Valeriy Zakamulin

University of Agder - School of Business and Law

Professor

Service Box 422

Kristiansand, N-4604

Norway

http://vzakamulin.weebly.com/

SCHOLARLY PAPERS

36

DOWNLOADS
Rank 663

SSRN RANKINGS

Top 663

in Total Papers Downloads

26,954

CITATIONS
Rank 11,152

SSRN RANKINGS

Top 11,152

in Total Papers Citations

37

Scholarly Papers (36)

1.

The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules

Forthcoming in the Journal of Asset Management
Number of pages: 8 Posted: 03 Apr 2013 Last Revised: 04 Sep 2014
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 2,525 (2,233)
Citation 1

Abstract:

technical analysis, market timing, simple moving average, time-series momentum, out-of-sample testing

2.

Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

Number of pages: 33 Posted: 27 Mar 2015 Last Revised: 29 May 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 2,475 (1,238)

Abstract:

technical analysis, trading rules, market timing, moving averages, out-of-sample testing

3.

Optimal Hedging of Option Portfolios with Transaction Costs

Number of pages: 28 Posted: 20 Oct 2006
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 1,626 (6,572)

Abstract:

option hedging, transaction costs, simulations

4.

Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance

Number of pages: 37 Posted: 13 Feb 2008 Last Revised: 26 Aug 2008
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 1,453 (7,762)
Citation 7

Abstract:

Sharpe ratio, skewness, kurtosis, portfolio performance evaluation

The Best Hedging Strategy in the Presence of Transaction Costs

Number of pages: 27 Posted: 02 Dec 2005 Last Revised: 10 May 2008
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 877 (20,331)

Abstract:

option hedging, transaction costs, simulations, risk-return tradeoff, optimization

The Best Hedging Strategy in the Presence of Transaction Costs

International Journal of Theoretical and Applied Finance, Vol. 12, No. 6, pp. 833-860, 2009
Posted: 01 Dec 2009
Valeriy Zakamulin
University of Agder - School of Business and Law

Abstract:

Option hedging, transaction costs, simulations, risk-return tradeoff, optimization

6.

On the Pricing and Hedging of Options on Commodity Forward and Futures Contracts - A Note

Number of pages: 18 Posted: 22 Nov 2006
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 859 (19,920)

Abstract:

commodity contracts, futures contract, forward contract, option pricing and hedging

7.

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Journal of Alternative Investments, Vol. 16, No. 4, 2014
Number of pages: 6 Posted: 21 Nov 2013 Last Revised: 21 Jun 2014
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 697 (18,065)

Abstract:

unexpected volatility, return predictability, dynamic asset allocation

8.

On the Irrelevance of Expected Stock Returns in the Pricing of Options in the Binomial Model: A Pedagogical Note

Number of pages: 14 Posted: 14 Nov 2005
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 569 (28,739)

Abstract:

option pricing, binomial model

9.

A Test of Covariance Matrix Forecasting Methods

Journal of Portfolio Management, 215
Number of pages: 7 Posted: 20 Mar 2014 Last Revised: 26 Mar 2015
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 534 (21,639)

Abstract:

covariance matrix forecasting, minimum-variance portfolio optimization, sample covariance, covariance shrinkage, exponentially weighted covariance, multivariate GARCH, model comparison

10.

Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations

Number of pages: 45 Posted: 16 May 2008
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 523 (38,219)
Citation 1

Abstract:

option hedging, transaction costs, nonlinear Black-Scholes PDE, finite-difference method

11.

Secular Mean Reversion and Long-Run Predictability of the Stock Market

Number of pages: 40 Posted: 31 Jan 2013 Last Revised: 19 Dec 2015
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 504 (44,153)

Abstract:

predictability, stock returns, long-run, random walk, mean reversion, bootstrap simulation

12.

