Munich Personal RePEc Archive

Items where Subject is "G - Financial Economics > G1 - General Financial Markets > G11 - Portfolio Choice; Investment Decisions"

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Number of items at this level: 499.

A

Abderrazik, Amal and Boutkardine, Mehdi and El Bahi, Nour El Houda and Kartoubi, Salah Eddine and El Bouhadi, Abdelhamid (2008): Evaluation du Risque d’un Echantillon de Valeurs Mobilières de la Bourse de Casablanca.

Abu Bakar, Norhidayah and Masih, Abul Mansur M. (2014): The Dynamic Linkages between Islamic Index and the Major Stock Markets: New Evidence from Wavelet time-scale decomposition Analysis.

Aguilar-Juárez, Isabel Patricia and Venegas-Martínez, Francisco (2014): Una estrategia de inversión y cobertura mediante la combinación de notas estructuradas.

Ahmad, Tanveer and Shahzad, Syed Jawad Hussain and Rehman, Mobeen ur (2014): Industry Premiums and Systematic Risk under Terror: Empirical Evidence from Pakistan.

Al Shugaa, Ameen and Masih, Mansur (2014): Uncertainty and Volatility in MENA Stock Markets During the Arab Spring.

Albu, Lucian-Liviu and Camasoiu, Ion and Georgescu, George (1985): A quantifying method of microinvestment optimum. Published in: Revue Roumaine des Sciences Economiques , Vol. 29, No. 1 : pp. 45-54.

Alexandru, Ciprian Antoniade (2008): Trust and Loss Aversion in Romanian Capital Market.

Alfaro, Rodrigo and Silva, Carmen Gloria (2010): Stock Index Volatility: the case of IPSA.

Alghalith, Moawia (2009): General closed-form solutions to the dynamic optimization problem in incomplete markets.

Alghalith, Moawia (2009): Optimal option pricing and trading: a new theory.

Alghalith, Moawia (2009): A new stopping time and American option model: a solution to the free-boundary problem.

Alghalith, Moawia and Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Input Demand under Joint Energy and Output Prices Uncertainties.

Ali, Mohsin and Masih, Mansur (2014): Does Indian Stock Market Provide Diversification Benefits Against Oil Price Shocks? A Sectoral Analysis.

Alos, Elisa and Ewald, Christian-Oliver (2007): Malliavin differentiability of the Heston volatility and applications to option pricing.

Alpanda, Sami and Woglom, Geoffrey (2007): The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility.

Amira, Khaled and Bennour, Khaled (2010): Borrowing Constraint and the Effect of Option Introduction.

Amroush, Fadi and Baderddeen, Alkhoder and Yusef, Talal (2008): Using Artificial intelligence to select the optimal E-CRM Based business needs. Published in: International Engineering Sciences Conference IESC’08 No. 1st (2. November 0002)

Ananth, A. and Swaminathan, J. (2011): Impact of mutual fund investment in indian equity market. Published in: Indian Journal of Commerce and Management Studies , Vol. II, No. II, March 2011 (2. March 2011): pp. 228-238.

Angelidis, Timotheos and Giamouridis, Daniel and Tessaromatis, Nikolaos (2012): Revisiting Mutual Fund Performance Evaluation.

Angelidis, Timotheos and Tessaromatis, Nikolaos (2014): Global Style Portfolios Based on Country Indices. Forthcoming in: Bankers, Markets & Investors

Anginer, Deniz and Yildizhan, Celim (2009): Is there a Distress Risk Anomaly? Pricing of Systematic Default Risk in the Cross Section of Equity Returns.

Antoci, Angelo and Galeotti, Marcello and Geronazzo, Lucio (2007): Visitor and firm taxes versus environmental options in a dynamical context. Published in: Journal of Applied Mathematics , Vol. Articl, No. Volume 2007 : pp. 1-15.

Antonakakis, Nikolaos and Chatziantoniou, Ioannis and Filis, George (2014): Spillovers between oil and stock markets at times of geopolitical unrest and economic turbulence.

Antonakakis, Nikolaos and Kizys, Renatas and Floros, Christos (2014): Dynamic Spillover Effects in Futures Markets.

Antonakakis, Nikolaos and Vergos, Konstantinos (2012): Sovereign Bond Yield Spillovers in the Euro Zone During the Financial and Debt Crisis.

Antoniades, Adonis (2013): Liquidity Risk and the Credit Crunch of 2007-2009: Evidence from Micro-Level Data on Mortgage Loan Applications.

Ardia, David and Boudt, Kris and Carl, Peter and Mullen, Katharine M. and Peterson, Brian (2010): Differential Evolution (DEoptim) for Non-Convex Portfolio Optimization.

Ardliansyah, Rifqi (2012): Stock Market Integration and International Portfolio Diversification between U.S. and ASEAN Equity Markets.

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2011): Asymmetric Loss Functions and the Rationality of Expected Stock Returns. Published in: International Journal of Forecasting , Vol. 27, No. 2 (April 2011): pp. 413-437.

Aretz, Kevin and Bartram, Söhnke M. and Pope, Peter F. (2010): Macroeconomic Risks and Characteristic-Based Factor Models. Published in: Journal of Banking and Finance , Vol. 34, No. 6 (June 2010): pp. 1383-1399.

Arif, Imtiaz and Suleman, Tahir (2014): Terrorism and Stock Market Linkages: An Empirical Study from Pakistan.

Arkes, Hal and Hirshleifer, David and Jiang, Danling and Lim, Sonya (2007): A Cross-Cultural Study of Reference Point Adaptation: Evidence from the China, Korea, and the US.

Astudillo, Alfonso and Braun, Matias and Castaneda, Pablo (2011): The Going Public Decision and the Structure of Equity Markets. Published in: journal of international money and finance , Vol. 7, No. 30 (November 2011): pp. 1451-1470.

Avino, Davide and Lazar, Emese (2012): Rethinking Capital Structure Arbitrage.

Ayala, Alfonso (2011): Algunos conceptos sobre la evaluación de portafolios de inversión.

B

BOUKEF JLASSI, NABILA and HAMDI, HELMI (2013): Financial liberalization, disaggregated capital flows and banking crisis: Evidence from developing countries. Forthcoming in: Economic Modelling

Babalos, Vassilios and Philippas, Nikolaos and Doumpos, Michael and Zompounidis, Constantin (2012): Mutual funds performance appraisal using stochastic multicriteria acceptability analysis. Published in: Applied Mathematics and Computation , Vol. 218, (2011): pp. 5693-5703.

Babbs, Simon H and Johnson, Andrew E (1999): Severe Loss Probabilities in Portfolio Credit Risk Models.

Bai, Zhidong and Li, Hua and Wong, Wing-Keung (2013): The best estimation for high-dimensional Markowitz mean-variance optimization.

Balli, Faruk and Basher, Syed Abul and Ozer-Balli, Hatice (2010): From Home Bias to Euro Bias: Disentangling the Effects of Monetary Union on the European Financial Markets. Forthcoming in: Journal of Economics and Business

Balli, Faruk and Louis, Rosmy J. and Osman, Mohammad (2008): International Portfolio Allocation and Income Smoothing: Evidence from Recent Changes in Euro Region.

Basu, Anup and Drew, Michael (2006): Appropriateness of Default Investment Options in Defined Contribution Plans: The Australian Evidence.

Batchuluun, Altantsetseg and Luo, Yulei and Young, Eric (2014): Portfolio Choice with Information-Processing Limits.

Bauer, R.M.M.J. and Cremers, K.J.M. and Frehen, R.G.P. (2010): Pension Fund Performance and Costs: Small is Beautiful.

Bell, Peter (2011): Use of put options as insurance.

Bell, Peter N (2014): Optimal Use of Put Options in a Stock Portfolio.

Bell, Peter Newton (2014): Choosing put option parameters based on quantiles from the distribution of portfolio value.

Bell, Peter Newton (2014): Properties of time averages in a risk management simulation.

