Daniel Giamouridis

Bank of America - Bank of America Merrill Lynch

United Kingdom

Athens University of Economics and Business

Department of Accounting and Finance

Greece

City University London - Cass Business School - Faculty of Finance

Honorary Senior Visiting Fellow

London, EC2Y 8HB

Great Britain

EDHEC Risk Institute

Research Associate

Lille

France

  • Bank of America - Bank of America Merrill Lynch

  • Athens University of Economics and Business

  • City University London - Cass Business School - Faculty of Finance

  • EDHEC Risk Institute

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 10,182

SSRN RANKINGS

Top 10,182

in Total Papers Downloads

4,590

SSRN CITATIONS
Rank 20,480

SSRN RANKINGS

Top 20,480

in Total Papers Citations

4

CROSSREF CITATIONS

33

Scholarly Papers (29)

Actions:
Email selected abstracts
1.

Dynamic Asset Allocation with Liabilities

European Financial Management, Forthcoming
Number of pages: 67 Posted: 03 May 2012 Last Revised: 22 Nov 2016
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, University of Nottingham and EDHEC Business School
Downloads 627 (41,753)

Abstract:

Loading...

Strategic Asset Allocation, Dynamic Asset Allocation, Asset–Liability Management

2.

Some Insiders are Indeed Smart Investors

Number of pages: 21 Posted: 16 Jul 2008 Last Revised: 31 Jul 2008
Daniel Giamouridis, Manolis Liodakis and Andy Moniz
Bank of America - Bank of America Merrill Lynch, Citigroup, Inc. and Deutsche Bank AG (London)
Downloads 546 (49,906)
Citation 2

Abstract:

Loading...

3.

The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager’s Perspective

European Financial Management, Forthcoming
Number of pages: 44 Posted: 09 Jul 2010 Last Revised: 03 Oct 2013
Daniel Giamouridis and Chris H. Montagu
Bank of America - Bank of America Merrill Lynch and Citi Investment Research
Downloads 534 (51,363)

Abstract:

Loading...

Capital markets, Valuation, Market efficiency, Portfolio Strategies

4.

The Informational Content of Financial Options for Quantitative Asset Management: A Review

HANDBOOK OF QUANTITIVE ASSET MANAGEMENT, B. Scherer, K. Winston, ed., Oxford University Press, Forthcoming
Number of pages: 36 Posted: 01 Nov 2009 Last Revised: 29 Mar 2012
Daniel Giamouridis and George S. Skiadopoulos
Bank of America - Bank of America Merrill Lynch and Queen Mary, University of London, School of Economics and Finance
Downloads 527 (52,259)

Abstract:

Loading...

Beta, Implied distributions, Implied volatility, Options, Portfolio construction, Stock selection, Value-at-Risk

5.

The Role of Commodities in Strategic Asset Allocation

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 53 Posted: 10 Aug 2014 Last Revised: 05 Jan 2015
Daniel Giamouridis, Athanasios Sakkas and Nikolaos Tessaromatis
Bank of America - Bank of America Merrill Lynch, University of Nottingham and EDHEC Business School
Downloads 368 (80,808)
Citation 1

Abstract:

Loading...

Strategic Asset Allocation; Dynamic Asset Allocation; Asset Management; Asset-Liability Management; Commodities; Factor Premia; Momentum; Basis

6.

Revisiting Mutual Fund Performance Evaluation

Journal of Banking and Finance, Vol. 37, No. 5, pp. 1759-1776, May 2013
Number of pages: 61 Posted: 13 Feb 2012 Last Revised: 03 Oct 2013
Timotheos Angelidis, Daniel Giamouridis and Nikolaos Tessaromatis
University of Peloponnese - Department of Economics, Bank of America - Bank of America Merrill Lynch and EDHEC Business School
Downloads 366 (81,335)
Citation 2

Abstract:

Loading...

Mutual funds, short-term performance, market timing, factor timing

7.

The Information Content of Cross-Market Deviations in Option Prices and Credit Default Swap Spreads

Number of pages: 51 Posted: 25 Jan 2012 Last Revised: 12 Jul 2013
Georgios Angelopoulos, Daniel Giamouridis and Georgios Nikolakakis
Bank of England, PRA, Bank of America - Bank of America Merrill Lynch and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 320 (94,646)
Citation 2

Abstract:

Loading...

credit equity market integration, equity return predictability, capital structure arbitrage

8.

Short-Term Persistence in Greek Mutual Fund Performance

Number of pages: 26 Posted: 07 Jan 2008 Last Revised: 31 Oct 2009
Daniel Giamouridis and Konstantinos Sakellariou
Bank of America - Bank of America Merrill Lynch and EFG MFMC S.A.
Downloads 313 (97,019)

Abstract:

Loading...

Mutual funds, short-term performance, parametric tests, non-parametric tests

9.

