Munich Personal RePEc Archive

Items where Subject is "G11 - Portfolio Choice ; Investment Decisions"

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Number of items at this level: 817.


Abba AHmed, Bello and Isah I, Salamatu and Aliyu Chika, Umar (2019): Risk Adjusted Performances of Conventional and Islamic Indices. Published in: Dutse Journal of Humanities and Social Sciences , Vol. 1, No. 3 (9 October 2019): pp. 45-61.

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.

Abozaid, Abdulazeem (2010): نحو صكوك إسلامية حقيقية. Published in: Journal of Islamization of Knowledge, The International Institute of Islamic Thought , Vol. 16, No. 62 (2010)

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.

Adekunle, Salami Saheed and Masih, Mansur (2017): Assessing the viability of Sukuk for portfolio diversification using MS-DCC-GARCH.

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

Ahmad, Shabbir and Alsharif, Danyah (2019): A Comparative Performance Evaluation of Islamic and Conventional Mutual Funds in Saudi Arabia.

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

Akermi, Najwa and Ben Yedder, Nadia and Bakari, Sayef (2023): Impact of Final Consumption, Domestic Investment, Exports, and Imports on Economic Growth in Albania.

Akyildirim, Erdinc and Goncu, Ahmet and Hekimoglu, Alper and Nguyen, Duc Khuong and Sensoy, Ahmet (2021): Statistical arbitrage: Factor investing approach.

Al Janabi, Mazin A.M. and Arreola Hernandez, Jose and Berger, Theo and Nguyen, Duc Khuong (2016): Multivariate dependence and portfolio optimization algorithms under illiquid market scenarios. Published in: European Journal of Operational Research , Vol. 259, No. 3 (2017): pp. 1121-1131.

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

Al-Ansari, Khalid Ahmed and Aysan, Ahmet Faruk (2021): More than ten years of Blockchain creation: How did we use the technology and which direction is the research heading?

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.

Aldubaikhi, Ammar and Alsayyed, Nidal (2011): Financial Analysis for Frontier Communications Corp. (FTR).

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 (2016): A General Optimal Investment Model in the Presence of Background Risk.

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

Ali, Hakim and Masih, Mansur (2016): Evidence of cross-country portfolio diversification benefits: The case of Saudi Arabia.

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

Allen, David (2021): Cryptocurrencies, Diversification and the COVID-19 Pandemic.

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 Mansi, Sattar and Warburton, A. Joseph and Yildizhan, Celim (2011): Firm Reputation and Cost of Debt Capital.

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

Anginer, Deniz and Yildizhan, Celim and Han, Xue Snow (2017): Do Individual Investors Ignore Transaction Costs?

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.

Appelbaum, Elie (2021): Asset Demand: A Simple Dual Approach.

Appelbaum, Elie (2021): Implicit Trade in Risk and Risk Aversion.

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.

Arfaoui, Mongi and Ben Rejeb, Aymen (2015): Return dynamics and volatility spillovers between FOREX and MENA stock markets: what to remember for portfolio choice?

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

Arjmandi, Nabi (2023): Optimal Portfolio Rebalancing with Sweep Under Transaction Cost.

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.

Armstrong, J. Scott and Brodie, Roderick J. (1994): Effects of portfolio planning methods on decision making: experimental results. Published in: International Journal of Research in Marketing No. 11 (1994): pp. 73-84.

Arouri, Mohamed El Hedi and M’saddek, Oussama and Nguyen, Duc Khuong and Pukthuanthong, Kuntara (2017): Cojumps and Asset Allocation in International Equity Markets.

Arreola Hernandez, Jose and Hammoudeh, Shawkat and Nguyen, Duc Khuong and Al Janabi, Mazin A. M. and Reboredo, Juan Carlos (2014): Global financial crisis and dependence risk analysis of sector portfolios: a vine copula approach.

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.

Avdiu, Besart and Gruhle, Tobias (2018): Contagion and information frictions in emerging markets: the role of joint signals.

