Valeriy Zakamulin

University of Agder - School of Business and Law

Professor

Service Box 422

Kristiansand, N-4604

Norway

http://vzakamulin.weebly.com/

SCHOLARLY PAPERS

41

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31,440

CITATIONS
Rank 16,122

SSRN RANKINGS

Top 16,122

in Total Papers Citations

44

Scholarly Papers (41)

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 6,035 (1,070)
Citation 7

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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 3,987 (2,220)
Citation 1

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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 2,196 (5,980)
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 1 (681,444)
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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 2,091 (6,614)
Citation 3

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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 1,960 (7,412)
Citation 1

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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 1,850 (8,182)
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 1,675 (9,620)
Citation 5

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technical analysis, market timing, moving average, robustness

8.

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 948 (23,242)

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

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 938 (23,181)

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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

10.

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 829 (28,160)

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option pricing, binomial model

11.

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 652 (39,002)
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 618 (41,330)
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
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boostrap simulation, long run, mean reversion, random walk, predictability, stock returns

13.

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 605 (43,158)
Citation 11

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

14.

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 602 (43,461)

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

15.

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 592 (44,415)
Citation 1

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

16.

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 518 (52,657)
Citation 4

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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

17.

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 503 (54,633)

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

18.

Volatility Weighting Over Time in the Presence of Transaction Costs

Journal of Wealth Management, Spring 2019
Number of pages: 6 Posted: 07 Jun 2015 Last Revised: 19 Jan 2019
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 488 (56,783)
Citation 1

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

19.

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 430 (66,341)

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

20.

Moving Averages for Market Timing

Number of pages: 53 Posted: 25 Oct 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 412 (69,866)

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Market Timing, Moving Averages, Smoothness, Lag Time

21.

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 387 (75,237)
Citation 1

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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

22.

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 373 (78,440)
Citation 1

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

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 346 (85,631)
Citation 1

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option hedging, transaction costs, approximation methods, simulations

24.

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 327 (91,226)

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

25.

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 282 (107,160)

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

26.

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 266 (113,983)

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

27.

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 239 (127,230)

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

28.

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 204 (148,253)
Citation 1

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

29.

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 200 (150,957)

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

30.

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 197 (153,121)

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

31.

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 197 (153,121)
Citation 4

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

32.

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 168 (176,726)

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

33.

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 122 (229,063)

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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

34.

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 104 (256,803)
Citation 3

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option hedging, transaction costs

35.

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 95 (272,729)

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

36.

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 (626,678)
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37.

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

38.

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

39.

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 (667,153)

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

40.

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

41.

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