Valeriy Zakamulin

University of Agder - School of Business and Law

Professor

Service Box 422

Kristiansand, N-4604

Norway

http://vzakamulin.weebly.com/

SCHOLARLY PAPERS

48

DOWNLOADS
Rank 932

SSRN RANKINGS

Top 932

in Total Papers Downloads

40,256

SSRN CITATIONS
Rank 17,509

SSRN RANKINGS

Top 17,509

in Total Papers Citations

24

CROSSREF CITATIONS

37

Scholarly Papers (48)

1.

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 7,875 (1,189)
Citation 8

Abstract:

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

2.

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 4,536 (3,099)
Citation 9

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

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 2,638 (7,470)
Citation 2

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technical analysis, market timing, moving averages, performance evaluation

Revisiting the Profitability of Market Timing with Moving Averages

International Review of Finance, Vol. 18, Issue 2, pp. 317-327, 2018
Number of pages: 11 Posted: 05 Jun 2018
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 16 (797,489)
Citation 1

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4.

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 2,580 (7,889)
Citation 4

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

5.

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 2,303 (9,434)
Citation 3

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option hedging, transaction costs, simulations

6.

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 2,131 (10,723)
Citation 3

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Sharpe ratio, skewness, kurtosis, portfolio performance evaluation

7.

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 2,061 (11,356)
Citation 6

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technical analysis, market timing, moving average, robustness

8.

Trend Following with Momentum Versus Moving Average: A Tale of Differences

Number of pages: 41 Posted: 19 Dec 2018
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 1,374 (21,208)
Citation 5

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Technical Analysis, Trend Following, Momentum, Moving Average, Return Predictability

9.

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 1,119 (28,706)

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option pricing, binomial model

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 1,047 (31,101)

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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

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

11.

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 1,000 (33,656)

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

12.

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 788 (46,690)
Citation 3

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

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 678 (56,255)
Citation 1

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

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

Bulletin of Economic Research, Vol. 69, Issue 4, pp. E66-E93, 2017
Number of pages: 28 Posted: 10 Oct 2017
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 9 (872,194)

Abstract:

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boostrap simulation, long run, mean reversion, random walk, predictability, stock returns

14.

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 651 (60,158)
Citation 2

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

15.

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 639 (61,623)
Citation 14

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

16.

Stock Earnings and Bond Yields in the US 1871-2016: The Story of a Changing Relationship

Number of pages: 48 Posted: 28 Feb 2018 Last Revised: 15 Jan 2019
Valeriy Zakamulin and John A. Hunnes
University of Agder - School of Business and Law and University of Agder - School of Business and Law
Downloads 581 (69,687)
Citation 1

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equity valuation model, equilibrium relationship, Granger causality, vector error correction, structural break analysis, historical development, monetary policy

17.

Moving Averages for Market Timing

Number of pages: 53 Posted: 25 Oct 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 579 (69,858)

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Market Timing, Moving Averages, Smoothness, Lag Time

18.

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 560 (72,787)
Citation 6

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

19.

Time Series Momentum in the US Stock Market: Empirical Evidence and Theoretical Analysis

Number of pages: 44 Posted: 22 May 2020 Last Revised: 15 Mar 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 543 (75,634)
Citation 3

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time series momentum, trend-following, profitability, statistical power

20.

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 539 (76,310)

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

21.

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 482 (87,509)

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

22.

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 Liège - HEC Management School and University of Agder - School of Business and Law
Downloads 479 (88,167)

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

23.

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 462 (92,039)
Citation 1

Abstract:

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option hedging, transaction costs, approximation methods, simulations

24.

Optimal Trend Following Rules in Two-State Regime-Switching Models

Number of pages: 41 Posted: 18 Oct 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 457 (95,618)

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Markov model, semi-Markov model, bull-bear markets, optimal trend-following, moving averages

25.

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 425 (101,451)
Citation 2

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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

26.

Forecasting Stock Volatility: The Gains from Using Intraday Data

Number of pages: 33 Posted: 04 Oct 2016 Last Revised: 02 Mar 2018
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 386 (113,319)
Citation 1

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

27.

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 320 (139,117)
Citation 3

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option hedging, transaction costs

28.