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

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

Azubike, Anulika (2017): Impact of the Nigerian stock exchange on economic growth.


BAI, ZHIDONG and LIU, HUIXIA and WONG, WING-KEUNG (2016): Making Markowitz's Portfolio Optimization Theory Practically Useful.

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

BOUSALAM, Issam and HAMZAOUI, Moustapha (2016): Impact of Ethical Screening on Risk and Returns: the Case of Constructed Moroccan Islamic Stock Indexes.

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 Ghassan, Hassan B. and Al-Jefri, Essam H. (2020): Sukuk and bond spreads. Published in: Journal of Economics and Finance No. https://doi.org/10.1007/s12197-021-09545-9 (20 March 2021)

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

Banerjee, Priyodorshi and Das, Tanmoy (2015): Are Contingent Choices Consistent?

Barge-Gil, Andrés and García-Hiernaux, Alfredo (2019): Staking plans in sports betting under unknown true probabilities of the event.

Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): FIRM COMPLEXITY AND POST-EARNINGS-ANNOUNCEMENT DRIFT. Forthcoming in: Review of Accounting Studies (15 September 2022)

Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): Firm Complexity and Post-Earnings-Announcement Drift.

Barinov, Alexander and Park, Shawn Saeyeul and Yildizhan, Celim (2016): Firm Complexity and Post-Earnings-Announcement Drift.

Basharina, Olga and Baranova, Nina and Larin, Sergey (2023): Разработка и апробация цифровой модели принятия эффективных инвестиционных решений для формирования стратегий развития экономических субъектов. Published in: Economic Analysis: Theory and Practice , Vol. 22, No. 9 (28 September 2023): pp. 1699-1724.

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.

Baumöhl, Eduard and Lyócsa, Štefan (2017): Directional predictability from stock market sector indices to gold: A cross-quantilogram analysis.

Bebel, Arkadiusz (2014): Low Versus High Leverage (LVH).

Beckmann, Elisabeth and Mare, Davide Salvatore (2017): Formal and informal household savings: how does trust in financial institutions influence the choice of saving instruments?

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

Bell, Peter N (2014): On the optimal use of put options under trade restrictions.

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

Bell, Peter N (2015): Returns to tail hedging.

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.

Ben Yaala, sirine and Henchiri, jamel E. (2016): Impact of Macroeconomic and Demographic Variables on the Stock Market: Evidence from Tunisian Crisis. Published in: International Journal of Economics and Finance , Vol. 8, No. No. 8; 2016 (July 2016): pp. 194-204.

Bennaceur, Fatma and Bendob, Ali (2013): اختبار العلاقة بين يوريبور وأسعار الأسهم في البورصات الناشئة دراسة قياسية خلال الفترة 1999- 2010.

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.

Bhaduri, Saumitra and Gupta, Saurabh (2015): Understanding Investor behavior and it's implications on Capital Markets - The Indian Context.

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.

Bloznelis, Daumantas (2017): Hedging under square loss.

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

Bonga-Bonga, Lumengo and Montshioa, Keitumetse (2024): Navigating extreme market fluctuations: asset allocation strategies in developed vs. emerging economies.

Bonizzi, Bruno (2015): Institutional Investors Allocation to Emerging Markets: a Panel Approach to Asset Demand.

Bonizzi, Bruno (2015): Institutional investors and emerging markets with intermediate exchange rate regimes: A stock-flow consistent model.

Borsboom, Charlotte and Füllbrunn, Sascha (2021): Stock Price Level Effect.

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

Boubaker, Sabri and Gounopoulos, Dimitrios and Nguyen, Duc Khuong and Paltalidis, Nikos (2015): Assessing the effects of unconventional monetary policy and low interest rates on pension fund risk incentives.

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

Bouoiyour, Jamal and Selmi, Refk (2016): The infernal couple China-Oil Price and the Responses of G7 Equities: A QQ Approach.

