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

SCHOLARLY PAPERS

29

DOWNLOADS
Rank 10,088

SSRN RANKINGS

Top 10,088

in Total Papers Downloads

4,522

CITATIONS
Rank 19,279

SSRN RANKINGS

Top 19,279

in Total Papers Citations

16

Scholarly Papers (29)

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 Southampton and EDHEC Business School
Downloads 617 (41,283)

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 538 (49,294)
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 532 (50,035)

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 University of Piraeus
Downloads 524 (51,033)
Citation 3

Abstract:

Loading...

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

5.

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 360 (80,426)

Abstract:

Loading...

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

6.

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 Southampton and EDHEC Business School
Downloads 357 (81,167)

Abstract:

Loading...

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

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
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 318 (92,530)

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 311 (94,877)
Citation 1

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 253 (118,117)

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 208 (143,153)

Abstract:

Loading...

M41, J24, G12, G14

11.

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 (150,591)
Citation 1

Abstract:

Loading...

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

12.
Downloads 196 (151,348)
Citation 1

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 196 (151,210)
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

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 107 (247,714)

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 (604,232)
Citation 5
  • 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 (650,406)
  • 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
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
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...