Thaisiri Watewai

Chulalongkorn University - Department of Banking & Finance

Thailand

  • Chulalongkorn University - Department of Banking & Finance

SCHOLARLY PAPERS

6

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Top 43,924

in Total Papers Downloads

2,196

SSRN CITATIONS

10

CROSSREF CITATIONS

6

Scholarly Papers (6)

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1.

Robust Asset Allocation with Benchmarked Objectives

Number of pages: 45 Posted: 22 Sep 2006 Last Revised: 24 Sep 2009
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 916 (50,307)

Abstract:

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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models.

2.

Robust Multi-Product Pricing

Number of pages: 45 Posted: 24 Dec 2007 Last Revised: 27 Jun 2023
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 700 (72,119)
Citation 9

Abstract:

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multi-product pricing, dynamic pricing, revenue management, model ambiguity, model uncertainty, multiple levels of model uncertainty, relative entropy, revenue sharing, risk-sensitive control, robust control, intensity control, decentralization

3.

Does Extreme Correlation Matter in Global Equity Asset Allocation?

Number of pages: 25 Posted: 27 Feb 2018
Bruno Solnik and Thaisiri Watewai
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Chulalongkorn University - Department of Banking & Finance
Downloads 258 (227,670)
Citation 3

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Extreme correlation, correlation break, global equity asset allocation, financial crises, regime switching

4.

International Correlation Asymmetries: Frequent-But-Small and Infrequent-But-Large Equity Returns

Review of Asset Pricing Studies, December 2016
Number of pages: 64 Posted: 23 Nov 2014 Last Revised: 10 Mar 2017
Bruno Solnik and Thaisiri Watewai
Hong Kong University of Science & Technology (HKUST) - Department of Finance and Chulalongkorn University - Department of Banking & Finance
Downloads 197 (294,010)
Citation 4

Abstract:

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Regime switching, systemic risk, correlation breakdown, exceedance correlation, asset allocation, international equity markets

5.

Technical Appendix: Robust Asset Allocation with Benchmarked Objectives

Number of pages: 4 Posted: 30 Sep 2009
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, University of California, Berkeley and Chulalongkorn University - Department of Banking & Finance
Downloads 125 (429,921)
Citation 2

Abstract:

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ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models

6.

Optimal Investment and Consumption When Regime Transitions Cause Price Shocks

Insurance: Mathematics and Economics, Vol. 51, No. 3, November 2012
Posted: 07 Nov 2016
Andrew Lim and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences and Chulalongkorn University - Department of Banking & Finance

Abstract:

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Event Risk, Regime Switching, Defaultable Bonds, Jump Processes, Optimal Investment and Consumption, Stochastic Control