The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds

Number of pages: 36 Posted: 22 May 2009 Last Revised: 05 Jan 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 435 (41,202)
Citation 4

Abstract:

hedge funds, performance measures, portfolio performance evaluation, Sharpe ratio, rank correlation, non-normality, skewness, kurtosis

13.

The CARMA Interest Rate Model

Number of pages: 33 Posted: 30 May 2008 Last Revised: 01 Feb 2013
Norwegian University of Science and Technology (NTNU) - Department of Industrial Economics and Technology, University of Oslo, School of Business and Law at the University of Agder and University of Agder - School of Business and Law
Downloads 424 (46,838)
Citation 2

Abstract:

interest rate model, short rate, forward rate, term structure, CARMA process, bond pricing, bond option pricing, yield curve, volatility curve, calibration

14.

Forecasting the Size Premium Over Different Time Horizons

Journal of Banking and Finance, Forthcoming
Number of pages: 37 Posted: 01 Nov 2011 Last Revised: 06 Nov 2012
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 389 (49,799)
Citation 1

Abstract:

size effect, size premium, stock return predictability, active alpha

15.

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

Number of pages: 25 Posted: 23 Apr 2009 Last Revised: 05 Jan 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 358 (61,933)

Abstract:

performance measure, portfolio performance evaluation, risk measure, deviation measure, value-at-risk, conditional value-at-risk, expected shortfall, expected tail loss

16.

Portfolio Performance Evaluation with Loss Aversion

Quantitative Finance, Forthcoming
Number of pages: 21 Posted: 05 Jan 2010 Last Revised: 06 Sep 2011
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 354 (59,319)
Citation 1

Abstract:

utility theory, behavioral finance, portfolio performance evaluation, performance measure, reward-to-risk ratio, loss aversion

17.

A Generalization of the Mean-Variance Analysis

Number of pages: 49 Posted: 02 Apr 2008 Last Revised: 06 Nov 2008
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 324 (67,888)
Citation 1

Abstract:

risk aversion, loss aversion, risk measure, partial moments of distribution, mean-variance utility, quadratic utility, certainty equivalent, risk premium, optimal capital allocation, portfolio performance evaluation

18.

Market Timing with a Robust Moving Average

Number of pages: 21 Posted: 31 May 2015 Last Revised: 13 Jun 2015
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 321 (12,680)

Abstract:

technical analysis, market timing, moving average, robustness

19.

Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs

Number of pages: 31 Posted: 04 Feb 2010 Last Revised: 09 Feb 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 264 (76,524)
Citation 6

Abstract:

option hedging, transaction costs, approximation methods, simulations

20.

Volatility Weighting Over Time in the Presence of Transaction Costs

Number of pages: 24 Posted: 07 Jun 2015 Last Revised: 12 Jan 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 235 (60,222)

Abstract:

dynamic portfolio optimization, portfolio risk control over time, volatility weighting over time, volatility targeting, transaction costs, out-of-sample simulations

21.

Block Bootstrap Methods and the Choice of Stocks for the Long Run

Forthcoming, Quantitative Finance
Number of pages: 24 Posted: 11 Apr 2011 Last Revised: 18 Nov 2012
Philippe Cogneau and Valeriy Zakamulin
University of Liege - HEC Management School and University of Agder - School of Business and Law
Downloads 214 (104,297)

Abstract:

long-run, time-series data, serial dependence, parameter estimation, bootstrap, block bootstrap

22.

Sharpe (Ratio) Thinking About the Investment Opportunity Set and CAPM Relationship

Economics Research International, Vol. 2011
Number of pages: 21 Posted: 28 Sep 2009 Last Revised: 06 Sep 2011
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 211 (109,434)

Abstract:

investment analysis, optimal allocation, portfolio theory, investment opportunity set, CAPM, comparative static analysis, Sharpe ratio, Jensen's alpha

23.

American Option Pricing and Exercising with Transaction Costs

Norwegian School of Economics and Business Administration Discussion Paper No. 15/2003
Number of pages: 40 Posted: 15 Feb 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 178 (133,619)
Citation 1

Abstract:

option pricing, transaction costs, stochastic control, optimal stopping, Markov chain approximation

24.