Bennour, Khaled (2011): On the demand pressure hypothesis in option markets: the case of a redundant option.

Bernard, Carole and Ghossoub, Mario (2009): Static Portfolio Choice under Cumulative Prospect Theory.

Berstein, Solange and Chumacero, Rómulo (2010): VaR Limits for Pension Funds: An Evaluation.

Bhattacharyya, Surajit (2008): Determinants of Corporate Investment: Post Liberalization Panel Data Evidence from Indian Firms.

Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Political orientation of government and stock market returns.

Bialkowski, Jedrzej and Gottschalk, Katrin and Wisniewski, Tomasz (2006): Stock market volatiltity around national elections.

Bijapur, Mohan and Croci, Manuela and Zaidi, Rida (2012): Do Asset Regulations Impede Portfolio Diversification? Evidence from European Life Insurance Funds.

Blake, David and Timmermann, Allan and Tonks, Ian and Wermers, Russ (2010): Decentralized investment management: evidence from the pension fund industry.

Blake, David and Wright, Douglas and Zhang, Yumeng (2011): Age dependent investing: Optimal funding and investment strategies in defined contribution pension plans when members are rational life cycle financial planners.

Blake, David and Wright, Douglas and Zhang, Yumeng (2011): Target-driven investing: Optimal investment strategies in defined contribution pension plans under loss aversion.

Blanchard, Michel and Bernard, philippe (2013): The performance of mutual funds on French stock market:Do star funds’ managers exist or do funds have to hire chimpanzees?

Blanchard, michel and Bernard, philippe (2011): The performance of amateur traders on a public internet site: a case of a stock-exchange contest.

Bolgun, Evren and Kurun, Engin and Guven, Serhat (2009): Dynamic Pairs Trading Strategy For The Companies Listed In The Istanbul Stock Exchange.

Borsje, Jethro and Levering, Leonard and Embregts, Hanno and Frasincar, Flavius (2007): Hermes: an Ontology-Based News Personalization Portal.

Boudriga, Abdelkader and Ben Slama, Sarra and Boulila, Neila (2009): What determines IPO underpricing ? Evidence from a frontier market.

Broll, Udo and Ergozue, Martin and Welzel, Peter and Wong, Wing-Keung (2013): Optimal Output for the Regret-Averse Competitive Firm Under Price Uncertainty.

Bruder, Benjamin and Hereil, Pierre and Roncalli, Thierry (2011): Managing sovereign credit risk in bond portfolios.

Bruder, Benjamin and Roncalli, Thierry (2012): Managing risk exposures using the risk budgeting approach.

Bulla, Jan and Mergner, Sascha and Bulla, Ingo and Sesboüé, André and Chesneau, Christophe (2010): Markov-switching Asset Allocation: Do Profitable Strategies Exist?

Bundala, Ntogwa (2012): Do Economic Growth, Human Development and Political Stability favour sovereign Creditworthiness of a Country? A Cross Country Survey on Developed and Developing Countries. Published in: International Journal of Advances in Management and Economics , Vol. Vol. 1, No. Issue No.1 (February 2013): pp. 32-46.

Bunea-Bontaş, Cristina Aurora and Petre, Mihaela Cosmina and Culiţă, Gica (2009): Issues on Hedge Effectiveness Testing.

C

Cadogan, Godfrey (2010): Canonical Representation Of Option Prices and Greeks with Implications for Market Timing.

Cakir, Murat (2001): Credit Derivatives in Managing Off Balance Sheet Risks by Banks.

Callado Muñoz, Francisco Jose and González Chapela, Jorge and Utrero González, Natalia (2014): Analysis of deviance in household financial portfolio choice: evidence from Spain.

Campbell, Gareth (2010): Bubbling Dividends.

Campbell, Gareth (2010): Cross-Section of a ‘Bubble’: Stock Prices and Dividends during the British Railway Mania.

Campbell, Gareth and Turner, John (2010): ‘The Greatest Bubble in History’: Stock Prices during the British Railway Mania.

Canegrati, Emanuele (2008): In Search of Market Index Leaders: Evidence from World Financial Markets.

Canegrati, Emanuele (2008): A Non-Random Walk down Canary Wharf.

Canegrati, Emanuele (2008): Testing the CAPM: Evidences from Italian Equity Markets.

Canestraro, Davide and Dacorogna, Michel (2010): Estimating the risk-adjusted capital is an affair in the tails.

Cannon, Susanne and Col, Rebel A. (2011): How accurate are commercial-real-estate appraisals? evidence from 25 years of NCREIF sales data. Forthcoming in: Journal of Portfolio Management

Cantillo, Andres (2013): Survey of Literature on Portfolio Theory.

Cao, Henry and Han, Bing and Hirshleifer, David and Zhang, Harold (2007): Fear of the Unknown: Familiarity and Economic Decisions.

Caporin, Massimiliano and Jimenez-Martin, Juan-Angel and Gonzalez-Serrano, Lydia (2013): Currency hedging strategies, strategic benchmarks and the Global and Euro Sovereign financial crises.

Caporin, Massimiliano and Kolokolov, Aleksey and Renò, Roberto (2014): Multi-jumps.

Caratelli, Massimo (2005): Transparency between banks and their customers. information needs and public intervention.

Carfì, David (2008): Optimal boundaries for decisions. Published in: AAPP|Physical, Mathematical, and Natural Sciences , Vol. 86, No. 1 (2008): pp. 1-11.

Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research , Vol. 3, No. 192 (March 2009)

Carlo Alberto, Magni (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Carretta, Alessandro and Mattarocci, Gianluca (2005): Funds of funds portfolio composition and its impact on the performance: evidence from the Italian market.

Carretta, Alessandro and Mattarocci, Gianluca (2005): The performance evaluation of hedge funds: a comparison of different approaches using European data.

Castaneda, Pablo (2006): Long Term Risk Assessment in a Defined Contribution Pension System.

Castaneda, Pablo (2005): Portfolio Choice and Benchmarking: The Case of the Unemployment Insurance Fund in Chile.

Cazalet, Zelia and Grison, Pierre and Roncalli, Thierry (2013): The Smart Beta Indexing Puzzle.

Cebula, Richard and Barth, James and Belton, Willie (1994): A Tobit Analysis of Determinants of Geographic Differentials in the Commercial Bank Closing Rate in the United States. Published in: Rivista Internazionale di Scienze Economiche e Commerciali , Vol. 42, No. 10-11 (25. November 1995): pp. 863-869.

Chalabi, Yohan and Wuertz, Diethelm (2012): Portfolio optimization based on divergence measures.

Chan, Raymond H. and Clark, Ephraim and Wong, Wing-Keung (2012): On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors.

Chandra, Abhijeet (2008): Decision Making in the Stock Market: Incorporating Psychology with Finance. Published in: Conference Proceedings: FFMI 2008 IIT Kharagpur (29. December 2008): pp. 461-483.

Chandra, Abhijeet and Kumar, Ravinder (2011): Determinants of Individual Investor Behaviour: An Orthogonal Linear Transformation Approach.

Chang, Bisharat (2014): Financial Analysis of Industrial Portfolios in Pakistan: A Comparative Analysis of Pre 9/11 and Post 9/11Period.

Chang, Bisharat (2014): Financial Analysis of Industrial Portfolios in Pakistan: A Comparative Analysis of Pre 9/11 and Post 9/11Period.

Chang, Chia-Lin and Hu, Shing-Yang and Yu, Shih-Ti (2014): Recent Developments in Quantitative Finance: An Overview.

Chang, Yanqin (2007): high level of international risk sharing when the productivity growth contains long run risk.

Charlin, Ventura and Cifuentes, Arturo (2013): A new financial metric for the art market.

Chatti, Mohamed Ali and Kablan, Sandrine and Yousfi, Ouidad (2010): Activity diversification and performance of Islamic banks in Malaysia.

Chatti, Mohamed Ali and Kablan, Sandrine and Yousfi, Ouidad (2010): Activity diversification and performance of Islamic banks in Malaysia.

