Ola Mahmoud

University of California, Berkeley

Center for Risk Management Research

Evans Hall

Berkeley, CA 94720

United States

University of Zurich

Schönberggasse 1

Zürich, 8001

Switzerland

  • University of California, Berkeley

  • University of Zurich

SCHOLARLY PAPERS

12

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Scholarly Papers (12)

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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 California, Berkeley
Downloads 975 (21,985)

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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 California, Berkeley
Downloads 405 (70,460)

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3.

Minimizing Shortfall

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 03 Feb 2011 Last Revised: 22 Sep 2016
Lisa R. Goldberg, Michael Y. Hayes and Ola Mahmoud
University of California, Berkeley, MSCI Inc. and University of California, Berkeley
Downloads 229 (131,190)

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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

4.

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 California, Berkeley
Downloads 180 (164,298)

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diversification, risk aversion, convex preferences

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 California, Berkeley
Downloads 165 (177,369)

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

6.

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 California, Berkeley
Downloads 146 (196,462)

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

7.

The Temporal Dimension of Risk

Downloads 146 (196,462)

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 California, Berkeley
Downloads 146 (196,969)

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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 California, Berkeley
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temporal risk, path-dependent risk, drawdown duration, maximum drawdown, serial correlation

8.

Investor Psychology and Sustainable Finance

Number of pages: 52 Posted: 23 Mar 2019
Ola Mahmoud
University of California, Berkeley
Downloads 133 (211,807)

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sustainable finance, investor behavior, heuristics and biases

9.

The Origin of Diversification: An Evolutionary Theory

Number of pages: 34 Posted: 21 Jul 2017
Ola Mahmoud
University of California, Berkeley
Downloads 103 (255,583)

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diversification, naive diversification, evolutionary choice, fitness, natural selection, portfolio choice

10.

The Willingness to Pay for Diversification

Number of pages: 29 Posted: 27 Oct 2018
Ola Mahmoud
University of California, Berkeley
Downloads 51 (378,257)

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

11.

On the Consistency of Choice

Number of pages: 24 Posted: 31 Jan 2017
Ola Mahmoud
University of California, Berkeley
Downloads 40 (420,898)

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

12.

Naive Uncertainty and the Principle of Indifference

Number of pages: 17 Posted: 27 Jan 2019
Ola Mahmoud
University of California, Berkeley
Downloads 3 (616,770)

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naive uncertainty, choice under complete uncertainty, principle of indifference