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Zakamulin, Valeriy's
Scholarly Papers
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Aggregate Statistics |
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Total
Downloads
8,473 |
Total
Citations
39 |
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1.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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1,291
(6,058)
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option hedging, transaction costs, simulations
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2.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics Koekebakker, Steen
Agder University College
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13 Feb 08
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Last Revised:
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26 Aug 08
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1,049
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10
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Sharpe ratio, skewness, kurtosis, portfolio performance evaluation
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3.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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03 Apr 13
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Last Revised:
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01 May 13
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805
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technical analysis, tactical asset allocation, market timing, simple moving average, time-series momentum, out-of-sample testing, bootstrap simulation
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4.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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760
(14,177)
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commodity contracts, futures contract, forward contract, option pricing and hedging
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5.
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The Best Hedging Strategy in the Presence of Transaction Costs
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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Posted:
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02 Dec 05
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Last Revised:
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01 Dec 09
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677
(16,776)
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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0
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Option hedging, transaction costs, simulations, risk-return tradeoff, optimization
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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02 Dec 05
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Last Revised:
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10 May 08
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677
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option hedging, transaction costs, simulations, risk-return tradeoff, optimization
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6.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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442
(29,908)
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1
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option hedging, transaction costs, nonlinear Black-Scholes PDE, finite-difference method
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7.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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384
(35,746)
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option pricing, binomial model
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8.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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22 May 09
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Last Revised:
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05 Jan 10
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335
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4
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hedge funds, performance measures, portfolio performance evaluation, Sharpe ratio, rank correlation, non-normality, skewness, kurtosis
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9.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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23 Apr 09
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Last Revised:
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05 Jan 10
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323
(44,096)
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performance measure, portfolio performance evaluation, risk measure, deviation measure, value-at-risk, conditional value-at-risk, expected shortfall, expected tail loss
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10.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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01 Nov 11
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Last Revised:
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06 Nov 12
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297
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1
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size effect, size premium, stock return predictability, active alpha
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11.
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Andresen, Arne
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology Benth, Fred Espen
University of Oslo Koekebakker, Steen
Agder University College Zakamulin, Valeriy
University of Agder - Faculty of Economics
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30 May 08
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Last Revised:
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01 Feb 13
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291
(49,817)
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2
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interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration
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12.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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05 Jan 10
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Last Revised:
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06 Sep 11
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290
(50,008)
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1
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utility theory, behavioral finance, portfolio performance evaluation, performance measure, reward-to-risk ratio, loss aversion
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13.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics Koekebakker, Steen
Agder University College
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02 Apr 08
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Last Revised:
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06 Nov 08
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277
(52,751)
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1
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risk aversion, loss aversion, risk measure, partial moments of distribution, mean-variance utility, quadratic utility, certainty equivalent, risk premium, optimal capital allocation, portfolio performance evaluation
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14.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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28 Sep 09
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Last Revised:
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06 Sep 11
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189
(78,882)
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investment analysis, optimal allocation, portfolio theory, investment opportunity set, CAPM, comparative static analysis, Sharpe ratio, Jensen's alpha
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15.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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04 Feb 10
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Last Revised:
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09 Feb 10
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187
(79,735)
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5
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option hedging, transaction costs, approximation methods, simulations
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16.
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Cogneau, Philippe
University of Liege Zakamulin, Valeriy
University of Agder - Faculty of Economics
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11 Apr 11
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Last Revised:
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18 Nov 12
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159
(92,731)
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long-run, time-series data, serial dependence, parameter estimation, bootstrap, block bootstrap
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17.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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158
(93,284)
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1
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option pricing, transaction costs, stochastic control, optimal stopping, Markov chain approximation
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18.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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04 Feb 10
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Last Revised:
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08 Feb 10
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153
(96,040)
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2
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portfolio choice, transaction costs, stochastic singular control, stochastic impulse control, computational methods
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19.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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31 Jan 13
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Last Revised:
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10 Apr 13
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151
(97,184)
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predictability, stock returns, long-run, random walk, mean reversion, bootstrap simulation
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20.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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139
(104,381)
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10
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Option pricing, option hedging, transaction costs, stochastic impulse control, Markov chain approximation
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21.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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| Posted: |
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10 Jun 12
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Last Revised:
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01 Feb 13
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113
(123,522)
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size effect, size premium, January effect, stock return predictability
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22.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics Koekebakker, Steen
Agder University College
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3
(330,630)
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1
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23.
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Zakamulin, Valeriy
University of Agder - Faculty of Economics
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American options, American option pricing, option pricing, reservation option prices, utility-based approach, numerical algorithm, optimal transaction policy
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