Chia, Rui Ming Daryl and Lim, Kai Jie Shawn (2012): The Attenuation of Idiosyncratic Risk under Alternative Portfolio Weighting Strategies: Recent Evidence from the UK Equity Market. Published in: International Journal of Economics and Finance , Vol. 4, No. 11 : pp. 1-14.

Chilarescu, Constantin (2007): An Alternative Approach to Portfolio Selection Problem via Stochastic Differential Delay Equations.

Chiny, Faycal (2013): Le Processus d’Investissement En Présence Du Risque : Quel Enchainement Suivre ?

Chong, Zhiwei (2010): Rational expectations equilibrium with transaction costs in financial markets.

Cicchetti, Paul and Dale, Charles and Vignola, Anthony (1981): Usefulness of Treasury Bill Futures as Hedging Instruments. Published in: Journal of Futures Markets , Vol. 1, No. 3 (1981): pp. 379-387.

Cifarelli, Giulio and Paladino, Giovanna (2009): Oil and portfolio risk diversification.

Cimadomo, Jacopo and Hauptmeier, Sebastian and Zimmermann, Tom (2012): Fiscal consolidations and banking stability.

Ciuiu, Daniel (2011): Homogeneity tests for Levy processes and applications. Published in: Romanian Journal of Mathematics and Computer Science , Vol. 1, (December 2011): pp. 37-50.

Climent-Hernández, José Antonio and Venegas-Martínez, Francisco and Ortiz-Arango, Francisco (2014): Portafolio óptimo y productos estructurados en mercados alpha-estables: un enfoque de minimización de riesgo.

Collan, Mikael and Fullér, Robert and József, Mezei (2008): A Fuzzy Pay-off Method for Real Option Valuation.

Collina, Stefano (2009): Islamic equity funds: an Italian perspective.

Collina, Stefano (2009): Islamic equity funds: an Italian perspective.

Corduneanu, Carmen and Turcas, Daniela (2008): Optimizing models of a stock portfolio issued by Financial Investment Companies.

Corsini, Lorenzo and Spataro, Luca (2011): Optimal decisions on pension plans in the presence of financial literacy costs and income inequalities.

Corsini, Lorenzo and Spataro, Luca (2012): Savings for retirement under liquidity constraints: a note.

Cotter, John and Gabriel, Stuart and Roll, Richard (2011): Integration and contagion in US housing markets.

Cotter, John and Longin, Francois (2006): Implied correlation from VaR.

D

D'Erasmo, Pablo (2006): Investment and firm dynamics.

D'Erasmo, Pablo (2006): Investment and firm dynamics.

Da Costa Jr, Newton and Goulart, Marco and Cupertino, Cesar and Macedo Jr, Jurandir and Da Silva, Sergio (2013): The disposition effect and investor experience.

Dai, Darong (2011): Wealth Martingale and Neighborhood Turnpike Property in Dynamically Complete Market with Heterogeneous Investors. Forthcoming in: Economic Research Guardian

Dale, Charles and Workman, Rosemarie (1981): Measuring patterns of price movements in the Treasury bill futures market. Published in: Journal of Economics and Business , Vol. 33(2), No. Winter (1981): pp. 81-87.

Dale, Charles and Workman, Rosemarie (1980): The arc sine law and the treasury bill futures market. Published in: Financial Analysts Journal , Vol. 36, No. No. 6 (November 1980): pp. 71-74.

Das, Rituparna (2009): Computing skills in the market risk management in the G-Sec portfolio by the banks in India. Published in: Das R, Handbook of Fixed Income Securities: Indian Banking Perspective, Verlag, 2010, ISBN 978-3639255478

Daskovskiy, Vadim and Kiselyov, Vladimir (2010): Assessment of investment projects on the basis of production efficiency.

Daskovskiy, Vadim and Kiselyov, Vladimir (2010): The phased approach to time value of money in economic analysis of investment projects.

De Luca, Giovanni and Zuccolotto, Paola (2013): A Conditional Value-at-Risk Based Portfolio Selection With Dynamic Tail Dependence Clustering.

Deetz, Marcus and Poddig, Thorsten and Varmaz, Armin (2009): Klassifizierung von Hedge-Fonds durch das k-means Clustering von Self-Organizing Maps: eine renditebasierte Analyse zur Selbsteinstufungsgüte und Stiländerungsproblematik.

Demir, Firat (2008): Financial Liberalization, Private Investment and Portfolio Choice: Financialization of Real Sectors in Emerging Markets. Forthcoming in: Journal of Development Economics

Demir, Firat (2007): Private Investment and Cash Flow Relationship Revisited: Capital Market Imperfections and Financialization of Real Sectors in Emerging Markets.

Dergiades, Theologos (2011): Do Investors' Sentiment Dynamics affect Stock Returns? Evidence from the US Economy. Published in: Economics Letters , Vol. 116, No. 3 (15. September 2012): pp. 404-407.

Deuflhard, Florian and Georgarakos, Dimitris and Inderst, Roman (2014): Financial Literacy and Savings Account Returns.

Dewandaru, Ginanjar and Masih, Rumi and Bacha, Obiyathulla and Masih, A. Mansur M. (2014): Combining Momentum, Value, and Quality for the Islamic Equity Portfolio: Multi-style Rotation Strategies using Augmented Black Litterman Factor Model.

Dicembrino, Claudio and Scandizzo, Pasquale Lucio (2011): Can portfolio diversification increase systemic risk? evidence from the U.S and European mutual funds market.

Dimitriou, Dimitrios and Kenourgios, Dimitris (2012): Opportunities for international portfolio diversification in the balkans’ markets. Published in: International Journal of Economics and Research , Vol. 1, No. 3i (February 2012): pp. 1-12.

Dimitriou, Dimitrios and Mpitsios, Petros and Simos, Theodore (2011): Dynamic linkages and interdependence between Mediterranean region EMU markets during 2007 financial crisis. Published in: International Research Journal of Finance and Economics No. 71 (August 2011): pp. 70-76.

Dimitriou, Dimitrios and Simos, Theodore (2012): International portfolio diversification: An ICAPM approach with currency risk. Published in: Macroeconomics and Finance in Emerging Market Economies (8. November 2012): pp. 1-13.

Dimitriou, Dimitrios and Simos, Theodore (2011): Monetary Union effects on European stock market integration: An international CAPM approach with currency risk. Published in: International Journal of Economics and Finance , Vol. 3, No. 6 (November 2011): pp. 34-41.

Dimitriou, Dimitrios and Simos, Theodore (2011): The relationship between stock returns and volatility in the seventeen largest international stock markets: A semi-parametric approach. Published in: Modern Economy , Vol. 1, No. 2 (January 2011): pp. 1-8.

Djumashev, R (2007): Corruption, uncertainty and growth.

Dobrota, Gabriela and Chirculescu, Felicia (2007): Consolidation of the Financing Decision on the Microeconomic Level. Published in: The Annals of University of Oradea , Vol. 2, No. 16 (June 2007): pp. 288-292.

Dominique, C-Rene (2013): Estimating investors' behavior and errors in probabilistic forecasts by the Kolmogorov entropy and noise colors of non-hyperbolic attractors.

Doran, James and Jiang, Danling and Peterson, David (2008): Gambling Preference and the New Year Effect of Assets with Lottery Features.

Dressler, Scott and Li, Victor (2007): Inside Money, Credit, and Investment.

Du, Julan and Leung, Charles Ka Yui and Chu, Derek (2013): Return enhancing, cash-rich or simply empire-building? An empirical investigation of corporate real estate holdings.

Dumitriu, Ramona and Stefanescu, Razvan and Nistor, Costel (2010): Systematic risks for the financial and for the non-financial Romanian companies. Published in: The Proceedings of the International Conference CKS 2010, “Challenges of the Knowledge Society”, Bucharest, April 23-24, 2010 – 4th Edition (4. August 2010): pp. 1786-1795.

