers:2305.12826.

   Full description at Econpapers || Download paper

4. On a Regime Switching Illiquid High Volatile Prediction Model for Cryptocurrencies. (2022). Hatemi-J, Abdulnasser ; El-Khatib, Youssef.
   In: MPRA Paper.
   RePEc:pra:mprapa:114556.

   Full description at Econpapers || Download paper

5. Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return. (2022). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001690.

   Full description at Econpapers || Download paper

6. Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods. (2021). Hatemi-J, Abdulnasser ; Taha, Viyan.
   In: Economia Internazionale / International Economics.
   RePEc:ris:ecoint:0910.

   Full description at Econpapers || Download paper

7. The Benefits of Diversification between Bitcoin, Bonds, Equities and the US Dollar: A Matter of Portfolio Construction. (2019). Hatemi-J, Abdulnasser ; GUPTA, RANGAN ; Bouri, Elie ; Hajji, Mohamed A.
   In: Working Papers.
   RePEc:pre:wpaper:201959.

   Full description at Econpapers || Download paper

8. Portfolio diversification across cryptocurrencies. (2019). Liu, Weiyi.
   In: Finance Research Letters.
   RePEc:eee:finlet:v:29:y:2019:i:c:p:200-205.

   Full description at Econpapers || Download paper

9. Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return. (2019). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Papers.
   RePEc:arx:papers:1903.01082.

   Full description at Econpapers || Download paper

10. Optimal portfolio selection with maximal risk adjusted return. (2017). Qiu, Zhijian ; Wang, Yue ; Qu, Xiaomei.
    In: Applied Economics Letters.
    RePEc:taf:apeclt:v:24:y:2017:i:14:p:1035-1040.

    Full description at Econpapers || Download paper

1. Aase, K.K. Optimum portfolio diversification in a general continuous-time model. 1984 Stochastic Process. Appl.. 18 81-89

2. Hatemi-J, A. ; Roca, E. A re-examination of international portfolio diversification based on evidence from leveraged bootstrap methods. 2006 Econ. Model.. 23 993-1007

3. Jorion, P. International portfolio diversification with estimation risk. 1985 J. Bus.. 58 259-278

4. Klein, R.W. ; Bawa, V.S. The effect of limited information and estimation risk on optimal portfolio diversification. 1977 J. Financ. Econ.. 5 89-111

5. Lintner, J. The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets. 1965 Rev. Econ. Stat.. 47 13-37
   Paper not yet in RePEc: Add citation now
   

6. Markowitz, H. Portfolio selection. 1952 J. Finance. 7 77-91

7. Markowitz, H. Portfolio Selection. Efficient Diversification of Investments. 1970 Yale University Press:
   Paper not yet in RePEc: Add citation now
   

8. Santis, G. ; Gerard, B. International asset pricing and portfolio diversification with time-varying risk. 1997 J. Finance. 52 1881-1912

9. Sharpe, W. On capital asset prices—Reply. 1965 J. Finance. 20 94-95
   Paper not yet in RePEc: Add citation now
   

1. Exploring Optimisation Strategies Under Jump-Diffusion Dynamics. (2025). Fraccarolo, Nicola ; di Persio, Luca.
   In: Mathematics.
   RePEc:gam:jmathe:v:13:y:2025:i:3:p:535-:d:1584785.

   Full description at Econpapers || Download paper

2. Exact solution for the portfolio diversification problem based on maximizing the risk adjusted return. (2022). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Research in International Business and Finance.
   RePEc:eee:riibaf:v:59:y:2022:i:c:s0275531921001690.

   Full description at Econpapers || Download paper

3. Portfolio Diversification Benefits between Financial Markets of the US and China: Empirical Evidence from two Alternative Methods. (2021). Hatemi-J, Abdulnasser ; Taha, Viyan.
   In: Economia Internazionale / International Economics.
   RePEc:ris:ecoint:0910.