European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs

Norwegian School of Economics and Business Administration Discussion Paper No. 19 2002
Number of pages: 27 Posted: 04 Feb 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 174 (133,619)
Citation 10

Abstract:

Option pricing, option hedging, transaction costs, stochastic impulse control, Markov chain approximation

25.

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

Bodoe Graduate School of Business Working Paper No. 3/2004
Number of pages: 28 Posted: 04 Feb 2010 Last Revised: 08 Feb 2010
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 173 (137,757)
Citation 1

Abstract:

portfolio choice, transaction costs, stochastic singular control, stochastic impulse control, computational methods

26.

Predictable Dynamics in the Small Stock Premium

Number of pages: 34 Posted: 10 Jun 2012 Last Revised: 01 Feb 2013
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 157 (138,416)

Abstract:

size effect, size premium, January effect, stock return predictability

27.

A Generalisation of the Mean-Variance Analysis

European Financial Management, Vol. 15, Issue 5, pp. 934-970, November 2009
Number of pages: 37 Posted: 21 Oct 2009
Valeriy Zakamulin and Steen Koekebakker
University of Agder - School of Business and Law and School of Business and Law at the University of Agder
Downloads 3 (525,291)
Citation 1

Abstract:

28.

Moving Averages for Market Timing

Number of pages: 53 Posted: 25 Oct 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (91,807)

Abstract:

Market Timing, Moving Averages, Smoothness, Lag Time

29.

Forecasting Stock Market Volatility: The Gains from Using Intraday Data

Number of pages: 26 Posted: 04 Oct 2016
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 0 (137,092)

Abstract:

stock markets, volatility forecasting, intraday data, realized measures of daily volatility, forecast accuracy, out-of-sample forecasting, model comparison

30.

Superiority of Optimized Portfolios to Naive Diversification: Fact or Fiction?

Number of pages: 13 Posted: 31 May 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (140,551)

Abstract:

Low-Volatility Anomaly, Portfolio Optimization, Naive Diversification, Out-Of-Sample Simulations, Risk-Based Explanation

31.

Abnormal Stock Market Returns Around Peaks in VIX: The Evidence of Investor Overreaction?

Number of pages: 44 Posted: 03 May 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (43,289)

Abstract:

VIX volatility index, dating of turning points, event study, abnormal returns, behavioral finance, investor sentiment, investor overreaction, cross-sectional differences

32.

Revisiting the Profitability of Market Timing with Moving Averages

Number of pages: 10 Posted: 08 Mar 2016 Last Revised: 15 Sep 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (8,398)

Abstract:

technical analysis, market timing, moving averages, performance evaluation

33.

Optimal Dynamic Portfolio Risk Management

Journalof Portfolio Management, Vol. 42, No. 6, 2016
Number of pages: 7 Posted: 26 Oct 2015 Last Revised: 15 Sep 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (76,257)

Abstract:

dynamic portfolio optimization, dynamic risk management, risk control over time, risk control across assets, out-of-sample simulations

34.

A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies

Number of pages: 59 Posted: 23 Oct 2015 Last Revised: 11 Dec 2015
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (11,161)

Abstract:

technical analysis, market timing, moving averages, regime switching, bull and bear markets, out-of-sample testing

35.

Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs

Number of pages: 20 Posted: 07 Nov 2005 Last Revised: 07 Jan 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (290,682)

Abstract:

option hedging, transaction costs

36.

American Option Pricing with Transaction Costs

Journal of Computational Finance, Vol. 8, No. 3, pp. 81-115, Spring 2005
Posted: 25 Apr 2005
Valeriy Zakamulin
University of Agder - School of Business and Law

Abstract:

American options, American option pricing, option pricing, reservation option prices, utility-based approach, numerical algorithm, optimal transaction policy