Phelim P. Boyle

Wilfrid Laurier University - School of Business & Economics

Waterloo, Ontario N2L 3C5

Canada

University of Waterloo

Waterloo, Ontario N2L 3G1

Canada

SCHOLARLY PAPERS

20

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CITATIONS
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50

Scholarly Papers (20)

Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

AFA 2010 Atlanta Meetings Paper
Number of pages: 44 Posted: 19 Mar 2009 Last Revised: 16 Sep 2009
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 495 (54,689)
Citation 5

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 16 Sep 2009
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 365 (79,200)
Citation 21

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification

CEPR Discussion Paper No. DP7687
Number of pages: 45 Posted: 01 Mar 2010
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 7 (618,704)
Citation 38
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ambiguity, diversification, investment, portfolio choice, robust control

2.
Downloads 693 ( 35,707)
Citation 22

Explicit Representation of Cost-Efficient Strategies

Number of pages: 39 Posted: 30 Jul 2010 Last Revised: 18 Apr 2013
Carole Bernard, Phelim P. Boyle and Steven Vanduffel
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and Vrije Universiteit Brussel (VUB)
Downloads 543 (48,592)
Citation 22

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Law-invariant increasing preferences, Stochastic Dominance, Expected Utility, State-dependent preferences, Copulas

Explicit Representation of Cost-Efficient Strategies

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 32 Posted: 22 Oct 2010
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 150 (193,434)
Citation 1

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Stochastic Dominance, Efficiency Cost, Expected Utility Optimization, Portfolio Choice

3.

Monte Carlo Methods for Pricing Discrete Parisian Options

European Journal of Finance, Vol. 17, Issue 3, 2011
Number of pages: 40 Posted: 11 Jul 2009 Last Revised: 24 Jan 2012
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 622 (41,229)
Citation 108

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Parisian Options, Monte Carlo, Discrete Monitoring, Control Variate, Early Exercise, Executive Stock Options, Mr. Thain.

4.

Temporal Price Relation between Stock and Option Markets and a Bias of Implied Volatility in Option Prices

OFOP Paper No. 99-07
Number of pages: 25 Posted: 28 Aug 2000
Phelim P. Boyle, Seokgu Byoun and Hun Y. Park
Wilfrid Laurier University - School of Business & Economics, University of South Carolina - Darla Moore School of Business and University of Illinois at Urbana-Champaign - Department of Finance
Downloads 546 (48,861)

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5.

Eigen Portfolio Selection: A Robust Approach to Sharpe Ratio Maximization

Number of pages: 56 Posted: 16 Nov 2017 Last Revised: 31 Oct 2018
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 368 (79,130)
Citation 1

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Portfolio optimization, Estimation error, Approximation error, Spectral cut-off method, Spectral selection method

6.

Fixed-Strike European Arithmetic Asian Options: A Comment

Number of pages: 11 Posted: 29 Sep 2009
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business
Downloads 291 (102,825)

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Asian options, Tse and Mok formula, pricing

7.

Positive Weights on the Efficient Frontier

Number of pages: 37 Posted: 09 Oct 2012
Phelim P. Boyle
Wilfrid Laurier University - School of Business & Economics
Downloads 208 (144,471)
Citation 2

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Efficient frontier, Positive weights, Compatible expected return

8.

Age Matters

Number of pages: 44 Posted: 29 May 2019
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 202 (149,148)

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Bootstrapped portfolio, rebalanced portfolio, age effect, size effect

9.

Correlation Matrices with the Perron-Frobenius Property

Number of pages: 43 Posted: 11 Sep 2014
Phelim P. Boyle, Shui Feng, David Melkuev and Johnew Zhang
Wilfrid Laurier University - School of Business & Economics, Department of Mathematics and Statistics, McMaster University, Canada, Department of Statistics and Actuarial Science, University of Waterloo and Columbia University, Columbia Business School, Finance and Economics, Students
Downloads 186 (160,210)

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Perron-Frobenius, Correlation-matrices

10.

When Does the 1/N Rule Work?

Number of pages: 27 Posted: 05 Feb 2018 Last Revised: 16 Nov 2018
University of Waterloo, Wilfrid Laurier University - School of Business & Economics, University of Waterloo and University of Waterloo - School of Accounting and Finance
Downloads 161 (181,804)

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1/N rule, favorability index, bull and bear markets, regime-switching model

11.

