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JEL Code: G11
2,617,432 Total downloads
Showing Papers 3,201 - 3,250 of 7,296
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Pound Wise and Penny Foolish? OTC Stock Investor Behavior
Abhishek Varma
and
John R. Nofsinger
Date Posted: January 15, 2010Last Revised: February 09, 2013177 downloads
The Risk of Beta – Investor Learning and Prospect Theory Finance and Corporate Governance Conference 2010 Paper
Dirk G. Baur
and
Niels Schulze
Date Posted: January 15, 2010Last Revised: March 14, 2010353 downloads
A Note on the Use of the Modified Value-at-Risk Journal of Alternative Investments, Forthcoming
Laurent Cavenaile
and
Thomas Lejeune
Date Posted: January 14, 2010Last Revised: April 23, 2011
Concentration Risk and Basel Pillar ll: Add-Or or Portfolio Model? Some Proposals Bancaria No. 11-2009
Michele Bonollo
,
Paola Mosconi
and
Marta Pegorin
affiliation not provided to SSRN
,
San Paolo IMI - Banca IMI
and
affiliation not provided to SSRN
Date Posted: January 14, 2010
Dependence of Left-Skewed Payoff Distributions on Risky-Asset Price Uncertainty 2005 Quantitative Methods in Finance Conference, Sydney
Jacek B. Krawczyk
Date Posted: January 13, 20109 downloads
Numerical Solutions to Lump-Sum Pension Fund Problems that Can Yield Left-Skewed Fund Return Distributions OPTIMAL CONTROL AND DYNAMIC GAMES, C. Deissenberg, R.F. Hart, eds., pp. 155-176, 2005
Jacek B. Krawczyk
Date Posted: January 13, 2010
Size and Liquidity Effects in Japanese Regional Stock Markets Journal of Japanese and International Economies, Vol. 25, No. 2, 2011
Bruce Allen Hearn
Date Posted: January 12, 2010Last Revised: November 19, 201262 downloads
Costs of Equity in North Africa’s Equity Markets: An Industrial Sector Study Emerging Markets Review, Forthcoming
Bruce Allen Hearn
Date Posted: January 12, 2010Last Revised: January 12, 201189 downloads
Estimating the Market Risk Premium Using Historical Data from Multiple Markets
Martin Lally
Date Posted: January 12, 2010113 downloads
General Equilibrium Pricing of Currency and Currency Options with Variable Disasters and Recursive Utility
Du Du
Date Posted: January 12, 201044 downloads
Housing and its Role in the Household Portfolio in Colombia Swiss Finance Institute Research Paper No. 10-01
Camilo Serrano
and
Martin Hoesli
Date Posted: January 12, 201080 downloads
It Pays to Violate: How Effective are the Basel Accord Penalties in Encouraging Risk Management? Finance and Corporate Governance Conference 2010 Paper
Michael McAleer
Date Posted: January 12, 2010Last Revised: September 14, 2010713 downloads
Size and Liquidity Effects in Asia-Pacific Equity Markets
Bruce Allen Hearn
Date Posted: January 12, 2010Last Revised: November 29, 2010156 downloads
Size, Liquidity and Value Effects in African Frontier Equity Markets Applied Financial Economics, 2011
Bruce Allen Hearn
Date Posted: January 12, 2010Last Revised: June 04, 2011115 downloads
The Contrasting Role of Liquidity, Investor Protection and Corporate Block-Shareholders in Asset Pricing
Bruce Allen Hearn ,
Kate Phylaktis and
Jenifer Piesse
Date Posted: January 12, 2010Last Revised: December 15, 201065 downloads
The Efficiency of the Buy-Write Strategy: Evidence from Australia
Tafadzwa Mugwagwa
,
Vikash Ramiah
and
Tony Naughton
Date Posted: January 12, 2010Last Revised: August 29, 2012
Optimal Consumption and Investment Policies with Bankruptcy Modelled by a Diffusion with Delayed Reflection
Suresh Sethi
and
Michael I. Taksar
Date Posted: January 11, 2010Last Revised: January 14, 201026 downloads
The New Trust But Verify Investment and Wealth Management, Forthcoming
Ron Surz
Date Posted: January 11, 201089 downloads
Informed Momentum Trading versus Uninformed 'Naive' Investors Strategies
Anurag Narayan Banerjee
and
Chi-Hsiou Daniel Hung
Date Posted: January 10, 2010Last Revised: April 22, 2011115 downloads
1/N and Long Run Optimal Portfolios: Results for Mixed Asset Menus Federal Reserve Bank of St, Louis, Working Paper No. 2010-003A
Carolina Fugazza
,
Massimo Guidolin and
Giovanna Nicodano
affiliation not provided to SSRN
,
Bocconi University - Department of Finance
and
University of Turin - Department of Economics and Financial Sciences G. Prato
Date Posted: January 09, 2010Last Revised: August 08, 2011255 downloads
Can VAR Models Capture Regime Shifts in Asset Returns? A Long-Horizon Strategic Asset Allocation Perspective Federal Reserve Bank of St. Louis Working Paper No. 2010-002B
Massimo Guidolin and
Stuart Hyde
Date Posted: January 09, 2010Last Revised: September 01, 2010196 downloads
Has Hedge Fund Alpha Disappeared?
