Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets

In this paper, we empirically investigate the consequences of domestic systemic risk for stock market investors. To tackle this issue, we consider two different investment strategies. One strategy is to be “crisis-conscious”, i.e., taking the possibility of systemic events into account, and the othe...

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Bibliographic details
Volume: 34
Main Author: Prokopczuk, Marcel
Format: Journal Article
Language: English
Place of publication: Milan Springer Milan 01.11.2011
Springer
published in: Decisions in economics and finance Vol. 34; no. 2; pp. 141 - 168
Data of publication: 20111100
ISSN: 1593-8883
1129-6569
EISSN: 1129-6569
Discipline: Economics
Social Sciences (General)
Series: Decisions in Economics and Finance
Subjects:
G11
C51
Online Access: Fulltext
Database: RePEc
RePEc IDEAS
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