Bradrania, Reza and Pirayesh Neghab, Davood (2021): State-dependent asset allocation using neural networks. Published in: European Journal of Finance , Vol. 28, No. 11 (12 August 2021): pp. 1130-1156.

Breckenfelder, Johannes (2013): Competition among High-Frequency Traders, and Market Quality.

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.

Bukvić, Rajko and Pavlović, Radica (2023): The Cash Flow Concept in Modern Financial Analysis of Internal Sources of Companies’ Investment Financing. Published in: Current Aspects in Business, Economics and Finance Vol. 7, ed. Prof. Olusegun Felix Ayadi, Hooghly, West Bengal – London: B P International, 2023 (2023): pp. 111-132.

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

Buncic, Daniel and Stern, Cord (2018): Forecast ranked tailored equity portfolios.

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.

Buriev, Abdul Aziz and Masih, Mansur (2015): Impact of Arab uprising on Portfolio diversification benefits at different investment horizons for the Turkish investors in relation to the regional stock markets: Multivariate GARCH-DCC and Wavelet coherence approaches.

Byrne, Joseph and Cao, Shuo and Korobilis, Dimitris (2015): Term Structure Dynamics, Macro-Finance Factors and Model Uncertainty.

Byrne, Joseph and Fu, Rong (2016): Stock Return Prediction with Fully Flexible Models and Coefficients.

Byrne, Joseph and Sakemoto, Ryuta (2021): The Conditional Volatility Premium on Currency Portfolios.


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.

Camilleri, Silvio John and Farrugia, Ritienne (2018): The Risk-Adjusted Performance of Alternative Investment Funds and UCITS: A Comparative Analysis. Published in: International Journal of Economics and Finance , Vol. 7, No. 10 (May 2018): pp. 23-37.

Camilleri, Silvio John and Galea, Gabriella (2009): The Diversification Potential Offered by Emerging Markets in Recent Years. Published in: The FEMA Research Bulletin , Vol. 3, No. 1 (2009): pp. 21-37.

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.

Cangoz, Mehmet Coskun and Sulla, Olga and Wang, ChunLan and Dychala, Christopher Benjamin (2019): A Joint Foreign Currency Risk Management Approach for Sovereign Assets and Liabilities. Published in: Policy Research Working Paper , Vol. 1, No. WPS8728 (5 February 2019)

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, Charles and Simin, Timothy and Xiao, Han (2019): Predicting the equity premium with the implied volatility spread. Forthcoming in: Journal of Financial Markets

Cao, Dan and Evans, Martin and Lua, Wenlan (2020): Real Exchange Rate Dynamics Beyond Business Cycles.

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

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)

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.

Cesteros, Santiago Rodrigo (2018): Sobre volatilidad macroeconómica y dolarización de la riqueza: el caso argentino.

Ceylan, Ozcan (2010): Limited Information-Processing Capacity and Asymmetric Stock Correlations. Published in: Quantitative Finance , Vol. 15, No. 6 (3 June 2015): pp. 1031-1039.

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.

Chan, Raymond H. and Clark, Ephraim and Wong, Wing-Keung (2016): On the Third Order Stochastic Dominance for Risk-Averse and Risk-Seeking Investors with Analysis of their Traditional and Internet Stocks.

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.

Cheema, Muhammad A. and Nartea, Gilbert V and Man, Yimei (2017): Cross-Sectional and Time-Series Momentum Returns and Market States.

Chen, Ying and Grith, Maria and Lai, Hannah L. H. (2023): Neural Tangent Kernel in Implied Volatility Forecasting: A Nonlinear Functional Autoregression Approach.

Chen, Bai and Masih, Mansur (2017): Are the Islamic and conventional money markets really highly correlated ? MGARCH-DCC and Wavelet approaches.

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.

Chin, Leong Choong and Sek, Siok Kun and Tan, Yee Theng (2018): A Sectorial Performance Analysis of Kuala Lumpur Stock Exchange (KLSE, Bursa Malaysia).

