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Portfolio selection in the presence of systemic risk
Calibrating the effect of systemic risk
4 other sections not shown
accounts for systemic asset pricing average Bekaert borrowing and shortselling CEQ with respect characteristic function comparative static constraints correlations cost of ignoring covariance Descriptive statistics developed countries discussed in Section Discussion Papers Economic effect of systemic emerging countries emerging economies equity indexes estimated value excess kurtosis expected returns expected utility F(xi Financial horizon ignores systemic risk implying initial wealth intermediate consumption international diversification international equity returns international portfolio investment in risky investor who accounts investor who ignores investor's parameter jump term jump-diffusion processes jumps in returns Kolmogorov backward equation method of moments models returns numbers optimal portfolio weights parameter estimates parameter of relative portfolio choice portfolio diversified portfolio selection presence of systemic process for returns pure-diffusion process random variable regime relative risk aversion riskless asset riskless interest rate risky assets risky-asset portfolio second asset Solnik stochastic systemic jumps Systemic w Diffusion Total in risky total investment volatility weights and CEQ