E

El Bouhadi, A. and Ounir, A. and El Maguiri, M. (2008): Construction d’un portefeuille efficient : Application empirique à partir d’un échantillon de valeurs cotées à la Bourse des Valeurs de Casablanca.

El-Khatib, Youssef and Hatemi-J, Abdulnasser (2013): On the pricing and hedging of options for highly volatile periods.

Ellouz, Siwar and Bellalah, Mondher (2007): Asset pricing and predictability of stock returns in the french market.

Estrada, Fernando (2012): Asymmetric information and financial markets.

Estrada, Fernando (2010): Theory of argumentation in financial markets.

Evans, Olaniyi (2013): Growth Effects of Financial Integration and Financial Deepening in Selected Sub-Saharan African Economies: a Panel-Data Approach.

Ewald, Christian-Oliver and Xiao, Yajun (2007): INFORMATION : PRICE AND IMPACT ON GENERAL WELFARE AND OPTIMAL INVESTMENT. AN ANTICIPATIVE STOCHASTIC DIFFERENTIAL GAME MODEL.

F

FARUQUE, MUHAMMAD U (2011): An empirical investigation of the arbitrage pricing theory in a frontier stock market: evidence from Bangladesh. Published in: Indian Journal of Economics and Business , Vol. 10, No. 04 (1. December 2011): pp. 443-465.

Fan, Jianqing and Liao, Yuan and Shi, Xiaofeng (2013): Risks of large portfolios.

Fan, Qinbin and Jahan-Parvar, Mohammad R. (2009): US Industry-Level Returns and Oil Prices.

Faruk, Balli (2006): New Patterns in International Portfolio Allocation and Income Smoothing.

Ferreira Filipe, Sara and Grammatikos, Theoharry and Michala, Dimitra (2014): Pricing Default Risk: The Good, The Bad, and The Anomaly.

Ferstl, Robert and Weissensteiner, Alex (2009): Asset-Liability Management under time-varying Investment Opportunities.

Finke, Michael and Pfau, Wade Donald and Williams, Duncan (2011): Spending flexibility and safe withdrawal rates.

Fonseca, Nelson and Bressan, Aureliano and Iquiapaza, Robert and Guerra, João (2007): Análise do Desempenho Recente de Fundos de Investimento no Brasil. Published in: Contabilidade Vista & Revista , Vol. 1, No. 18 (March 2007): pp. 95-116.

Foster, Jarred (2011): Target variation in a loss avoiding pension fund problem.

Fulbert, Tchana Tchana and Georges, Tsafack (2013): The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance.

Fulli-Lemaire, Nicolas (2012): Alternative Inflation Hedging Portfolio Strategies: Going Forward Under Immoderate Macroeconomics. Forthcoming in: Alternative Investment Analyst Review, CAIA No. Summer/Fall (2013)

Fulli-Lemaire, Nicolas and Palidda, Ernesto (2012): Swapping headline for core inflation: an asset liability management approach.

Fung, Ka Wai Terence and Wan, Wilson (2013): The Impact of Merger and Acquisition on Value at Risk (VaR): A Case Study of China Eastern Airline. Published in: International Research Journal of Finance and Economics No. 110 (2013)

Funk, Matt (2011): On the evolutionary stability of the Uruguayan Savanna.

G

Gaivoronski, A and Stella, F (2000): Nonstationary Optimization Approach for Finding Universal Portfolios. Published in: Annals of Operations Research , Vol. 100, (2000): pp. 165-188.

Garcia-Fronti, Javier (2008): A Short Note on the Infinite Decision Puzzle.

Gavazza, Alessandro (2011): Demand Spillovers and Market Outcomes in the Mutual Fund Industry.

Gerasimchuk, Ivetta and Ilyumzhinova, Kamila and Schorn, Alistair and Kraft, Georg and Smith, Kevin and Lottmann, Juergen and Eckstein, Mark and Khmeleva, Ekaterina and Perelet, Renat and Shvarts, Evgeny (2009): Pure Profit for Russia: Benefits of Responsible Finance.

Ghassan, Hassan B. and Alhajhoj, Hassan R. (2012): أثر تحرير سوق رأس المال على التذبذب في سوق الأسهم السعودي. Published in: Journal of Development and Economic Policies , Vol. 14, No. 2 (2012): pp. 7-39.

Ghossoub, Mario (2010): Supplement to "Belief heterogeneity in the Arrow-Borch-Raviv insurance model".

Gilroy, Bernard Michael and Lukas, Elmar (2004): Optionen der Internationalisierung: Motive ausländischer Direktinvestitionen in einem neuen Licht.

Giofré, Maela M. (2008): Bias in foreign equity portfolios: households versus professional investors.

Giofré, Maela M. (2009): The Role of Information Asimmetries and Inflation Hedging in International Equity Portfolios. Forthcoming in: Journal of Multinational Financial Management

Giofré, Maela/M. (2008): Convergence of EMU Equity Portfolios.

Giofré, Maela/M. (2008): EMU Effects on Stock Markets: From Home Bias to Euro Bias. Published in: International Research Journal of Finance and Economics No. 15 (May 2008): pp. 128-150.

Giofré, Maela/M. (2009): Investor protection and foreign stakeholders.

Giovanis, Eleftherios (2009): Bootstrapping Fuzzy-GARCH Regressions on the Day of the Week Effect in Stock Returns: Applications in MATLAB.

Giovanis, Eleftherios (2009): The Month-of-the-year Effect: Evidence from GARCH models in Fifty Five Stock Markets.

Glushetskiy, Andrey and Minasyan, Vigen (2013): Special Legal Instruments for Placement of Shares in the Course of a Joint Stock Company Reorganization: «Stock Conversion Procedure». Published in: International Journal of Advanced Multidisciplinary Research and Review , Vol. 1, No. 1 (2013): pp. 2-21.

Golmohammadpoor Azar, Kamran (2014): Estimation of Fractal Parameters of Tehran Stock Market Groups Time Series Using Discrete Wavelet Transform. Published in: First National Conference of Applied Statistics, Department of Statistics, Islamic Azad University of Tabriz, Tabriz, Iran. (23. June 2014)

Gomes Santana Félix, Elisabete (2003): Opções reais: tipologias e sua avaliação. Published in: Actas das XIII Jornadas Hispano Lusas de Gestión Científica (2003)

Gonzales, Rolando (2009): Análisis de Portafolio con Ratios de Sharpe Remuestrados Mediante Bootstrapping.

Gool van, Peter and Muller, Franciscus Leonardus Petrus (2005): Vastgoed en ALM. Published in: ASRE Research Papers , Vol. 04, No. 2005 (September 2005)

Govori, Fadil (2013): The performance of commercial banks and the determinants of profitability: Evidence from Kosovo.

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage. Forthcoming in:

Gray, Wesley (2008): Information Exchange and the Limits of Arbitrage.

Gray, Wesley and Kern, Andrew (2008): Fundamental Value Investors: Characteristics and Performance.

Griveau-Billion, Théophile and Richard, Jean-Charles and Roncalli, Thierry (2013): A Fast Algorithm for Computing High-dimensional Risk Parity Portfolios.

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Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2014): Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors.

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Henryk, Gzyl and Silvia, Mayoral (2006): On a relationship between distorted and spectral risk measures.

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Hopfensitz, Astrid and Wranik, Tanja (2008): Psychological and environmental determinants of myopic loss aversion.

Hou, Kewei and Hirshleifer, David and Teoh, Siew Hong (2007): The Accrual Anomaly: Risk or Mispricing?

Hussain, Ashiq (2009): Equity & Stock Analysis/Valuation.

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Igan, Deniz and Pinheiro, Marcelo (2012): The effects of relative performance objectives on financial markets.

Ilhan, Bilal and Masih, Mansur (2014): Do Portfolio Diversification Opportunities exist across the Euro Zone Islamic Equity Markets? MGARCH-DCC and Wavelet Correlation Analysis.

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Janda, Karel (2009): The Origins of Czech Credit Guarantees Programs and the Value of Guarantee Fund Portfolio on Czech Stock Exchanges.