Improving Risk Sharing and Borrower Incentives in Mortgage Design

Number of pages: 37 Posted: 18 Sep 2015 Last Revised: 04 Apr 2017
Yuchen Mei, Phelim P. Boyle and Johnny Siuā€Hang Li
University of Waterloo - Department of Statistics and Actuarial Science, Wilfrid Laurier University - School of Business & Economics and University of Waterloo
Downloads 68 (330,195)

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Borrower incentives, Mortgage default risk, Property index-linked mortgages, Risk sharing

12.

w-MPS Risk Aversion and the CAPM

Number of pages: 21 Posted: 09 May 2011
Chenghu Ma and Phelim P. Boyle
Fudan University - School of Management and Wilfrid Laurier University - School of Business & Economics
Downloads 64 (340,879)
Citation 1

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CAPM, w-MPS, Risk Aversion, Infinite & Incomplete Market, Non-Gaussian Returns

13.

Portfolio Management With Constraints

Mathematical Finance, Vol. 17, No. 3, pp. 319-343, July 2007
Number of pages: 25 Posted: 28 Jun 2007
Weidong Tian and Phelim P. Boyle
University of North Carolina (UNC) at Charlotte - The Belk College of Business Administration and Wilfrid Laurier University - School of Business & Economics
Downloads 37 (430,936)
Citation 7
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14.

Designing a Countercyclical Insurance Program for Systemic Risk

Journal of Risk and Insurance, Vol. 79, Issue 4, pp. 963-993, 2012
Number of pages: 31 Posted: 22 Nov 2012
Phelim P. Boyle and Joseph H.T. Kim
Wilfrid Laurier University - School of Business & Economics and University of Waterloo - Department of Statistics and Actuarial Science
Downloads 2 (630,437)
Citation 3
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15.

Leverage and Closed End Bond Funds

Journal of Fixed Income. v24(4). pp. 47-59. 2015., https://doi.org/10.3905/jfi.2015.24.4.047
Posted: 21 May 2019
Stephen Szaura and Phelim P. Boyle
McGill University - Desautels Faculty of Management and Wilfrid Laurier University - School of Business & Economics

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Closed end bond funds, leverage

16.

Locally-Capped Investment Products and the Retail Investor

Journal of Derivatives, Vol. 18, No. 4, pp. 72-88, 2011, https://doi.org/10.3905/jod.2011.18.4.072
Posted: 21 May 2019
Carole Bernard, Phelim P. Boyle and Will Gornall
Grenoble Ecole de Management, Wilfrid Laurier University - School of Business & Economics and University of British Columbia (UBC) - Sauder School of Business

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Household finance, structured products, retail investor, locally-capped contracts

17.

Designing a Counter-Cyclical Insurance Program for Systemic Risk

The Journal of Risk and Insurance, Forthcoming
Posted: 01 Feb 2012 Last Revised: 24 Apr 2012
Joseph H.T. Kim and Phelim P. Boyle
University of Waterloo - Department of Statistics and Actuarial Science and Wilfrid Laurier University - School of Business & Economics

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Systemic risk, pro-cyclical risk charge, risk capital, CoVaR, CoCTE, regime switching

18.

Mr. Madoff's Amazing Returns: An Analysis of the Split-Strike Conversion Strategy

Journal of Derivatives, Vol. 17, No. 1, 2009, https://doi.org/10.3905/JOD.2009.17.1.062
Posted: 01 Apr 2009 Last Revised: 21 May 2019
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics

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Madoff, split-strike conversion strategy, performance measurement

19.

Implied Volatility in Option Prices and the Lead-Lag Relation between Stock and Option Prices

OFOR Working Paper Number 94-01
Posted: 20 Dec 1998
Hun Y. Park and Phelim P. Boyle
University of Illinois at Urbana-Champaign - Department of Finance and Wilfrid Laurier University - School of Business & Economics

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Deposit Insurance with Changing Volatility: An Application of Exotic Options

THE JOURNAL OF FINANCIAL ENGINEERING, Vol 3 No 3, September/December 1994
Posted: 13 Feb 1995
Phelim P. Boyle and Inmoo Lee
Wilfrid Laurier University - School of Business & Economics and KAIST College of Business

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Deposit Insurance with Changing Volatility: An Application of Exotic Options

OFOR Working Paper Number 93-02
Posted: 05 Sep 1994
Phelim P. Boyle and Inmoo Lee
Wilfrid Laurier University - School of Business & Economics and KAIST College of Business

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