   Full description at Econpapers || Download paper

4. Optimal Risk Sharing in Society. (2021). Aase, Knut.
   In: Discussion Papers.
   RePEc:hhs:nhhfms:2021_010.

   Full description at Econpapers || Download paper

5. Optimal investment, consumption, and life insurance strategies under a mutual-exciting contagious market. (2021). Jin, Zhuo ; Li, Shuanming ; Liu, Guo.
   In: Insurance: Mathematics and Economics.
   RePEc:eee:insuma:v:101:y:2021:i:pb:p:508-524.

   Full description at Econpapers || Download paper

6. Household Lifetime Strategies under a Self-Contagious Market. (2021). Jin, Zhuo ; Li, Shuanming ; Liu, Guo.
   In: European Journal of Operational Research.
   RePEc:eee:ejores:v:288:y:2021:i:3:p:935-952.

   Full description at Econpapers || Download paper

7. Robust consumption and portfolio policies when asset prices can jump. (2019). Ait-Sahalia, Yacine ; Matthys, Felix.
   In: Journal of Economic Theory.
   RePEc:eee:jetheo:v:179:y:2019:i:c:p:1-56.

   Full description at Econpapers || Download paper

8. Exact Solution for the Portfolio Diversification Problem Based on Maximizing the Risk Adjusted Return. (2019). Hatemi-J, Abdulnasser ; El-Khatib, Youssef ; Hajji, Mohamed Ali.
   In: Papers.
   RePEc:arx:papers:1903.01082.

   Full description at Econpapers || Download paper

9. An Equilibrium Capital Asset Pricing Model in Markets with Price Jumps and Price Bubbles. (2018). Jarrow, Robert.
   In: Quarterly Journal of Finance (QJF).
   RePEc:wsi:qjfxxx:v:08:y:2018:i:02:n:s2010139218500052.

   Full description at Econpapers || Download paper

10. Optimal Portfolio in Intraday Electricity Markets Modelled by L\evy-Ornstein-Uhlenbeck Processes. (2018). Vargiolu, Tiziano ; Piccirilli, Marco.
    In: Papers.
    RePEc:arx:papers:1807.01979.

    Full description at Econpapers || Download paper

11. Portfolio selection: An alternative approach. (2015). Hatemi-J, Abdulnasser ; El-Khatib, Youssef.
    In: Economics Letters.
    RePEc:eee:ecolet:v:135:y:2015:i:c:p:141-143.

    Full description at Econpapers || Download paper

12. Portfolio Selection: A Review. (2014). Detemple, Jerome.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:161:y:2014:i:1:d:10.1007_s10957-012-0208-1.

    Full description at Econpapers || Download paper

13. Mean–Variance portfolio selection in presence of infrequently traded stocks. (2014). Cerqueti, Roy ; Castellano, Rosella.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:234:y:2014:i:2:p:442-449.

    Full description at Econpapers || Download paper

14. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2014). Meinerding, Christoph ; Branger, Nicole ; Kraft, Holger.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:39:y:2014:i:c:p:18-36.

    Full description at Econpapers || Download paper

15. Partial information about contagion risk, self-exciting processes and portfolio optimization. (2013). Meinerding, Christoph ; Kraft, Holger ; Branger, Nicole.
    In: SAFE Working Paper Series.
    RePEc:zbw:safewp:28.

    Full description at Econpapers || Download paper

16. Portfolio Choice in Markets with Contagion. (2012). Ait-Sahalia, Yacine ; Hurd, T. R..
    In: Papers.
    RePEc:arx:papers:1210.1598.

    Full description at Econpapers || Download paper

17. Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets. (2011). Prokopczuk, Marcel.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:34:y:2011:i:2:p:141-168.

    Full description at Econpapers || Download paper

18. Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility. (2007). Sennewald, Ken .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:31:y:2007:i:4:p:1106-1131.