Stock Volatility Predictability in Bull and Bear Markets

Number of pages: 35 Posted: 08 May 2019
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 316 (140,940)

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stock markets, volatility forecasting, state dependence, high-frequency data, meta-analysis

29.

Optimal Trend-Following in a Markov Switching Model

Number of pages: 12 Posted: 02 May 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 308 (145,260)

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Markov switching model, bull-bear markets, optimal trend-following, moving averages

30.

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 293 (152,454)

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

31.

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 292 (153,037)
Citation 1

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

32.

Momentum and Mean Reversion in a Semi-Markov Model for Stock Returns

Number of pages: 39 Posted: 31 Dec 2021 Last Revised: 09 Mar 2022
Javier Giner and Valeriy Zakamulin
University of La Laguna - Faculty of Economics, Business and Tourism and University of Agder - School of Business and Law
Downloads 235 (195,430)

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time-series momentum, mean reversion, bull and bear markets, duration dependence, semi-Markov model

33.

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 225 (197,893)
Citation 4

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

34.

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 221 (201,323)

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

35.

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 219 (202,975)
Citation 1

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

36.

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 216 (205,636)

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

37.

The Limits to Volatility Predictability: Quantifying Forecast Accuracy Across Horizons

Number of pages: 34 Posted: 31 Aug 2018
Valeriy Zakamulin and Xingyi Li
University of Agder - School of Business and Law and School of Business and Law, University of Agder
Downloads 207 (213,852)

Abstract:

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spot volatility, forward volatility, volatility forecasting, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis

38.

The Term Structure of Volatility Predictability

Number of pages: 37 Posted: 04 Apr 2019
Xingyi Li and Valeriy Zakamulin
School of Business and Law, University of Agder and University of Agder - School of Business and Law
Downloads 193 (227,783)

Abstract:

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spot volatility, forward volatility, volatility forecasting, high-frequency data, forecast accuracy, term structure, out-of-sample forecasting, model comparison, meta-analysis

39.

Not All Bull and Bear Markets Are Alike: Insights From a Five-State Hidden Semi-Markov Model

Number of pages: 26 Posted: 21 Sep 2020
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 140 (297,595)

Abstract:

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semi-Markov models, stock market regimes, bull and bear markets, US stock market

40.

Revisiting the Duration Dependence in the US Stock Market Cycles

Number of pages: 23 Posted: 09 Jun 2020
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 81 (430,735)

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Stock Market Cycles, Bull and Bear Markets, Duration Dependence, Survivor Function, Hazard Function

41.

Optimal Trend-Following With Transaction Costs

Number of pages: 42 Posted: 22 Nov 2022
Valeriy Zakamulin and Javier Giner
University of Agder - School of Business and Law and University of La Laguna - Faculty of Economics, Business and Tourism
Downloads 48 (557,486)

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stock market, trend-following, transaction costs, simple moving average, moving average crossover

42.

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 4 (896,659)

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43.

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

Posted: 21 May 2019
Valeriy Zakamulin
University of Agder - School of Business and Law

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

44.

Dynamic Asset Allocation Strategies Based on Unexpected Volatility

Journal of Alternative Investments, Vol. 16, No. 4, 2014, https://doi.org/10.3905/jai.2014.16.4.037
Posted: 21 May 2019
Valeriy Zakamulin
University of Agder - School of Business and Law

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unexpected volatility, return predictability, dynamic asset allocation

45.

A Test of Covariance Matrix Forecasting Methods

Journal of Portfolio Management, 215, https://doi.org/10.3905/jpm.2015.41.3.097
Posted: 21 May 2019
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 0 (950,291)

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

46.

Optimal Dynamic Portfolio Risk Management

Journalof Portfolio Management, Vol. 42, No. 6, 2016, https://doi.org/10.3905/jpm.2016.43.1.085
Posted: 20 May 2019
Valeriy Zakamulin
University of Agder - School of Business and Law

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

47.

Volatility Weighting Over Time in the Presence of Transaction Costs

Journal of Wealth Management, Vol. 21, No. 4, 2019, https://jwm.pm-research.com/content/21/4/33
Posted: 07 Jun 2015 Last Revised: 05 Oct 2019
Valeriy Zakamulin
University of Agder - School of Business and Law

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

48.

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

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