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

Chong, Terence Tai Leung and Lee, Nayoung and Sio, Chan-Ip (2018): Threshold Effect of Scale and Skill in Active Mutual Fund Management.

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

Chowdhury, Ashiqul Haq and Priyo, Asad Karim Khan (2019): How Do Bangladeshi Investors Take Decisions? An Ethnographic Decision Tree Model of Stock Selection. Published in: North South Business Review , Vol. 10, No. 2 (June 2020): pp. 107-132.

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.

Cikiryel, Burak and Masih, Mansur (2017): The Impact of Brexit on Islamic Stock Markets Employing MGARCH-DCC and Wavelet Correlation Analysis.

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.

Correia, Ricardo and Barbosa, António (2019): Can Post-Earnings Announcement Drift and Momentum Explain Reversal?

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.

Covarrubias, Enrique and Hernández-del-Valle, Gerardo (2016): Inflation expectations derived from a portfolio model.

Covarrubias-Sánchez, Claudia Ivett and Téllez-León, Isela-Elizabeth and Venegas-Martínez, Francisco (2018): Portafolios del mercado bursátil mexicano que minimizan una medida coherente de riesgo sujeto a restricciones de rendimientos esperados y ventas en corto.

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

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Genest, Benoit and Rego, David and Freon, Helene (2013): Collateral Optimization : Liquidity & Funding Value Adjustments, - Best Practices -.

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

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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.

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

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Godwin, Alexander (2022): Hedge fund alpha and beta corrected for stale pricing.

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

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Guo, Xu and Post, Thierry and Wong, Wing-Keung and Zhu, Lixing (2013): Moment Conditions for Almost Stochastic Dominance.

Guo, Xu and Wagener, Andreas and Wong, Wing-Keung and Zhu, Lixing (2017): The Two-Moment Decision Model with Additive Risks.

Guo, Xu and Wong, Wing-Keung (2016): Multivariate Stochastic Dominance for Risk Averters and Risk Seekers.

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Almost Stochastic Dominance and Moments.

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Almost Stochastic Dominance and Moments.

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

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Make Almost Stochastic Dominance really Almost.

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): Two-moment decision model for location-scale family with background asset.

Guo, Xu and Wong, Wing-Keung and Zhu, Lixing (2013): An analysis of portfolio selection with multiplicative background risk.

Guo, Xu and Zhu, Xuehu and Wong, Wing-Keung and Zhu, Lixing (2013): A Note on Almost Stochastic Dominance.

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Hameed, Abdullah (2014): Exploring the determinants of Pakistani Islamic Bank: Empirical Survey.

Hammad, Siddiqi (2015): Anchoring Adjusted Capital Asset Pricing Model.

Hammad, Siddiqi (2015): Capital Asset Pricing Model Adjusted for Anchoring.

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Harin, Alexander (2010): Теорема о существовании разрывов в шкале вероятностей. Дискретный случай.

Harin, Alexander (2015): Is Prelec’s function discontinuous at p = 1? (for the Einhorn Award of SJDM).

Harin, Alexander (2010): Theorem of existence of ruptures in probability scale. Preliminary short version.

Hartmann, Daniel and Kempa, Bernd and Pierdzioch, Christian (2006): Economic and Financial Crises and the Predictability of U.S. Stock Returns.

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Hartmann, Daniel and Pierdzioch, Christian (2006): International Equity Flows and the Predictability of U.S. Stock Returns.

Hassine, Marlène and Roncalli, Thierry (2013): Measuring Performance of Exchange Traded Funds.

Hatemi-J, Abdulnasser and Mustafa, Alan (2016): Testing for Financial Market Integration of the Chinese Market with the US Market.

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Hałaj, Grzegorz (2006): Risk-based decisions on assets structure of a bank — partially observed economic conditions.