Janda, Karel and Svárovská, Barbora (2009): The Problems of Correlation in the Financial Risk Management – the Contribution of Microfinance.

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Ji, Tingting (2004): Essays on consumer portfolio choice and credit risk.

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Kaizoji, Taisei and Sornette, Didier (2008): Market Bubbles and Crashes. Published in: Encyclopedia of Quantitative Finance, John Wiley & Sons Ltd. (2009)

Kamil, Nazrol and Bacha, Obiyadulla and Masih, Mansur (2014): Is There A Diversification “Cost” of Shari’ah Compliance? Empirical Evidence from Malaysian Equities.

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Kemp-Benedict, Eric (2012): The national bioenergy investment model: Technical documentation. Published in: CIFOR Working Paper No. 88

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Kim, Woochan and Sung, Taeyoon and Wei, Shang-Jin (2014): The Diffusion of Corporate Governance to Emerging Markets: Evaluating Two Dimensions of Investor Heterogeneity.

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Kuhnen, Camelia M. and Chiao, Joan Y. (2008): Genetic Determinants of Financial Risk Taking. Published in: PLoS ONE , Vol. 2, No. 4 (February 2009)

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Lawrence, Craig and Thomas, Mathew (2008): Real Options: Applications in Public Economics.

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Magni, Carlo Alberto (2007): CAPM and capital budgeting: present versus future, equilibrium versus disequilibrium, decision versus valuation.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity.

Magni, Carlo Alberto (2006): CAPM-based capital budgeting and nonadditivity. Forthcoming in: Journal of Property Finance and Investment , Vol. 5, No. 26 (2008)

Magni, Carlo Alberto (2007): Correct or incorrect application of CAPM? Correct or incorrect decisions with CAPM? Forthcoming in: European Journal of Operational Research

Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (6. September 2000): pp. 163-170.

Magni, Carlo Alberto (2000): Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value. Published in: Proceedings of the XXIV Annual AMASES Conference No. September 6-9th (6. September 2000): pp. 163-170.

Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Forthcoming in: The ICFAI Journal of Applied Finance

Magni, Carlo Alberto (2005): Economic profit, NPV, and CAPM: Biases and violations of Modigliani and Miller's Proposition I. Published in: The ICFAI Journal of Applied Finance , Vol. 14, No. 10 (October 2008): pp. 59-72.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making.

Magni, Carlo Alberto (2005): Firm Value and the mis-use of the CAPM for valuation and decision making. Forthcoming in: Applied Economics Research Bulletin (Peer-Reviewed Working Paper Series) (2009)

Magni, Carlo Alberto (2007): In search of the "lost capital". A theory for valuation, investment decisions, performance measurement.

Magni, Carlo Alberto (2005): Investment decisions, net present value and bounded rationality.

Magni, Carlo Alberto (2007): Investment decisions, net present value and bounded rationality. Forthcoming in: Quantitative Finance

Magni, Carlo Alberto (2000): Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach. Published in: Finanza marketing e produzione , Vol. 4, No. 18 (December 2000): pp. 31-59.

Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital.

Magni, Carlo Alberto (2007): Measuring performance and valuing firms: In search of the lost capital.

Magni, Carlo Alberto (2005): On decomposing net final values: EVA, SVA, and shadow project. Published in: Theory and Decision , Vol. 59, (2005): pp. 51-95.

Magni, Carlo Alberto (2003): Opportunity cost, excess profit and counterfactual conditionals. Forthcoming in: Frontiers in Finance and Economics

Magni, Carlo Alberto (2007): Project selection and equivalent CAPM-based investment criteria. Published in: Applied Financial Economics Letters , Vol. 3, No. 2 (2007): pp. 165-168.

Magni, Carlo Alberto (2007): Project valuation and investment decisions: CAPM versus arbitrage. Published in: Applied Financial Economics Letters , Vol. 3, No. 1 (March 2007): pp. 137-140.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2007): Residual income and value creation: An investigation into the lost-capital paradigm.

Magni, Carlo Alberto (2000): Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico. Published in: Finanza Marketing e Produzione , Vol. 4, No. 19 (December 2001): pp. 94-119.

Magni, Carlo Alberto (2008): Splitting Up Value: A Critical Review of Residual Income Theories. Forthcoming in: European Journal of Operational Research

Magni, Carlo Alberto (2007): A Sum&Discount method for appraising firms:An illustrative example.

Magni, Carlo Alberto (2000): Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream.

Magni, Carlo Alberto (2005): THEORETICAL FLAWS IN THE USE OF THE CAPM FOR INVESTMENT DECISIONS.

Magni, Carlo Alberto (2001): Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale. Published in: Budget , Vol. 1, No. 25 (January 2001): pp. 63-71.

Manjrekar, Rajesh and Sinha, Pankaj (2010): Myopic investment view of the Indian mutual fund industry.

Martins, J. Albuquerque (2008): Reforma da Administração Pública: Antes e Depois da Democracia.

Masih, Mansur and Majid, Hamdan Abdul (2013): The Volatility and Correlations of Stock Returns of Some Crisis-Hit Countries: US, Greece, Thailand and Malaysia: Evidence from MGARCH-DCC applications.

Massmiliano, Marzo and Daniele, Ritelli and Paolo, Zagaglia (2011): Optimal trading execution with nonlinear market impact: an alternative solution method.

Mayanja, Abubaker B. and Legesi, Kenneth (2007): Risk and Return on Uganda's stock exchange. Forthcoming in: Capital Markets Journal

McAleer, Michael and Jimenez-Martin, Juan-Angel and Perez Amaral, Teodosio (2009): Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. Forthcoming in: Medium for Econometric Application , Vol. 18, No. 1 (April 2010): pp. 20-28.

Medovikov, Ivan (2014): Can Analysts Predict Rallies Better Than Crashes?

Mehar, Ayub (2006): Flow of portfolio investment among the Muslim countries: modelling and possibilities.

Mehta, Salil (2013): Sophisticated gambler’s ruin and survival chances.

Melecky, Ales and Melecky, Martin (2014): The Checks of Czechs: Optimizing the Debt Portfolio of the Czech Government.

Melecky, Martin (2010): Choosing the Currency Structure of Foreign-currency Debt: a Review of Policy Approaches.

Melo, Jean Marcio and Távora, Lamartine and Xavier, Leonardo and Lucena, Pierre (2010): Os indicadores ROE e PVPA aplicados como balizadores de estratégias de investimentos: uma análise do mercado acionário brasileiro de 1995 a 2009. Published in: Anais do X Encontro Brasileiro de Finanças (May 2010)

Meng, Channarith and Pfau, Wade Donald (2011): Retirement savings guidelines for residents of emerging market countries.

Meng, Channarith and Pfau, Wade Donald (2011): Safe withdrawal rates from retirement savings for residents of emerging market countries.

Mensah, Jones Odei and Premaratne, Gamini (2014): Exploring Diversification Benefits in Asia-Pacific Equity Markets.

Michailova, Julija (2010): Overconfidence, Risk Aversion and Individual Financial Decisions in Experimental Asset Markets.

Michailova, Julija (2010): Overconfidence, risk aversion and (economic) behavior of individual traders in experimental asset markets.

Michalski, Grzegorz (2008): Decreasing negative the delivery risk influence on the recepient's firm value: Portfolio approach. Published in: ICBE-CT 2008 (6. November 2008): pp. 50-56.

Miele, Maria Grazia (2013): The financial crisis and the credit rating agencies: the failure of reputation.

Mierzejewski, Fernando (2007): A Model of Monetary Equilibrium with Random Output and Restricted Borrowing.

Mierzejewski, Fernando (2007): The Money Demand with Random Output and Limited Access to Debt.

Mierzejewski, Fernando (2008): The optimal liquidity principle with restricted borrowing.

Mishra, Anil (2013): Measures of Equity Home Bias Puzzle.