    Full description at Econpapers || Download paper

19. Pricing Rare Event Risk in Emerging Markets. (2006). Gallmeyer, Michael ; Dieckmann, Stephan.
    In: 2006 Meeting Papers.
    RePEc:red:sed006:305.

    Full description at Econpapers || Download paper

20. “Itô’s Lemma“ and the Bellman Equation for Poisson Processes: An Applied View. (2006). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_1684.

    Full description at Econpapers || Download paper

21. Itos Lemma and the Bellman equation for Poisson processes: An applied view. (2005). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: W.E.P. - Würzburg Economic Papers.
    RePEc:zbw:wuewep:58.

    Full description at Econpapers || Download paper

22. Itôs Lemma and the Bellman equation: An applied view. (2005). Wälde, Klaus ; Walde, Klaus ; Sennewald, Ken .
    In: Dresden Discussion Paper Series in Economics.
    RePEc:zbw:tuddps:0405.

    Full description at Econpapers || Download paper

23. Controlled Stochastic Differential Equations under Poisson Uncertainty and with Unbounded Utility. (2005). Sennewald, Ken .
    In: Dresden Discussion Paper Series in Economics.
    RePEc:zbw:tuddps:0305.

    Full description at Econpapers || Download paper

24. The equilibrium allocation of diffusive and jump risks with heterogeneous agents. (2005). Gallmeyer, Michael ; Dieckmann, Stephan.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:29:y:2005:i:9:p:1547-1576.

    Full description at Econpapers || Download paper

25. A General Benchmark Model for Stochastic Jump Sizes. (2004). Platen, Eckhard ; Christensen, Morten.
    In: Research Paper Series.
    RePEc:uts:rpaper:139.

    Full description at Econpapers || Download paper

26. Optimal Portfolio and Consumption in a Switching Diffusion Market. (2004). Cajueiro, Daniel ; Yoneyama, Takashi.
    In: Brazilian Review of Econometrics.
    RePEc:sbe:breart:v:24:y:2004:i:2:a:2711.

    Full description at Econpapers || Download paper

27. Systemic Risk and International Portfolio Choice. (2002). Uppal, Raman ; Das, Sanjiv.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:3305.

    Full description at Econpapers || Download paper

28. Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs. (2001). Framstad, Nils ; Framstad, Nils Chr., ; Oksendal, Bernt ; Sulem, Agnes.
    In: Journal of Mathematical Economics.
    RePEc:eee:mateco:v:35:y:2001:i:2:p:233-257.

    Full description at Econpapers || Download paper

29. Dynamic Asset Allocation with Event Risk. (2001). pan, jun ; LIU, JUN ; Longstaff, Francis.
    In: University of California at Los Angeles, Anderson Graduate School of Management.
    RePEc:cdl:anderf:qt9fm6t5nb.

    Full description at Econpapers || Download paper

30. Utility Maximization and Duality. (2000). Leitner, Johannes.
    In: CoFE Discussion Papers.
    RePEc:zbw:cofedp:0034.

    Full description at Econpapers || Download paper

31. Optimal portfolios for logarithmic utility. (2000). Goll, Thomas ; Kallsen, Jan.
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:89:y:2000:i:1:p:31-48.

    Full description at Econpapers || Download paper

32. Stability for multidimensional jump-diffusion processes. (1999). Wee, In-Suk .
    In: Stochastic Processes and their Applications.
    RePEc:eee:spapps:v:80:y:1999:i:2:p:193-209.

    Full description at Econpapers || Download paper

33. COMPOUND DISTRIBUTION MODELS OF STOCK RETURNS: AN EMPIRICAL COMPARISON. (1987). Akgiray, Vedat ; Booth, Geoffrey G..
    In: Journal of Financial Research.
    RePEc:bla:jfnres:v:10:y:1987:i:3:p:269-280.

    Full description at Econpapers || Download paper

Report date: 2025-09-14 04:18:40 || Missing content? Let us know