Thaisiri Watewai

Chulalongkorn University - Department of Banking & Finance

Thailand

SCHOLARLY PAPERS

6

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1,885

SSRN CITATIONS
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Top 47,913

in Total Papers Citations

6

CROSSREF CITATIONS

8

Scholarly Papers (6)

1.
Downloads 872 ( 33,521)
Citation 2

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 869 (33,186)

Abstract:

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

Robust Asset Allocation with Benchmarked Objectives

Mathematical Finance, Vol. 21, Issue 4, pp. 643-679, 2011
Number of pages: 37 Posted: 23 Aug 2011
Andrew Lim, J. George Shanthikumar and Thaisiri Watewai
National University of Singapore (NUS) - Department of Decision Sciences, Purdue University - Krannert School of Management and Chulalongkorn University - Department of Banking & Finance
Downloads 3 (788,461)
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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: 07 Apr 2008
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 578 (58,009)
Citation 9

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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 198 (188,077)
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 144 (246,920)
Citation 4

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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 93 (336,945)
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

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