Mlambo, Chipo and Biekpe, Nicholas (2001): Investment Basics XLIV: Review of African stock markets. Published in: Investment Analysts Journal , Vol. 54, No. 5 (December 2001): pp. 61-65.

Moawia, Alghalith (2009): Optimal option pricing and trading: a new theory.

Moawia, Alghalith (2009): A new approach to stochastic optimization: the investment-consumption model.

Modena, Matteo (2011): Agricultural commodities and financial markets.

Mokhtar, Maznita and Masih, Mansur (2014): Are diversification benefits obtainable within the same asset class? New evidence from Malaysian Islamic REITS.

Moore, Kyle and Sun, Pengei and de Vries, Casper G. and Zhou, Chen (2013): The drivers of downside equity tail risk.

Moore, Kyle and Sun, Pengfei and de Vries, Casper G. and Zhou, Chen (2013): The cross-section of tail risks in stock returns.

Muhammad, Irfan (2012): Non-standardized form of CAPM and stock returns. Published in: International Journal of Business and Social Science , Vol. 3, No. 2 (January 2012): pp. 193-201.

Murhadi, Werner-Ria (2010): Performance Evaluation Of Mutual Funds In Indonesia. Published in: ProceedingsThe 3rd National Conference on Management Research , Vol. March, No. 3rd (9. March 2010): pp. 1-12.

Muteba Mwamba, John and Suteni, Mwambi (2010): An alternative to portfolio selection problem beyond Markowitz’s: Log Optimal Growth Portfolio.

magni, Carlo Alberto (2006): Zelig and the Art of Measuring Excess Profit. Published in: Frontiers in Finance and Economics , Vol. 1, No. 3 (June 2006): pp. 103-129.

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NWAOBI, GODWIN C (2008): The Economics of Financial Derivative Instruments.

Nagayev, Ruslan and Masih, Mansur (2013): The Role of Gold as a Hedge and Safe Haven in Shariah-Compliant Portfolios.

Najeeb, Syed Faiq and Bacha, Obiyathulla and Masih, Mansur (2014): Does a held-to-maturity strategy impede effective portfolio diversification for Islamic bond (sukuk) portfolios? A multi-scale continuous wavelet correlation analysis.

Naseri, Marjan and Masih, Mansur (2014): Integration and Comovement of Developed and Emerging Islamic Stock Markets: A Case Study of Malaysia.

Nath, Golaka (2013): Repo Market – A Tool to Manage Liquidity in Financial Institutions.

Newton, Da Costa Jr and Carlos, Mineto and Sergio, Da Silva (2006): Disposition effect and gender. Forthcoming in: Applied Economics Letters

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Omer, Gamal Salih and Masih, Mansur (2014): Estimating and Forecasting Conditional Volatility and Correlations of the Dow Jones Islamic Stock Market Index Using Multivariate GARCH-DCC.

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P., Srinivasan (2011): Price Discovery and Volatility Spillovers in Indian Spot-Futures Commodity Market. Published in: The IUP Journal of Behavioral Finance , Vol. 9, No. 1 (24. March 2012): pp. 70-85.

P., Srinivasan and M., Kalaivani (2013): Stock Market Linkages in Emerging Asia-Pacific Markets.

Palombizio, Ennio A. (2007): Mutual Funds and Segregated Funds: A Comparison.

Panait, Iulian and Diaconescu, Tiberiu (2012): Particularități ale aplicării teoriei moderne a portofoliului in cazul acțiunilor listate la Bursa de Valori București.

Panousi, Vasia (2009): Capital Taxation with Entrepreneurial Risk.

Panousi, Vasia and Papanikolaou, Dimitris (2009): Investment, idiosyncratic risk, and ownership.

Pasaribu, Rowland Bismark Fernando (2010): Anomali Overreaction di bursa efek Indonesia: Penelitian Saham LQ-45. Published in: Jurnal Ekonomi dan Bisnis , Vol. 5, No. 2 (July 2011): pp. 87-115.

Pashchenko, Svetlana (2012): Accounting for non-annuitization.

Peeters, Marga and Sabri, Nidal Rachid (2012): International financial integration of Mediterranean economies : A bird’s-eye view.

Pereira Reichhardt, Joaquín and Iqbal, Tabassum (2014): Investment Decisions: Are we fully-Rational?

Perlin, M. (2007): Evaluation of pairs trading strategy at the Brazilian financial market.

Perlin, M. (2007): M of a kind: A Multivariate Approach at Pairs Trading.

Petrushchak, Bohdan (2010): Етичні мотиви інвестування в контексті екологізації національної економіки. Published in: Наукові записки Національного університету “Острозька академія”. Серія “Економіка”. No. 15 (2010): pp. 407-415.

Petrushchak, Bohdan (2011): Календарні закономірності розподілу дохідності та волатильності на українському фондовому ринку. Published in: Матеріали ІХ Міжнародної науково-практичної конференції студентів, аспірантів та молодих вчених "Шевченківська весна 2011" , Vol. 1, No. 9 (April 2011): pp. 280-282.

Petrushchak, Bohdan (2011): Концептуальні помилки багаторівневої сек’юритизації іпотечних кредитів. Published in: Materials of International Graduate and Post-Graduate Students Scientific Conference "Actual Problems of Development of the National Economy of Ukraine" (May 2011): pp. 407-409.

Petrushchak, Bohdan (2011): Календарні ефекти та аномалії на українському фондовому ринку: теорія і практика. Published in: Світ фінансів No. 2 (2011): pp. 30-40.

Petrushchak, Bohdan (2011): The calendar regularity of earnings and volatility distribution on the Ukrainian stock market. Published in: Proceedings of the 9th International Scientific Conference of Students and Young Scientists “Shevchenkivska Vesna 2011”. – 2011. – Kyiv: Taras Shevchenko National University of Kyiv. – Pages: 280–282. , Vol. 1, No. 9 (April 2011): pp. 280-282.

Pfau, Wade Donald (2011): Can We Predict the Sustainable Withdrawal Rate for New Retirees?

Pfau, Wade Donald (2011): Capital market expectations, asset allocation, and safe withdrawal rates.

Pfau, Wade Donald (2012): Choosing a retirement income strategy: a new evaluation framework.

Pfau, Wade Donald (2009): Emerging Market Pension Funds and International Diversification. Forthcoming in: Journal of Developing Areas

Pfau, Wade Donald (2011): Getting on Track for a Sustainable Retirement: A Reality Check on Savings and Work.

Pfau, Wade Donald (2011): Long-term investors and valuation-based asset allocation.

Pfau, Wade Donald (2011): Nearly optimal asset allocations in retirement.

Pfau, Wade Donald (2010): Predicting Sustainable Retirement Withdrawal Rates Using Valuation and Yield Measures.

Pfau, Wade Donald (2011): Retirement Withdrawal Rates and Portfolio Success Rates: What Can the Historical Record Teach Us?

Pfau, Wade Donald (2009): The Role of International Diversification in Public Pension Systems: The Case of Pakistan. Published in: Economic Issues , Vol. 14, No. 2 (September 2009): pp. 81-105.

Pfau, Wade Donald (2011): Safe Savings Rates: A New Approach to Retirement Planning over the Lifecycle.

Pfau, Wade Donald (2010): Will 2000-era retirees experience the worst retirement outcomes in U.S. history? A progress report after 10 years.

Pfau, Wade Donald (2011): Withdrawal Rates, Savings Rates, and Valuation-Based Asset Allocation.

Pfau, Wade Donald and Kariastanto, Bayu (2012): An international perspective on “safe” savings rates for retirement.

Piasecki, Krzysztof (2011): Rozmyte zbiory probabilistyczne jako narzędzie finansów behawioralnych. Published in: (November 2011): pp. 1-132.

Pierucci, Eleonora and Pericoli, Filippo and Ventura, Luigi (2014): Reassessing international investment patterns: a revisitation of Lane and Milesi-Ferretti's evidence.

Pillai, Rajasekharan and Carlo, Rozita and D’souza, Rachel (2010): Financial Prudence among Youth.