Implied Pdfs: Estimation, Testing and Applications in the Eurodollar Market

Cass Business School Research Paper
Number of pages: 41 Posted: 21 Jul 2004
Daniel Giamouridis
Bank of America - Bank of America Merrill Lynch
Downloads 258 (119,199)

Abstract:

Loading...

10.

Inferring the Value of Intangible Assets

Number of pages: 54 Posted: 19 Mar 2011 Last Revised: 04 Sep 2012
Georgios Angelopoulos, Daniel Giamouridis and Orestes Vlismas
Bank of England, PRA, Bank of America - Bank of America Merrill Lynch and Athens University of Economics and Business - Department of Accounting and Finance
Downloads 210 (146,066)
Citation 1

Abstract:

Loading...

M41, J24, G12, G14

11.

Regular(Ized) Hedge Fund Clones

Downloads 198 (154,447)
Citation 11

Regular(Ized) Hedge Fund Clones

CAREFIN Research Paper No. 1/09
Number of pages: 34 Posted: 08 May 2010
Daniel Giamouridis and Sandra Paterlini
Bank of America - Bank of America Merrill Lynch and University of Trento - Department of Economics and Management
Downloads 198 (154,260)
Citation 1

Abstract:

Loading...

Regular(Ized) Hedge Fund Clones

Journal of Financial Research, Vol. 33, No. 3, pp. 223-247, September 2010
Posted: 12 Feb 2009 Last Revised: 08 Oct 2010
Daniel Giamouridis and Sandra Paterlini
Bank of America - Bank of America Merrill Lynch and University of Trento - Department of Economics and Management

Abstract:

Loading...

Hedge Funds, Replication, Portfolio Management, Index Tracking, Norm-constrained portfolios

12.

Hedge Fund Return Predictability in the Presence of Model Uncertainty and Implications for Wealth Allocation

Number of pages: 31 Posted: 26 Sep 2008
Ioannis D. Vrontos and Daniel Giamouridis
Athens University of Economics and Business and Bank of America - Bank of America Merrill Lynch
Downloads 197 (155,180)
Citation 3

Abstract:

Loading...

Predictability, model uncertainty, Bayesian model search, dynamic covariances/correlations, multivariate GARCH

13.

The Power of Words in Capital Markets: SEC Comment Letters on Foreign Issuers and the Impact of Domestic Enforcement

Number of pages: 68 Posted: 27 Jun 2018
Daniel Giamouridis, Kleopatra Koulikidou and Stergios Leventis
Bank of America - Bank of America Merrill Lynch, International Hellenic University - School of Economics and Business Administration; International Hellenic University (IHU) and International Hellenic University - School of Economics and Business Administration
Downloads 122 (231,987)

Abstract:

Loading...

Enforcement, SEC Comment Letters, Textual Analysis, Tone, Investor Reaction

14.

Predicting European Takeover Targets

European Financial Management, Vol. 15, No. 2, pp. 430-450, March 2009
Number of pages: 21 Posted: 27 Apr 2009
Gurvinder Brar, Daniel Giamouridis and Manolis Liodakis
Citigroup, Inc., Bank of America - Bank of America Merrill Lynch and Citigroup, Inc.
Downloads 4 (626,856)
Citation 1
  • Add to Cart

Abstract:

Loading...

15.

Systematic Investment Strategies

Financial Analysts Journal, Vol. 73, No. 4, 2017
Posted: 07 Dec 2017
Daniel Giamouridis
Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

16.

The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager's Perspective

European Financial Management, Vol. 20, Issue 1, pp. 152-178, 2014
Number of pages: 27 Posted: 12 Dec 2013
Daniel Giamouridis and Chris H. Montagu
Bank of America - Bank of America Merrill Lynch and Citi Investment Research
Downloads 0 (674,029)
  • Add to Cart

Abstract:

Loading...

capital markets, valuation, market efficiency, portfolio strategies

17.

A Risk-Oriented Model for Factor Timing Decisions

Posted: 12 Oct 2012 Last Revised: 18 Dec 2013
Keith L. Miller, Hong Li, Tiffany Zhou and Daniel Giamouridis
Independent, University of Chicago, Independent and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

18.

Size Rotation in the US Equity Market

Journal of Portfolio Management, Vol. 39, No. 2, pp. 116-127-55, Winter 2013
Posted: 18 May 2012 Last Revised: 18 Dec 2013
Keith L. Miller, Chee Ooi, Hong Li and Daniel Giamouridis
Independent, Independent, University of Chicago and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

Size Rotation, Decision Tree

19.

Risk Reduction in Style Rotation

Journal of Portfolio Management, Vol. 38, No. 2, pp. 44-55, Winter 2012
Posted: 09 Jul 2010 Last Revised: 12 Feb 2013
Martos Rodrigo Dupleich Ulloa, Daniel Giamouridis and Chris H. Montagu
Independent, Bank of America - Bank of America Merrill Lynch and Citi Investment Research

Abstract:

Loading...

