Limited downside risk in portfolio selection among U.S. and pacific basin equities

International Economic Journal

Volumn 15, Issue 4, 2001, Pages 1-39

  Jansen, Dennis W ^a,b  

^a TEXAS A AND M UNIVERSITY   (United States)

^b PERC   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

EID: 85015456608     PISSN: 10168737     EISSN: 1743517X     Source Type: Journal    
DOI: 10.1080/10168730100000049     Document Type: Article

References (25)

1. Arzac, Enrique R., 1977. Portfolio Choice and Equilibrium in Capital Markets with Safety-First Investors Journal of Financial Economics. Journal of Financial Economics, 4: 277–288.
2. Bernstein, Peter. 1992. Capital Ideas, New York: Free Press.
3. Statistics, Theory and Methods, 25-4, 711-20.
4. Erasmus University, August 1999.
5. Probability Estimation, “ manuscript, Tinbergen Institute, December 1997.
6. Dekkers, Arnold L.M., Einmahl, J. H. J., and Laurens de, Hann. 1833-1855. A Moment Estimator for the Index of an Extreme Value Distribution. The Annals of Statistics 1989.
7. Goldie, Charles M., 1987. Slow Variatin with Remainder: Theory and Applications. Quarterly Journal of Mathematics, 38: 45–71.
8. de Hann, Laurens. 1990. Fighting the Arch-Enemy with Mathematics. Statistica Neerlandica, 38: 45–68.
9. Goldie, Dennis W., Jansen, Kees Koedijk, and Casper G., de Vries. 1994. “ Safety First Portfolio Selection, Extreme Value Theory and Long Run Asset Risks ”. In Proceedings from a Conference on Extreme Value Theory and Applications, Edited by: In, Galombos. 471–487. Kluwar Press.
10. Hall, Peter. 1990. Using the Bootstrap to Estimate Mean Squared Error and Select Smoothing Parameter in Nonparametric Problems. Journal of Multivariate Analysis,: 177–203.
11. Hill, Bruce M., 1975. A Simple General Approach to Inference About the Tail of a Distribution. The Annuals of Statistics,: 1163–1173.
12. Jansen, Dennis, and Casper G., de Vries. 1991. On the Frquencey of Large Stock Returns: Putting Booms and Busts into Perspective. The Review of Economics and Statistics,: 18–24.
13. Jansen, Kees, Koedijk, G., and de Vries, Caper G., 2000. Portfolio Selection With Limited Downside Risk. Journal of Empirical Finance,: 247–270.
14. Koedijk, Kees G., Schafgans, M. M. A., and de Vries, Casper G., 1990. The Tail Index of Exchange Rate Returns. Journal of International Economics,: 93–108.
15. Leadbetter, M. R., Georg, Lindgren, and Holger, Rootzen. 1983. Extremes and Related Properties of Random Sequences and Processes, Berlin: Springer-Verlag.
16. Levy, H., and M., Sarnat. 1972. Safety First--An Expected Utility Principle. Journal of Financial and Quantitative Analysis,: 1829–1834.
17. Longin, Fracncois. 1996. The Asymptotic Distribution of Extreme Stock Market Returns. Journal of Business,: 383–408.
18. Loretan, Mico, and P. C. B., Phillips. 1994. Testing the Convariance Stationarity of Heavy-Tailed Time Series. An Overview of the Theory With Applications to Several Financial Datasets. Journal of Empirical Finance, 1: 211–248.
19. Markowitz, H. M., 1959. Portfolio Selection, New York: Wiley.
20. Mason, David M., 1982. Laws of Large Numbers for Sums of Extreme Value. Annals Of Probability,: 754–764.
21. Mood, T. A., Graybill, A. M., and Boes, D.C., 1974. Introduction to the Theory of Statistics, New York: McGraw Hill.
22. Pangan, A. R., and Schwert, G. W., 1990. Journal of Econometrics,: 267–290.
23. Reiss, R.-D., and M., Thomas. 1997. Satistical Analysis of Extreme Values, Basel Switzerland: Birkhauser.
24. Roy, A. D., 1952. Safety First and the Holding of Assets. Econometrica,: 431–449.
25. Siegal, J., 1998. Stocks for the Long Run, New York: Mcgraw Hill.