David N. Nawrocki

Villanova University - Department of Finance

Prof.

800 Lancaster Avenue

Villanova, PA 19085-1678

United States

SCHOLARLY PAPERS

18

DOWNLOADS

501

SSRN CITATIONS

0

CROSSREF CITATIONS

8

Scholarly Papers (18)

1.

Deriving Nonlinear Correlation Coefficients from Partial Moments

Number of pages: 25 Posted: 19 Sep 2012 Last Revised: 03 Aug 2017
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 183 (176,481)
Citation 4

Abstract:

Loading...

Partial Moments, Nonlinear Correlation, Nonlinear Regression, Pearson

2.

Causation

Number of pages: 36 Posted: 04 Jun 2013 Last Revised: 11 Nov 2019
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 104 (275,906)

Abstract:

Loading...

Causality, Granger causality, convergent cross mapping, nonlinear, normalization, conditional probability

3.

Cumulative Distribution Functions and UPM/LPM Analysis

Number of pages: 46 Posted: 19 Sep 2012 Last Revised: 16 Mar 2018
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 97 (289,081)
Citation 3

Abstract:

Loading...

Partial moments, CDF, PDF, Normal Distribution, Continuous Variable Estimates

4.

Embracing the Cognitive Dissonance Between Expected Utility Theory and Prospect Theory

Number of pages: 40 Posted: 14 Jan 2012 Last Revised: 11 Mar 2016
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 38 (461,106)

Abstract:

Loading...

Expected Utility, Allais, Prospect Theory, Loss-aversion, Risk Seeking

5.

f(Newton)

Number of pages: 12 Posted: 08 Dec 2012 Last Revised: 16 Jul 2017
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 22 (544,048)

Abstract:

Loading...

Lebesgue, partial moments, continuous distribution,asymptotic

6.

The Markets Hypothesis

Number of pages: 26 Posted: 18 Feb 2010 Last Revised: 24 Jan 2018
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 22 (544,048)

Abstract:

Loading...

EMH, AMH

7.

The Equity Premium Puzzle: Defining a Robust Risk Aversion Coefficient

Number of pages: 17 Posted: 24 Sep 2011 Last Revised: 01 Mar 2018
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 20 (556,428)
Citation 1

Abstract:

Loading...

Allais Paradox, Ellsberg Paradox, Loss Aversion, Ambiguity Aversion, Utility

8.

Puzzles and Paradoxes: The Consistent Role of Ambiguity Aversion

Number of pages: 17 Posted: 14 Jan 2012 Last Revised: 16 Jan 2018
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance
Downloads 15 (588,054)

Abstract:

Loading...

Ambiguity Aversion, St. Petersburg Paradox, Ellsberg Paradox, Allais Paradox, Equity Premium Puzzle, Lotteries, Insurance

9.

LPM Density Functions for the Computation of the SD Efficient Set

Journal of Mathematical Finance, 6, 105-126
Posted: 11 Mar 2016 Last Revised: 27 Nov 2016
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

Stochastic Dominance Algorithm, Lower Partial Moments, Expected Utility Theory, Prospect Theory, Upper Partial Moments

10.

Behavioral Finance in Financial Market Theory, Utility Theory, Portfolio Theory and the Necessary Statistics: A Review

Journal of Experimental and Behavioral Finance, March 2014
Posted: 10 Mar 2016
David N. Nawrocki and Fred Viole
Villanova University - Department of Finance and OVVO Financial Systems

Abstract:

Loading...

Behavioral finance; Bifurcation theory; Institutional economics; Expected utility theory; Portfolio theory; Partial moments; UPM-LPM analysis; Dynamic disequilibria markets

11.

Autoregressive Modeling

Posted: 03 Jul 2013 Last Revised: 03 Sep 2013
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

ARMA, seasonality, conditional heteroskedasticity, nonlinear regression

12.

ANOVA Using Continuous Cumulative Distribution Functions

Posted: 05 Jun 2013 Last Revised: 09 Aug 2013
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

ANOVA, lower partial moment, continuous CDF

13.

Non-Linear Scaling Normalization with Variance Retention

Posted: 09 May 2013 Last Revised: 09 Aug 2013
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

Linear scaling, Non-linear scaling, normalization, quantile normalization

14.

Understanding the Flow of Funds System and the Financial Crisis of 2008

Advances in Financial Education, Forthcoming
Posted: 27 Aug 2011 Last Revised: 10 Dec 2012
David N. Nawrocki and Fred Viole
Villanova University - Department of Finance and OVVO Financial Systems

Abstract:

Loading...

Federal Reserve, Flow of Funds, Deregulation, Lender of Last Resort

15.

An Analysis of Heterogeneous Utility Benchmarks in a Zero Return Environment

International Review of Financial Analysis, Vol. 28, No. June, 2013
Posted: 09 Aug 2011 Last Revised: 04 Jun 2013
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

Utility, Loss Aversion, Gain Seeking, Break-Even Effect, Opportunity Cost, Discontinuity

16.

Predicting Risk/Return Performance Using Upper Partial Moment/Lower Partial Moment Metrics

Journal of Mathematical Finance, 6, 900-920, 2016
Posted: 11 Feb 2010 Last Revised: 27 Nov 2016
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

Risk, Upper Partial Moment, Lower Partial Moment

17.

The Utility of Wealth in an Upper and Lower Partial Moment Fabric

Forthcoming, Journal of Investing 2011
Posted: 28 Jan 2010 Last Revised: 07 Sep 2010
Fred Viole and David N. Nawrocki
OVVO Financial Systems and Villanova University - Department of Finance

Abstract:

Loading...

Utility, Loss Aversion, Gain Seeking, Lower Partial Moment, Upper Partial Moment, Singularity, Specification Error

18.

Expectations, Technological Change, Information and the Theory of Financial Markets

THE INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS, Vol. 4 No 2
Posted: 27 Jun 1998
David N. Nawrocki
Villanova University - Department of Finance

Abstract:

Loading...