Manuel Ammann ,
Otto R. Huber
and
Markus M. Schmid
Date Posted: January 08, 2010Last Revised: May 29, 2013210 downloads
A Comparison of Quantitative and Qualitative Hedge Funds
Ludwig B. Chincarini
Date Posted: January 08, 2010Last Revised: March 01, 20101742 downloads
The Joint Cross Section of Stocks and Options AFA 2011 Denver Meetings Paper, Fordham University Schools of Business Research Paper No. 2010-003
Andrew Ang ,
Turan G. Bali and
Nusret Cakici
Date Posted: January 08, 2010Last Revised: February 27, 20121069 downloads
An Optimal Hedge Ratio Discussion - One Size Does Not Fit All
C. Shane Schurter
Date Posted: January 07, 2010Last Revised: February 09, 2010136 downloads
Crowded Trades: A Bayesian Remedy for Factor-Based Quants
Wing Cheung and
Mayank Mishra
affiliation not provided to SSRN
and
Nomura Holdings, Inc. (NHI) - Nomura International PLC
Date Posted: January 07, 2010Last Revised: April 25, 2012429 downloads
From Factor Ranking to the ABL Framework
Wing Cheung
affiliation not provided to SSRN
Date Posted: January 07, 2010Last Revised: April 25, 2012313 downloads
Introduction to Asset Pricing and Portfolio Performance: Models, Strategy, and Performance Metrics ASSET PRICING AND PORTFOLIO PERFORMANCE: MODELS, STRATEGY, AND PERFORMANCE METRICS, London, UK: Risk Books, 1999
Robert A. Korajczyk
Date Posted: January 07, 2010206 downloads
Participation Constraints in the Stock Market: Evidence from Unexpected Inheritance Due to Sudden Death
Steffen Andersen and
Kasper Meisner Nielsen
Date Posted: January 07, 2010Last Revised: March 07, 2011122 downloads
Lies of Capital Lines Fusion Asset Management Working Paper No. FAM-01-10
Kirill Ilinski
and
Alexis Pokrovski
affiliation not provided to SSRN
Date Posted: January 06, 2010Last Revised: January 17, 201064 downloads
Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH
Roengchai Tansuchat
,
Chia-Lin Chang
and
Michael McAleer
Date Posted: January 05, 2010716 downloads
Portfolio Performance Evaluation with Loss Aversion Quantitative Finance, Forthcoming
Valeriy Zakamulin
Date Posted: January 05, 2010Last Revised: September 06, 2011291 downloads
Analysis of Stock Screening Principles in Islamic Mutual Funds Industry True Banking Magazine, April 2010
Salman Ahmed Shaikh and
Szabist Karachi
affiliation not provided to SSRN
Date Posted: January 04, 2010Last Revised: November 17, 2010393 downloads
Approximating Optimal Trading Strategies Under Parameter Uncertainty: A Monte Carlo Approach
Thomas Johnson
Date Posted: January 04, 2010368 downloads
A Security Price Volatile Trading Conditioning Model
Leilei Shi
,
Yiwen Wang
,
Ding Chen
,
Liyan Han
,
Yan Piao
and
Chengling Gou
Date Posted: January 03, 2010Last Revised: February 19, 2010131 downloads
Can Autoregressive Betas Account for the Statistical Properties of Stock Returns?
Nikolaos Kourogenis and
Nikitas Pittis
Date Posted: January 01, 2010Last Revised: March 18, 201065 downloads
It’s All in the Timing: Simple Active Portfolio Strategies that Outperform Naive Diversification
Chris Kirby and
Barbara Ostdiek
Date Posted: January 01, 2010Last Revised: May 13, 2010621 downloads
Optimal Dynamic Hedging of Equity Options: Residual-Risks, Transaction-Costs, & Conditioning
Andrea Petrelli ,
Ram Balachandran
,
Olivia Siu
,
Rupak Chatterjee
,
Zhang Jun
and
Vivek Kapoor
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
,
affiliation not provided to SSRN
and
affiliation not provided to SSRN
Date Posted: January 01, 2010Last Revised: April 13, 2010601 downloads
Economic and Statistical Properties of Implementable Trading Strategies
Andrew Christie
Date Posted: December 31, 2009Last Revised: February 01, 2010229 downloads
Emerging Market Local Currency Bond Market, Too Risky to Invest?
Uğur N. Küçük
Date Posted: December 31, 2009Last Revised: September 05, 2010
Asset Choice and Time Diversification Benefits Journal of Business and Economics Research, Vol. 3, No. 6, pp. 23-34, 2005
Megan Y. Sun and
Amit K. Sinha
affiliation not provided to SSRN
and
Bradley University
Date Posted: December 30, 200961 downloads
Theories on Hedging with Futures Cuadernos de Economía, Vol. 28, No. 50, 2009,
Vicent Aragó
Date Posted: December 30, 2009142 downloads
Unwrapping Fund Expenses: What are You Paying For?
Brian Jacobsen
Date Posted: December 30, 200979 downloads
Measuring of Second-Order Stochastic Dominance Portfolio Efficiency Kybernetika, Vol. 46, No. 3, pp. 488–500, 2010,
Milos Kopa
Date Posted: December 29, 2009Last Revised: April 29, 201151 downloads
Stock Market Returns and Annuitization
Alessandro Previtero
Date Posted: December 29, 2009
Transform Analysis for Pricing American Options Under Low-Dimensional Stochastic Volatility Models
Natalia Beliaeva
and
Sanjay K. Nawalkha
Date Posted: December 28, 2009125 downloads
The Global Rise of the Value-Weighted Portfolio Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Utpal Bhattacharya and
Neal Galpin
Date Posted: December 27, 2009137 downloads
The Value and Price of Active Management
Brian Jacobsen
Date Posted: December 27, 2009198 downloads
Forecasting with Distributional Scaling
Brian Jacobsen
Date Posted: December 26, 200939 downloads
Reconciling Returns-Based and Holdings-Based Analyses
Brian Jacobsen
Date Posted: December 26, 2009198 downloads
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