Alex Kane

University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)

9500 Gilman Drive

La Jolla, CA 92093-0519

United States

SCHOLARLY PAPERS

18

DOWNLOADS
Rank 20,575

SSRN RANKINGS

Top 20,575

in Total Papers Downloads

1,757

CITATIONS
Rank 3,934

SSRN RANKINGS

Top 3,934

in Total Papers Citations

137

Scholarly Papers (18)

1.

Optimal Forecasts of Long-Term Returns: Geometric, Arithmetic, or Other Means

Boston College Working Paper
Number of pages: 33 Posted: 17 Dec 2002
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance
Downloads 950 (16,011)
Citation 2

Abstract:

Long-term returns, parameter uncertainty, Bias, maximum likelihood, mean squared error, arithmetic and geometric mean

2.

A Test of Efficiency for the S&P Index Option Market Using Variance Forecasts

NBER Working Paper No. w4520
Number of pages: 31 Posted: 09 Jul 2000
Jaesun Noh, Robert F. Engle and Alex Kane
Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance, New York University - Leonard N. Stern School of Business - Department of Economics and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 77 (235,274)
Citation 2

Abstract:

3.

The Valuation of Security Analysis

NBER Working Paper No. w1958
Number of pages: 39 Posted: 26 Jul 2001
Alex Kane and Alan J. Marcus
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance
Downloads 76 (237,014)

Abstract:

4.

Inflation and the Role of Bonds in Investor Portfolios

NBER Working Paper No. w1091
Number of pages: 43 Posted: 28 May 2004
Zvi Bodie, Alex Kane and Robert L. McDonald
Boston University - Department of Finance & Economics, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Northwestern University - Kellogg School of Management
Downloads 69 (249,907)
Citation 6

Abstract:

5.

Measuring Risk Aversion from Excess Returns on a Stock Index

NBER Working Paper No. w3643
Number of pages: 41 Posted: 17 Oct 2007
Ray Chou, Robert F. Engle and Alex Kane
Georgia Institute of Technology - Scheller College of Business, New York University - Leonard N. Stern School of Business - Department of Economics and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 66 (259,848)
Citation 24

Abstract:

6.

Index-Option Pricing with Stochastic Volatility and the Value of Accurate Variance Forecasts

NBER Working Paper No. w4519
Number of pages: 31 Posted: 25 May 2006
Robert F. Engle, Alex Kane and Jaesun Noh
New York University - Leonard N. Stern School of Business - Department of Economics, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Korea Advanced Institute of Science and Technology (KAIST) - Graduate School of Finance
Downloads 56 (284,035)
Citation 6

Abstract:

7.

Earnings and Dividend Announcements is There a Corroboration Effect?

NBER Working Paper No. w1248
Number of pages: 35 Posted: 12 Apr 2004
Alex Kane, Youngki Lee and Alan J. Marcus
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS), Boston University - Center for Polymer Studies and Boston College - Department of Finance
Downloads 51 (266,069)
Citation 16

Abstract:

8.

Why are Real Interest Rates so High?

NBER Working Paper No. w1141
Number of pages: 42 Posted: 05 Jul 2004
Zvi Bodie, Alex Kane and Robert L. McDonald
Boston University - Department of Finance & Economics, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Northwestern University - Kellogg School of Management
Downloads 48 (317,858)
Citation 3

Abstract:

9.

How Big is the Tax Advantage to Debt?

NBER Working Paper No. w1286
Number of pages: 24 Posted: 26 May 2004
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS), Boston College - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 48 (317,858)
Citation 26

Abstract:

10.

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market

NBER Working Paper No. w1614
Number of pages: 28 Posted: 05 Jul 2004
Alex Kane and Alan J. Marcus
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance
Downloads 44 (312,150)
Citation 5

Abstract:

11.

Debt Policy and the Rate of Return Premium to Leverage

NBER Working Paper No. w1439
Number of pages: 35 Posted: 11 Apr 2004
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS), Boston College - Department of Finance and Northwestern University - Kellogg School of Management
Downloads 44 (320,768)
Citation 45

Abstract:

12.

The Forecasting Ability of Money Market Fund Managers and its Economic Value

NBER Working Paper No. w1243
Number of pages: 48 Posted: 15 Jul 2004
Alex Kane and Youngki Lee
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston University - Center for Polymer Studies
Downloads 28 (370,127)

Abstract:

13.

Efficient Inflation Forecasts: an International Comparison

NBER Working Paper No. w1542
Number of pages: 28 Posted: 12 Apr 2004
Alex Kane and Leonard Rosenthal
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Bentley University - Department of Finance
Downloads 18 (419,803)

Abstract:

14.

The Delivery of Market Timing Services: Newsletters Versus Market Timing Funds

NBER Working Paper No. t0075
Number of pages: 28 Posted: 27 Jun 2007
Alex Kane and Stephen Gary Marks
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and affiliation not provided to SSRN
Downloads 16 (424,945)

Abstract:

15.

Performance Evaluation of Market Timers

NBER Working Paper No. w2640
Number of pages: 21 Posted: 11 Apr 2007
Alex Kane and Stephen Gary Marks
University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston University - School of Law
Downloads 16 (430,072)
Citation 1

Abstract:

16.

Valuation of Variance Forecast with Simulated Option Markets

NBER Working Paper No. w3350
Number of pages: 40 Posted: 30 Aug 2010
New York University - Leonard N. Stern School of Business - Department of Economics, affiliation not provided to SSRN and University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS)
Downloads 15 (440,194)

Abstract:

17.

Optimal Estimation of the Risk Premium for the Long Run and Asset Allocation: A Case of Compounded Estimation Risk

Journal of Financial Econometrics, Vol. 3, No. 1, pp. 37-55, 2005
Posted: 29 Feb 2008
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance

Abstract:

arithmetic mean, asset allocation, estimation risk, geometric mean, long-term returns, maximum likelihood, mean-squared error, risk premium, small sample

18.

Geometric or Arithmetic Mean: A Reconsideration

Financial Analysts Journal, Vol. 59, No. 6, pp. 46-53, November/December 2003
Posted: 26 Jan 2004
Eric Jacquier, Alex Kane and Alan J. Marcus
Boston University School of Management, University of California, San Diego (UCSD) - Graduate School of International Relations and Pacific Studies (IRPS) and Boston College - Department of Finance

Abstract:

Portfolio management, asset allocation, investment theory, portfolio theory, quantitative tools, econometric and statistical methods