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

17

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CITATIONS
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Top 5,639

in Total Papers Citations

91

Scholarly Papers (17)

1.

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

Journal of Derivatives, Vol. 17, No. 1, 2009
Number of pages: 30 Posted: 01 Apr 2009 Last Revised: 23 May 2011
Carole Bernard and Phelim P. Boyle
Grenoble Ecole de Management and Wilfrid Laurier University - School of Business & Economics
Downloads 2,286 (3,668)
Citation 7

Abstract:

Madoff, split-strike conversion strategy, performance measurement

2.

Locally-Capped Investment Products and the Retail Investor

Journal of Derivatives, Vol. 18, No. 4, pp. 72-88
Number of pages: 34 Posted: 07 Mar 2008 Last Revised: 29 Jan 2012
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 882 (18,967)
Citation 4

Abstract:

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

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 475 (48,467)
Citation 17

Abstract:

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 348 (70,779)
Citation 16

Abstract:

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 (542,205)
Citation 18
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Abstract:

ambiguity, diversification, investment, portfolio choice, robust control

4.
Downloads 669 ( 31,406)
Citation 5

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 522 (42,992)
Citation 5

Abstract:

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 147 (169,216)
Citation 5

Abstract:

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

5.

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 548 (37,327)
Citation 51

Abstract:

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

6.

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 526 (42,208)

Abstract:

7.

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 271 (92,380)

Abstract:

Asian options, Tse and Mok formula, pricing

8.

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 138 (142,318)

Abstract:

Efficient frontier, Positive weights, Compatible expected return

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 Department of Statistics and Actuarial Science, University of Waterloo
Downloads 96 (154,643)

Abstract:

Perron-Frobenius, Correlation-matrices

10.

Leverage and Closed End Bond Funds

Journal of Fixed Income. v24(4). pp. 47-59. 2015.
Number of pages: 23 Posted: 11 May 2014 Last Revised: 01 Mar 2016
Stephen Szaura and Phelim P. Boyle
McGill University - Desautels Faculty of Management and Wilfrid Laurier University - School of Business & Economics
Downloads 67 (210,268)

Abstract:

Closed end bond funds, leverage

11.

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 52 (303,300)
Citation 2

Abstract:

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

12.

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 36 (375,853)
Citation 4
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Abstract:

13.

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 16 (305,841)

Abstract:

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

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 (544,931)
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Abstract:

15.

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

Abstract:

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

16.

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

Abstract:

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

Abstract:

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

Abstract: