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
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2,066

SSRN CITATIONS
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Top 6,232

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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 1,224 (15,999)
Citation 2

Abstract:

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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 95 (274,462)

Abstract:

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3.

The Valuation of Security Analysis

NBER Working Paper No. w1958
Number of pages: 39 Posted: 26 Jul 2001 Last Revised: 07 Apr 2010
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 89 (286,164)
Citation 1

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4.

Inflation and the Role of Bonds in Investor Portfolios

NBER Working Paper No. w1091
Number of pages: 43 Posted: 28 May 2004 Last Revised: 27 Jun 2010
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 88 (288,189)

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5.

Measuring Risk Aversion from Excess Returns on a Stock Index

NBER Working Paper No. w3643
Number of pages: 41 Posted: 17 Oct 2007 Last Revised: 21 Sep 2008
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 81 (303,288)

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6.

Earnings and Dividend Announcements is There a Corroboration Effect?

NBER Working Paper No. w1248
Number of pages: 35 Posted: 12 Apr 2004 Last Revised: 13 Oct 2008
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 78 (310,075)

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7.

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 Last Revised: 07 Apr 2010
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 69 (332,285)

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8.

How Big is the Tax Advantage to Debt?

NBER Working Paper No. w1286
Number of pages: 24 Posted: 26 May 2004 Last Revised: 09 Jul 2010
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 63 (348,528)
Citation 2

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9.

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 Last Revised: 11 Oct 2008
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 57 (366,198)

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10.

Why are Real Interest Rates so High?

NBER Working Paper No. w1141
Number of pages: 42 Posted: 05 Jul 2004 Last Revised: 16 Aug 2010
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 51 (385,481)

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11.

Debt Policy and the Rate of Return Premium to Leverage

NBER Working Paper No. w1439
Number of pages: 35 Posted: 11 Apr 2004 Last Revised: 05 Oct 2008
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 (395,674)
Citation 2

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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 Last Revised: 13 Oct 2008
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 33 (454,157)

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13.

Valuation of Variance Forecast with Simulated Option Markets

NBER Working Paper No. w3350
Number of pages: 40 Posted: 30 Aug 2010 Last Revised: 23 Oct 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 26 (488,569)

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14.

Performance Evaluation of Market Timers

NBER Working Paper No. w2640
Number of pages: 21 Posted: 11 Apr 2007 Last Revised: 20 Sep 2010
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 22 (511,099)

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15.

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

NBER Working Paper No. t0075
Number of pages: 28 Posted: 27 Jun 2007 Last Revised: 17 Sep 2010
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 21 (516,939)

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16.

Efficient Inflation Forecasts: an International Comparison

NBER Working Paper No. w1542
Number of pages: 28 Posted: 12 Apr 2004 Last Revised: 20 Sep 2010
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 21 (516,939)

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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:

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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

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