Apostolos Kourtis

University of East Anglia (UEA) - Norwich Business School

Norwich

NR4 7TJ

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 29,309

SSRN RANKINGS

Top 29,309

in Total Papers Downloads

1,529

CITATIONS

1

Scholarly Papers (7)

1.

Parameter Uncertainty in Portfolio Selection: Shrinking the Inverse Covariance Matrix

Journal of Banking and Finance, Vol. 36, No. 9, pp. 2522-2531, 2012
Number of pages: 35 Posted: 16 Feb 2009 Last Revised: 10 Sep 2012
Apostolos Kourtis, George Dotsis and Raphael N. Markellos
University of East Anglia (UEA) - Norwich Business School, National and Kapodistrian University of Athens - Faculty of Economics and University of East Anglia (UEA) - Norwich Business School
Downloads 648 (38,801)
Citation 15

Abstract:

Loading...

Portfolio Choice, Inverse Covariance Matrix, Parameter Uncertainty, Shrinkage

2.

Wine Price Risk Management: International Diversification and Derivative Instruments

International Review of Financial Analysis, Vol. 22, pp. 30-37, 2012
Number of pages: 23 Posted: 09 Nov 2010 Last Revised: 10 Sep 2012
Apostolos Kourtis, Raphael N. Markellos and Dimitris Psychoyios
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of Piraeus - Department of Industrial Management
Downloads 364 (79,820)
Citation 4

Abstract:

Loading...

Fine Wine, International Diversification, Derivatives, Option Pricing

3.

An International Comparison of Implied, Realized and GARCH Volatility Forecasts

Journal of Futures Markets, Forthcoming
Number of pages: 98 Posted: 26 Mar 2016 Last Revised: 20 Apr 2016
Apostolos Kourtis, Raphael N. Markellos and Lazaros Symeonidis
University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 195 (152,905)

Abstract:

Loading...

Implied Volatility, Realized Volatility, Volatility Risk Premium, Financial Crisis, International Diversification

4.
Downloads 100 (260,797)
Citation 1

A Stability Approach to Mean-Variance Optimization

Financial Review 50, 3, 301-330.
Number of pages: 42 Posted: 18 Jul 2015
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Downloads 100 (262,522)

Abstract:

Loading...

Portfolio Choice, Stability, Estimation Risk, Transaction Costs

A Stability Approach to Mean‐Variance Optimization

Financial Review, Vol. 50, Issue 3, pp. 301-330, 2015
Number of pages: 30 Posted: 17 Jul 2015
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Downloads 0
Citation 1
  • Add to Cart

Abstract:

Loading...

portfolio choice, stability, estimation risk, transaction costs

5.

The Sharpe Ratio of Estimated Efficient Portfolios

Finance Research Letters, Forthcoming
Number of pages: 15 Posted: 27 Jan 2016 Last Revised: 08 Feb 2016
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Downloads 94 (271,509)
Citation 2

Abstract:

Loading...

Portfolio performance, mean-variance analysis, estimation errors

6.

Covariance Forecasting in Equity Markets

Journal of Banking and Finance, vol. 96, pp. 153-168
Number of pages: 79 Posted: 16 Jul 2018 Last Revised: 04 Oct 2018
University of Leeds - Division of Accounting and Finance, University of East Anglia (UEA) - Norwich Business School, University of East Anglia (UEA) - Norwich Business School and University of East Anglia (UEA) - Norwich Business School
Downloads 76 (311,604)
Citation 1

Abstract:

Loading...

covariance forecasting, high-frequency data, implied volatility, asset allocation, risk-return trade-off

7.

On the Distribution and Estimation of Trading Costs

Journal of Empirical Finance, 28, 104-117
Number of pages: 27 Posted: 04 Aug 2014
Apostolos Kourtis
University of East Anglia (UEA) - Norwich Business School
Downloads 52 (375,207)
Citation 2

Abstract:

Loading...

Portfolio Selection, Rebalancing, Portfolio Turnover, Transaction Costs