Kian Guan Lim

Singapore Management University

OUB Professor of Quantitative Finance

50 Stamford Road

Singapore, Singapore 178899

Singapore

SCHOLARLY PAPERS

6

DOWNLOADS

358

SSRN CITATIONS

0

CROSSREF CITATIONS

0

Scholarly Papers (6)

1.

Intraday Index Predictability and Options Trading Profitability

Number of pages: 43 Posted: 01 Feb 2015
Kian Guan Lim, Ying Chen and Nelson Yap
Singapore Management University, National University of Singapore (NUS) and Independent
Downloads 312 (100,423)

Abstract:

Loading...

options trading, intraday predictability, risk-neutral moments, local autoregression model

2.

Estimation of Value-at-Risk with Minimal Specification Error

Number of pages: 19 Posted: 05 Jan 2015
Kian Guan Lim, Hao Cheng and Nelson Yap
Singapore Management University, Singapore Management University, Lee Kong Chian School of Business and Independent
Downloads 43 (427,966)

Abstract:

Loading...

Value at Risk, Finance Modeling, Forecasting and Prediction

3.

Do Credit Default Swap Prices Reveal the Presence of Informed Trading?

Number of pages: 76 Posted: 21 Aug 2019
Hao Cheng and Kian Guan Lim
Singapore Management University and Singapore Management University
Downloads 2 (662,289)

Abstract:

Loading...

4.

CDS Channels of Influence on Discretionary Accruals

Number of pages: 50
Kian Guan Lim
Singapore Management University
Downloads 1

Abstract:

Loading...

Credit default swaps, Earnings quality, Absolute abnormal earnings accruals, Trade credit exposures, Risk Management

5.

Performance Control and Risk Calibration in the Black-Litterman Model

Journal of Portfolio Management, Vol. 43, Spring 2017
Posted: 20 Jun 2019
Chyng Wen Tee, Shirley J. Huang and Kian Guan Lim
Singapore Management University - Lee Kong Chian School of Business, Singapore Management University - Lee Kong Chian School of Business and Singapore Management University

Abstract:

Loading...

Black-Litterman, asset pricing, asset management, asset allocation

6.

Multiple Criteria Portfolio Choice with Variance Decomposition onto Half Spaces

Posted: 30 Jan 2019
Kian Guan Lim
Singapore Management University

Abstract:

Loading...

Portfolio Selection, Multi-Criteria Optimization, Variance Decom- Position, Skewness Premium