Hearn, Bruce (2013): Size and liquidity effects in Nigeria: an industrial sector study. Forthcoming in: Journal of Developing Areas

Heenkkenda, Shirantha (2014): Inequalities in the Financial Inclusion in Sri Lanka: An Assessment of the Functional Financial Literacy. Published in: Ilorin Journal of Economic Policy , Vol. 1, No. 1 (2014): pp. 1-30.

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

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Herwany, Aldrin and Febrian, Erie (2008): Co-integration and Causality Analysis on Developed Asian Markets For Risk Management & Portfolio Selection.

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Hirshleifer, David (2014): Behavioral Finance.

Hirshleifer, David (2001): Investor Psychology and Asset Pricing. Published in: Journal of Finance , Vol. 56, No. 4 (August 2001): pp. 1533-1597.

Hirshleifer, David and Daniel, Kent (2015): Overconfident investors, predictable returns, and excessive trading. Published in: Journal of Economic Perspectives , Vol. 29, No. 4 (2015): pp. 61-88.

Hirshleifer, David and Luo, Guo Ying (2000): On the Survival of Overconfident Traders in a Competitive Securities Market. Published in: Journal of Financial Markets , Vol. 4, No. 1 (2001)

Hirshleifer, David and Teoh, Siew Hong (2001): Herd Behavior and Cascading in Capital Markets: A Review and Synthesis. Published in: European Financial Management , Vol. 9, No. 1 (March 2003): pp. 25-66.

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Hooy, Chee-Wooi and Lee, Meng-Horng and Chong, Terence Tai Leung (2017): The Sources of Country and Industry Variations in ASEAN Stock Returns. Forthcoming in: Macroeconomics and Finance in Emerging Market Economies

Hopfensitz, Astrid (2009): Previous outcomes and reference dependence: A meta study of repeated investment tasks with and without restricted feedback.

Hopfensitz, Astrid and Wranik, Tanja (2009): How to adapt to changing markets: experience and personality in a repeated investment game.

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?

Hou, Yang and Holmes, Mark (2017): On the effects of static and autoregressive conditional higher order moments on dynamic optimal hedging.

Hou, Yang and Meng, Jiayin (2018): The momentum effect in the Chinese market and its relationship with the simultaneous and the lagged investor sentiment.

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Huerta, Daniel and Egly, Peter V. and Escobari, Diego (2015): The Liquidity Crisis, Investor Sentiment, and REIT Returns and Volatility. Forthcoming in: Journal of Real Estate Portfolio Management

Hunjra, Ahmed Imran and Chani, Muhammad Irfan and Ijaz, Muhammad Shahzad and Farooq, Muhammad and Khan, Kamran (2014): The Impact of Macroeconomic Variables on Stock Prices in Pakistan. Published in: International Journal of Economics and Empirical Research , Vol. 2, No. 1

Huo, Da (2024): Efficient Estimation of Stochastic Parameters: A GLS Approach.

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


Ibhagui, Oyakhilome (2016): Optimal Asset Allocation of a Pension Fund: Does The Fear of Regret Matter?

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.

Ilmolelian, Peter (2005): The determinants of the Harare Stock Exchange (HSE) market capitalisation. Published in: EconPapers No. http://econpapers.repec.org/paper/wpawuwpem/0511016.htm

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Ito, Yutaka and Managi, Shunsuke and Matsuda, Akimi (2012): Performances of Socially Responsible Investment and Environmentally Friendly Funds.


Jaffar, Yusuf and Masih, Mansur (2014): Exploring portfolio diversification opportunities through venture capital financing.

Jamalludin, Nadia (2017): Risk and Performance of SapuraKencana Petroleum Berhad.

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

Janda, Karel and Kaszas, Micha (2017): Indirect Firm Valuation and Earnings Stability.

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

Jarraya, Bilel (2013): Asset allocation and portfolio optimization problems with metaheuristics: a literature survey. Published in: Business Excellence and Management , Vol. 3, No. 4 (2013): pp. 38-56.

