Ola Mahmoud

University of St. Gallen

Institute of Economics

Varnb├╝elstrasse 19

St Gallen, St. Gallen 9000

Switzerland

University of California at Berkeley

Consortium for Data Analytics in Risk

Evans Hall

Berkeley, CA 8032

United States

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

12

DOWNLOADS

3,631

SSRN CITATIONS

6

CROSSREF CITATIONS

6

Scholarly Papers (12)

1.

Drawdown: From Practice to Theory and Back Again

Mathematics and Financial Economics, Forthcoming
Number of pages: 28 Posted: 30 Apr 2014 Last Revised: 22 Sep 2016
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of St. Gallen
Downloads 1,329 (23,456)
Citation 8

Abstract:

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drawdown; Conditional Expected Drawdown; deviation measure; risk attribution; convex optimization; serial correlation

2.

Risk Without Return

Journal of Investment Strategies, Volume 2, No. 2, Spring 2013
Number of pages: 9 Posted: 24 Aug 2013 Last Revised: 03 Sep 2013
Lisa R. Goldberg and Ola Mahmoud
University of California, Berkeley and University of St. Gallen
Downloads 447 (100,733)

Abstract:

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3.

More Than Chatter: An Index of Sustainability Sentiment

Number of pages: 79 Posted: 18 Nov 2021 Last Revised: 23 May 2022
Daniele Ballinari and Ola Mahmoud
University of Basel and University of St. Gallen
Downloads 351 (132,902)

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sustainable finance, investor sentiment, ESG, asset pricing

4.

Minimizing Shortfall

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 03 Feb 2011 Last Revised: 22 Sep 2016
University of California, Berkeley, MSCI Inc. and University of St. Gallen
Downloads 267 (176,996)
Citation 1

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empirical study, shortfall, optimization, Barra, Extreme Risk minimum, shortfall minimum, variance portfolios, US, UK, Japanese equity markets, Barra, Style Factors, Value Growth Momentum measures overall asymmetry

5.

How Elementary is Diversification? A Study of Children's Portfolio Choice

Number of pages: 36 Posted: 15 Aug 2017 Last Revised: 11 Dec 2017
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 254 (185,973)
Citation 3

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diversification, portfolio choice, risk aversion, children's decision making

6.

Diversification Preferences in the Theory of Choice

Decisions in Economics and Finance, Forthcoming
Number of pages: 35 Posted: 08 Jul 2015 Last Revised: 05 Nov 2016
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 233 (202,269)

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diversification, risk aversion, convex preferences

7.

Naive Diversification Preferences and Their Representation

Number of pages: 30 Posted: 04 Nov 2016 Last Revised: 18 Mar 2018
Enrico G. De Giorgi and Ola Mahmoud
University of St. Gallen - SEPS: Economics and Political Sciences and University of St. Gallen
Downloads 208 (225,270)
Citation 4

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naive diversification, convex preferences, permutation invariant preferences, Schur-concave utility, inequality aversion, majorization, Dalton transfer, Lorenz order

8.
Downloads 171 (267,671)

The Temporal Dimension of Risk

Journal of Risk, Forthcoming
Number of pages: 23 Posted: 09 Jan 2015 Last Revised: 23 Jun 2016
Ola Mahmoud
University of St. Gallen
Downloads 171 (267,848)

Abstract:

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temporal risk measure, path-dependent risk measure, drawdown, duration, liquidation stopping time, serial correlation

The Temporal Dimension of Risk

Journal of Risk, Forthcoming
Number of pages: 27 Posted: 13 Dec 2016
Ola Mahmoud
University of St. Gallen
Downloads 0
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temporal risk, path-dependent risk, drawdown duration, maximum drawdown, serial correlation

9.

On the Consistency of Choice

Number of pages: 24 Posted: 31 Jan 2017
Ola Mahmoud
University of St. Gallen
Downloads 165 (275,994)

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consistent choice, internal consistency, semantic consistency, context-dependent preferences

10.

The Willingness to Pay for Diversification

Number of pages: 29 Posted: 27 Oct 2018
Ola Mahmoud
University of St. Gallen
Downloads 156 (289,146)

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Diversification, Portfolio Choice, Diversification Cost, Irrational Diversification, Diversification Bias, Risk Aversion, Loss Aversion

11.

Naive Uncertainty and the Principle of Indifference

Number of pages: 17 Posted: 27 Jan 2019
Ola Mahmoud
University of St. Gallen
Downloads 50 (585,385)

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naive uncertainty, choice under complete uncertainty, principle of indifference

12.

Green Finance and Inequality

Posted: 24 Mar 2023
Ola Mahmoud and Lea Tschan
University of St. Gallen and Independent

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green finance, inequality, innovation