Valeriy Zakamulin

University of Agder - School of Business and Law

Professor

Service Box 422

Kristiansand, N-4604

Norway

http://vzakamulin.weebly.com/

SCHOLARLY PAPERS

49

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51,735

SSRN CITATIONS
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SSRN RANKINGS

Top 17,589

in Total Papers Citations

45

CROSSREF CITATIONS

34

Scholarly Papers (49)

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 9,338 (1,181)
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 4,732 (3,809)
Citation 9

Abstract:

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

3.

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 3,127 (7,551)
Citation 5

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

4.

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

Number of pages: 42 Posted: 18 Oct 2022 Last Revised: 06 Nov 2023
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 2,999 (8,042)

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

5.

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 2,835 (8,781)
Citation 1

Abstract:

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technical analysis, market timing, moving averages, performance evaluation

6.

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 2,817 (8,861)
Citation 4

Abstract:

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

7.

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 2,469 (10,958)
Citation 3

Abstract:

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option hedging, transaction costs, simulations

8.

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 2,271 (12,548)
Citation 6

Abstract:

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technical analysis, market timing, moving average, robustness

9.

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 2,236 (12,862)
Citation 3

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Sharpe ratio, skewness, kurtosis, portfolio performance evaluation

10.

Optimal Trend-Following With Transaction Costs

Number of pages: 41 Posted: 22 Nov 2022 Last Revised: 18 Mar 2023
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 1,319 (28,966)

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

11.

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 1,226 (32,283)

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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 1,104 (36,879)

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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

13.

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 1,084 (38,485)

Abstract:

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

14.

A Regime-Switching Model of Stock Returns with Momentum and Mean Reversion

Economic Modelling, Forthcoming
Number of pages: 45 Posted: 31 Dec 2021 Last Revised: 22 Mar 2023
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 898 (50,124)
Citation 1

Abstract:

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

15.

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 858 (53,394)
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

16.

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 851 (53,964)
Citation 6

Abstract:

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

17.

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 725 (66,855)
Citation 2

Abstract:

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

18.

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 723 (67,083)
Citation 2

Abstract:

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

19.

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 673 (73,548)
Citation 14

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

20.

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 666 (74,541)
Citation 1

Abstract:

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option hedging, transaction costs, approximation methods, simulations

21.

Moving Averages for Market Timing

Number of pages: 53 Posted: 25 Oct 2016
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 655 (76,128)

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Market Timing, Moving Averages, Smoothness, Lag Time

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 645 (77,637)
Citation 1

Abstract:

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

23.

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 626 (80,529)
Citation 1

Abstract:

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

24.

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 599 (85,126)
Citation 6

Abstract:

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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

25.

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 581 (88,493)

Abstract:

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

26.

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 527 (99,969)

Abstract:

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

27.

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 518 (102,145)

Abstract:

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

28.

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 447 (121,822)
Citation 2

Abstract:

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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

29.

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 426 (128,885)
Citation 3

Abstract:

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option hedging, transaction costs

30.

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 416 (132,466)
Citation 1

Abstract:

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

31.

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 367 (152,528)

Abstract:

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

32.

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 328 (172,307)

Abstract:

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

33.

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 320 (176,847)
Citation 1

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

34.

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 263 (216,535)
Citation 4

Abstract:

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

35.

Stock Price Overreaction: Evidence From Bull and Bear Markets

Number of pages: 14 Posted: 01 May 2023 Last Revised: 08 Feb 2024
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 258 (220,709)

Abstract:

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investor overreaction, market correction, bull and bear markets

36.

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 252 (225,957)

Abstract:

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

37.

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 249 (228,690)
Citation 1

Abstract:

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

38.

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 244 (233,145)

Abstract:

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

39.

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 236 (240,949)

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

40.

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 233 (243,912)

Abstract:

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

41.

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 227 (250,092)

Abstract:

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

42.

Can Loss Aversion Explain the Stylized Facts of Implied Volatility?

Number of pages: 34 Posted: 07 Jun 2023
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 216 (262,035)

Abstract:

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loss aversion, implied volatility, volatility risk premium, skewness risk premium

43.

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 106 (470,481)
Citation 3

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

44.

Transaction Cost Optimization in a Fully Invested Portfolio with Target Weights

Number of pages: 28 Posted: 15 Apr 2024 Last Revised: 16 May 2024
Valeriy Zakamulin
University of Agder - School of Business and Law
Downloads 45 (747,330)

Abstract:

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fully invested portfolio, portfolio optimization, transaction costs, optimal rebalancing

45.

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

Abstract:

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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

46.

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

Abstract:

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unexpected volatility, return predictability, dynamic asset allocation

47.

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 (1,140,766)

Abstract:

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

48.

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

Abstract:

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

49.

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

Abstract:

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