Piluso, Fabio and Amerise, Ilaria Lucrezia (2011): L’asset allocation dei fondi hedge durante la crisi finanziaria: un’analisi empirica.

Pinto, Cristian F. and Acuña, Andres (2011): Consistencia de la evaluación de desempeño de inversiones financieras: Pruebas de dominación estocástica versus índices media-varianza.

Pitluck, Aaron Z. (2008): Moral Behavior in Stock Markets: Islamic finance and socially responsible investment. Forthcoming in: Economics and Morality: Anthropological Approaches , Vol. 26, No. Society for Economic Anthropology (SEA) Monographs (2008)

Plantinga, Auke (2007): PERFORMANCE MEASUREMENT AND EVALUATION.

Pop, Raluca Elena (2012): Herd behavior towards the market index: evidence from Romanian stock exchange.

Portmann, David and Mlambo, Chipo (2010): Private equity and venture capital in South Africa: A comparison of project financing decisions.

Q

Qian, Hang (2011): Bayesian Portfolio Selection in a Markov Switching Gaussian Mixture Model.

Qian, Hang (2009): Bayesian Portfolio Selection with Gaussian Mixture Returns.

Qiao, Yongyuan (2008): Analysis into IPO underpricing and clustering in Hong Kong equity market.

R

Rahim, Adam Mohamed and Masih, Mansur (2014): Effects of Political Turmoil (Arab Spring) on Portfolio Diversification Benefits: Perspectives of the Moroccan Islamic Stock investors.

Rahim, Adam Mohamed and Masih, Mansur (2014): Portfolio Diversification Benefits of Islamic Stocks and Malaysia’s Major Trading Partners:MGARCH-DCC and Wavelet Correlation Approaches.

Ramosaj, Berim (2010): Challenges to Solvency II Reform in Insurance Industry.

Raza, Syed Ali and Raza, Syed Aoun and Zia, Abassi (2011): Equity mutual funds performance in Pakistan: risk & return analysis. Forthcoming in: American Journal of Scientific Research

Rebonato, Riccardo and Denev, Alexander (2011): Coherent Asset Allocation and Diversification in the Presence of Stress Events.

Rehman, Fahd (2010): Asset Allocation for Government Pension Funds in Pakistan:A Case for International Diversification. Published in: The Lahore Journal of Economics , Vol. 15:1, No. Summer 2010 (19. July 2010): pp. 127-151.

Rena, Ravinder (2007): INSURANCE INDUSTRY IN ERITREA - ACHIEVEMENTS AND CHALLENGES. Published in: Osmania Journal of International Business Studies , Vol. 2, No. 1 (5. June 2007): pp. 140-146.

Repkine, Alexandre (2008): Charting Technical Trading Rules and the Lottery of Technical Analysis: Empirical Evidence from Foreign Exchange Market.

Roncalli, Thierry (2013): Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Tactical and Strategic Asset Allocation.

Roncalli, Thierry (2013): Introduction to Risk Parity and Budgeting.

Roncalli, Thierry (2010): Understanding the Impact of Weights Constraints in Portfolio Theory.

Roncalli, Thierry and Weisang, Guillaume (2012): Risk Parity Portfolios with Risk Factors.

Roncalli, Thierry and Weisang, Guillaume (2008): Tracking problems, hedge fund replication and alternative beta.

Rossi, Francesco (2008): Enhancing balanced portfolios with cppi methodologies – insights from a simulation exercise.

Rossi, Francesco (2011): Risk components in UK cross-sectional equities: evidence of regimes and overstated parametric estimates.

Rossi, Francesco (2012): U.K. cross-sectional equity data: The case for robust investability filters. Published in: European Economics Letters , Vol. 1, No. 1 (December 2012): pp. 6-13.

Rossi, Francesco (2011): U.K. cross-sectional equity data: do not trust the dataset! The case for robust investability filters.

Ruiz-Porras, Antonio (2006): Información privilegiada, administración de riesgos y utilidades esperadas: Una aplicación de los juegos de señalización al estudio de crisis cambiarias. Forthcoming in: Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics) , Vol. 1, No. 1 (January 2007): pp. 56-63.

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Sahoo, Ganeswar (2010): International Capital Flows: An empirical study of the relationship between equity and debt investments.

Salazar, Juan and Lambert, Annick (2010): fama and macbeth revisited: A Critique. Published in: Aestimatio. The IEB International Journal of Finance No. 1 (December 2010): pp. 1-24.

Sampagnaro, Gabriele and Battaglia, Francesca (2010): Reliability and Heterogeneity of Real Estate Indexes and their Impact on the Predictability of Returns.

Sarkar, Prabirjit (2006): Stock Market Development, Capital Accumulation and Growth in India since 1950.

Sasidharan, Anand (2009): Does seasonality persists in Indian stock markets?

Saturnino, Odilon and Saturnino, Valeria and Lucena, Pierre and Carmona, Charles and Araujo, Luiz Fernando (2011): Investimento em Valor Contrário no Brasil: Overreaction ou Efeito Tamanho? Published in: Revista de Finanças Aplicadas , Vol. 1, No. 1 (January 2012): pp. 1-19.

Saturnino, Odilon and Saturnino, Valéria and Gois de Oliveira, Marcos Roberto and Lucena, Pierre and Araújo, Luiz Fernando (2012): Estratégia Contrária e Efeito Liquidez no Brasil: Uma Análise Econométrica.

Saturnino, Odilon and Saturnino, Valéria and Lucena, Pierre and Caetano, Marcelino and Florencio dos Santos, Josete (2012): Oferta Pública Inicial (IPO) de ações no Brasil: uma análise dos retornos da IPO de ações com baixo Índice Preço/Lucro (P/L).

Sawada, Michiru (2011): How does the stock market value bank diversification? Empirical evidence from Japanese banks.

Scorbureanu, Alexandrina Ioana (2013): Multi-Index Evaluation of Alternative Assets Funds. Time Lagged Effects and Linear Factors Capturing Non-linear Effects.

Sergeeva, Irina and Nikiforova, Vera (2012): The development of the portfolio management for the unit investment funds.

Sergio, Bianchi and Alessandro, Trudda (2008): Global Asset Return in Pension Funds: a dynamical risk analysis. Forthcoming in: Mathematical Methods in Economics and Finance

Shahzad, Syed Jawad Hussain and Zakaria, Muhammad and Raza, Naveed (2014): Sensitivity Analysis of CAPM Estimates: Data Frequency and Time Frame.

Shaikh, Salman (2012): Analysis of Islamic Mutual Funds Operations in Pakistan. Published in: Journal of Islamic Banking & Finance , Vol. 29, No. 3 (31. August 2012): pp. 14-23.

Shaikh, Salman (2010): Analysis of Stock Screening Principles in Islamic Mutual Funds Industry.

Shaikh, Salman (2012): Consumption & Savings Behavior in Pakistan.

Shaikh, Salman (2013): Investment Decisions by Analysts: A Case Study of KSE. Forthcoming in: 3rd IRC Proceedings, Szabist Karachi , Vol. 1, No. 1 (1. December 2013)

Shaikh, Salman (2013): Micro Foundations of Savings Behavior in Urban Pakistan. Forthcoming in: 3rd IRC Proceedings, Szabist Karachi , Vol. 1, No. 1 (1. January 2014)

Siddiqi, Hammad (2010): The relevance of coarse thinking for investors' willingness to pay: An experimental study.

Sinha, Pankaj and Chandwani, Abhishek and Sinha, Tanmay (2013): Algorithm of construction of Optimum Portfolio of stocks using Genetic Algorithm.

Sinha, Pankaj and Goyal, Lavleen (2012): Algorithm for construction of portfolio of stocks using Treynor’s ratio.

Sinha, Pankaj and Gupta, Akshay and Mudgal, Hemant (2010): Active Hedging Greeks of an Options Portfolio integrating churning and minimization of cost of hedging using Quadratic & Linear Programing.