Style Rotation, Equity Portfolio Strategies, Portfolio Construction

20.

Bayesian Approaches for Portfolio Construction: A Review

RETHINKING RISK MEASUREMENT AND REPORTING, UNCERTAINTY, BAYESIAN ANALYSIS AND EXPERT JUDGEMENT, Vol. I, pp. 361-384, K. Bocker, ed., Risk Books
Posted: 15 Jun 2010 Last Revised: 05 Sep 2011
Daniel Giamouridis
Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

Portfolio Construction, Estimation Risk, Model Uncertainty, Black-Litterman, Bayesian Approaches

21.

Unbundling Common Style Exposures, Time Variance and Style Timing of Hedge Fund Beta

Journal of Asset Management, Vol. 11, No. 1, pp. 19-30, April 2010
Posted: 07 Oct 2008 Last Revised: 02 Oct 2012
Martos Rodrigo Dupleich Ulloa, Daniel Giamouridis, Spyros Mesomeris and Nima Noorizadeh
Independent, Bank of America - Bank of America Merrill Lynch, Deutsche Bank AG (London) and Citigroup, Inc.

Abstract:

Loading...

22.

Hedge Fund Pricing and Model Uncertainty

Journal of Banking and Finance, Vol. 32, No. 5, pp. 741-753, May 2008
Posted: 10 Oct 2006 Last Revised: 17 Jul 2008
Spyridon D. Vrontos, Ioannis D. Vrontos and Daniel Giamouridis
University of Piraeus - Department of Statistics and Insurance Science, Athens University of Economics and Business and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

Model uncertainty, Hedge funds, GARCH, Bayesian model avereging, MCMC

23.

A Comparison of Alternative Approaches for Determining the Downside Risk of Hedge Fund Strategies

Journal of Futures Markets, Vol. 29, No. 3, pp. 244-269, March 2009
Posted: 03 Oct 2006 Last Revised: 07 May 2009
Daniel Giamouridis and Ioanna Ntoula
Bank of America - Bank of America Merrill Lynch and Eurobank EFG - Risk Analyst, Methods and Measures Division, Markets Risk Management Sector

Abstract:

Loading...

Value at Risk, Expected Shortfall, Hedge Funds, GARCH, Backtesting

24.

Approximate Basket Option Valuation for a Simplified Jump Process

Journal of Futures Markets, Vol. 27, No. 9, pp. 819-837, September 2007
Posted: 03 Oct 2006 Last Revised: 24 Mar 2008
Dimitris Flamouris and Daniel Giamouridis
ABN Amro and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

25.

Estimation Risk in Financial Risk Management: A Correction

Journal of Risk, Vol. 8, No. 4, pp. 121-125, Summer 2006
Posted: 04 Apr 2006 Last Revised: 01 Jun 2008
Daniel Giamouridis
Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

Estimation risk, Expected Shortfall, Cornish-Fisher approximation, Gram-Charlier approximation, point forecasts

26.

Hedge Fund Portfolio Construction: A Comparison of Static and Dynamic Approaches

Journal of Banking and Finance, Vol. 31, No. 1, pp. 199-217, January 2007
Posted: 07 Feb 2006 Last Revised: 24 Mar 2008
Daniel Giamouridis and Ioannis D. Vrontos
Bank of America - Bank of America Merrill Lynch and Athens University of Economics and Business

Abstract:

Loading...

Hedge fund portfolios, dynamic covariances/correlations, multivariate GARCH, regime switching, CVaR

27.

Estimating Implied Pdfs from American Options on Futures: A New Semi-Parametric Approach

Journal of Futures Markets , Vol. 22, No. 1, pp. 1-30, January 2002
Posted: 30 Jul 2004 Last Revised: 24 Mar 2008
Dimitris Flamouris and Daniel Giamouridis
ABN Amro and Bank of America - Bank of America Merrill Lynch

Abstract:

Loading...

28.

The Relation between Return and Volatility in the Commodity Markets

Journal of Alternative Investments, Vol. 22, No.1, pp. 54-62, Summer 2001
Posted: 21 Jul 2004 Last Revised: 24 Mar 2008
Daniel Giamouridis and Michael Tamvakis
Bank of America - Bank of America Merrill Lynch and City University London - Sir John Cass Business School

Abstract:

Loading...

29.

Asymptotic Distribution Expansions in Option Pricing

Journal of Derivatives, Vol. 9, No. 4, pp. 33-44, Summer 2002
Posted: 21 Jul 2004 Last Revised: 24 Mar 2008
Daniel Giamouridis and Michael Tamvakis
Bank of America - Bank of America Merrill Lynch and City University London - Sir John Cass Business School

Abstract:

Loading...