Sinha, Pankaj and Johar, Archit (2010): Hedging Greeks for a portfolio of options using linear and quadratic programming.

Sirucek, Martin (2011): Impact of monetary policy on US stock market. Published in: Trends economics and management , Vol. V, No. 09 (September 0211): pp. 53-60.

So, Leh-chyan (2013): Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis. Forthcoming in: Annals of Financial Economics

Spataro, Luca and Corsini, Lorenzo (2013): Endogenous financial literacy, saving and stock market participation.

Steinbacher, Matjaz (2009): Acceptable Risk in a Portfolio Analysis.

Steinbacher, Matjaz (2009): Behavior of Investors on a Multi-Asset Market.

Steinbacher, Matjaz (2009): Knowledge, Preferences and Shocks in Portfolio Analysis.

Steinbacher, Matjaz (2009): The Role of Liquidity Individuals in the Decision-Making.

Steinbacher, Matjaz (2009): Value-at-Risk versus Non-Value-at-Risk Traders.

Steinbacher, Matjaz (2009): What is the “value” of value-at-risk in a simulated portfolio decision-making game?

Su, Yongyang and Lau, Marco Chi Keung (2010): Strategic asset allocation and intertemporal hedging demands: with commodities as an asset class.

Sun, David and Chow, Da-Ching (2014): Forgive, or Award, Your Debtor? - A Barrier Option Approach.

Susanne, Cannon and Rebel, Cole (2011): How Accurate Are Commercial Real Estate Appraisals? Evidence from 25 Years of NCREIF Sales Data. Published in: Journal of Portfolio Management , Vol. 35, No. 5 (31. August 2011): pp. 68-88.

Swamy, Vighneswara (2013): Euro Zone Debt Crisis: Implications for Indian Banking Sector.

Syed ali, Raza and Syed tehseen, jawaid and Imtiaz, arif and Fahim, qazi (2011): Validity of capital asset pricing model: evidence from Karachi stock exchange.

sefiane, slimane and Benbouziane, Mohamed (2012): Portfolio Selection Using Genetic Algorithm. Published in: Journal of Applied Finance & Banking , Vol. vol.2, No. no.4 (2012): pp. 143-154.

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Taboga, Marco (2004): A Simple Model of Robust Portfolio Selection.

Thapar, Rishi and Minsky, Bernard and Obradovic, M and Tang, Qi (2009): Applying a global optimisation algorithm to Fund of Hedge Funds portfolio optimisation.

Tomić, Bojan (2013): The application of the capital asset pricing model on the Croatian capital market. Published in: Financije i pravo , Vol. 1, No. 1 (2013): pp. 105-123.

Tomić, Bojan and Sesar, Andrijana and Džaja, Tomislav (2014): Komparativna analiza europskog tržišta kapitala i Dow Jones Industrial Average indeksa. Published in: Accounting and Management No. 15th International Scientific and Professional Conference (June 2014): pp. 265-283.

Torre-Gallegos, Antonio de la and Bellini, Edith (2009): Las crisis bursátiles en España y su comparación con otros mercados internacionales: Análisis de sus principales características. Published in: UNIVERSIA BUSINESS REVIEW ISSN: 1698-5117 No. CUARTO trimestre 2009 (October 2009): pp. 44-61.

Torro, Hipolit (2009): Assessing the influence of spot price predictability on electricity futures hedging.

Trabelsi, Mohamed Ali (2008): Peut-on encore parler des mesures de performance ? Published in: Revue Tunisienne d'Economie et de Gestion , Vol. Volume, (2008): pp. 265-295.

Trabelsi, Mohamed Ali (2008): Sur-réaction sur le marché tunisien des actions : une investigation empirique. Published in: La Revue des Sciences de Gestion No. 236 (March 2009): pp. 51-58.

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Van Deventer, Bart and Mlambo, Chipo (2008): Factors influencing venture capitalists' project financing decisions in South Africa. Published in: South African Journal of Business Management , Vol. 40, No. 1 (30. March 2009): pp. 33-41.

Varga, Gyorgy and Wengert, Maxim (2010): The growth and size of the Brazilian mutual fund industry.

Varsanyi, Zoltan (2009): When risk weights increase the risk: some concerns for capital regulation.

Vieira, Pedro Cosme da Costa (2010): Matemática Financeira com aplicações em Excel e R.

Vignola, Anthony and Dale, Charles (1980): The Efficiency of the Treasury Bill Futures Market: An Analysis of Alternative Specifications. Published in: Journal of Financial Research , Vol. 3, No. 2 (1980): pp. 169-188.

Vignola, Anthony and Dale, Charles (1979): Is the Futures Market for Treasury Bills Efficient? Published in: The Journal of Portfolio Management , Vol. 5, (1979): pp. 78-81.

Vignola, Anthony and Dale, Charles and Federal Reserve System, Federal Reserve Staffs (1979): Treasury/Federal Reserve Study of Treasury Futures Markets Volume I: Summary and Recommendations.

Vignola, Anthony and Dale, Charles and Federal Reserve System, Federal Reserve Staffs (1979): Treasury/Federal Reserve Study of Treasury Futures Markets Volume II: A Study by the Staffs of the U.S. Treasury and Federal Reserve System. Published in:

Vo, Xuan Vinh (2010): Foreign ownership in Vietnam stock markets - an empirical analysis.

Vymětal, Dominik (2008): Projekty informačních systémů v podnicích a jejich realizace. Published in: , Vol. ISBN 9, (29. August 2008): pp. 1-122.

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Walker, Todd and Haley, M. Ryan and McGee, M. Kevin (2009): Disparity, Shortfall, and Twice-Endogenous HARA Utility.

Weinrich, Gerd (1999): Nondegenerate Intervals of No-Trade Prices for Risk-averse Traders. Published in: Theory and Decision , Vol. 46, (1999): pp. 79-99.

Wenzelburger, Jan (2008): A Note on the Two-fund Separation Theorem.

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Xu, Guo and Wing-Keung, Wong and Lixing, Zhu (2013): Almost Stochastic Dominance for Risk-Averse and Risk-Seeking Investors.

Xu, Guo and Wing-Keung, Wong and Lixing, Zhu (2013): Comparisons and Characterizations of the Mean-Variance, Mean-VaR, Mean-CVaR Models for Portfolio Selection With Background Risk.

Y

Yamori, Nobuyoshi (2009): Characteristics of Japan’s Commodities Index and its Correlation with Stock Index.

Yamori, Nobuyoshi (2010): Co-movement between Commodity Market and Equity Market: Does Commodity Market Change?

Yildirim, Ramazan and Masih, A. Mansur M. (2014): The Effect of Recent Financial Crisis over Global Portfolio Diversification Opportunities – Empirical Evidence A Comparative Multivariate GARCH-DCC, MODWT and Wavelet Correlation Analysis.

Yilmaz, Tolgahan (2010): Improving Portfolio Optimization by DCC And DECO GARCH: Evidence from Istanbul Stock Exchange.

Yun, Tack and Kim, Jinsook and Ko, Eunmi (2012): The Role of Bounded Rationality in Macro-Finance Affine Term-Structure Models.

Yusoff, Yuzlizawati and Masih, Mansur (2014): Comovement of East and West Stock Market Indexes.

Z

Zagaglia, Paolo (2014): International portfolio allocation with European fixed-income funds: What scope for Italian funds?

Zaytsev, Alexander (2011): Эконометрический анализ динамики российских паевых инвестиционных фондов в кризисный и посткризисный периоды. Published in: collection of best papers of international conference "Lomonosov-2011" (October 2011): 06-40.

Zhang, Zhichao and Chau, Frankie and Xie, Li (2012): Strategic Asset Allocation for Central Bank’s Management of Foreign Reserves: A new approach.

Zhorin, Victor and Stef-Praun, Tiberiu (2008): Grid-enabled estimation of structural economic models.

Zvezdov, Ivelin (2012): Insurance portfolio risk aggregation and solvency capital computation with mathematical copula techniques.

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