Jarraya, Bilel and Bouri, Abdelfettah (2013): Multiobjective optimization for the asset allocation of European nonlife insurance companies. Published in: Journal of Multi-Criteria Decision Analysis , Vol. 20, No. 3-4 (2013): pp. 97-108.


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

Jones, Clive (2015): Predictability of the daily high and low of the S&P 500 index.

Juárez-Luna, David (2020): Beneficios económicos y ambientales de la energía nuclear.

Juárez-Luna, David (2019): Power generation portfolios: A parametric formulation of the efficient frontier.


Kabir, Mustafa and Masih, Mansur (2019): Portfolio diversification between exchange rates and islamic stocks: evidence from the USA, Euro area, Japan and Malaysia.

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

Kamal, Javed Bin (2012): Optimal portfolio selection in ex ante stock price bubble and furthermore bubble burst scenario from Dhaka stock exchange with relevance to sharpe’s single index model. Published in: Journal of Financial Assets and Investing No. Issue 3/2012 (30 September 2012): pp. 29-42.

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

Kariastanto, Bayu (2011): Should the Indonesian pension funds invest abroad?

Kariastanto, Bayu (2013): Small Share of the Islamic Banks in Indonesia, Supply-side Problems?

Keel, Simon and Ardia, David (2009): Generalized Marginal Risk.

Kekelidze, Lia (2021): Инвестиционната среда и проблемите на придобиването на собственост върху недвижими имоти в Грузия от инвеститори. Published in: Народностопански архив No. 2

Kelikume, Ikechukwu and Evans, Olaniyi and Iyoha, Faith (2020): Efficient Market Hypothesis in the Presence of Market Imperfections: Evidence from Selected Stock Markets in Africa. Published in: International Journal of Management, Economics and Social Sciences (IJMESS) , Vol. 9, No. 1 (2020): pp. 37-57.

Kemp-Benedict, Eric (2014): Shifting to a Green Economy: Lock-in, Path Dependence, and Policy Options. Published in: SEI Working Paper No. 2014-08 (25 November 2014)

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

Khalfaoui, R and Boutahar, M (2012): Portfolio risk evaluation: An approach based on dynamic conditional correlations models and wavelet multiresolution analysis.

Khan, Aftab and Masih, Mansur (2019): Do Islamic stocks and commodity markets comove at different investment horizons ? evidence from wavelet time-frequency approach.

Khan, Dr. Muhammad Irfan and Syed, Muhammad Salman (2015): Comparison between Forecasted Stock Prices and Original Stock Prices in the Karachi Stock Exchange. Published in: Journal of Finance, Accounting and Management , Vol. 6, No. 2 (July 2015): pp. 51-62.

Khan, Muhammad Irfan (2009): Price Earning Ratio and Market to Book Ratio. Published in: IUB Journal of Social Sciences and Humanities , Vol. 7, No. 2 (2009): pp. 103-112.

Khorunzhina, Natalia (2011): Dynamic Stock Market Participation of Households.

Khumalo, Bhekuzulu (2007): Knowledge Theory and Investment: Enhanced Investment Decision Based on the properties of Point X.

Kilic, Ekrem (2006): Violation duration as a better way of VaR model evaluation : evidence from Turkish market portfolio.

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

Kitov, Ivan and Kitov, Oleg (2007): Exact prediction of S&P 500 returns.

Kliber, Pawel (2008): A Proposal of Portfolio Choice for Infinitely Divisible Distributions of Assets Returns. Published in: Foundations of Computing and Decision Sciences , Vol. 34, No. 1 (2008): pp. 43-52.

Klubinski, William and Verousis, Thanos (2019): On the underestimation of risk in hedge fund performance persistence: geolocation and investment strategy effects. Published in: Financial Risk Management and Modeling (1 September 2021): pp. 265-293.

Knutson, Brian and Wimmer, G. Elliott and Kuhnen, Camelia and Winkielman, Piotr (2008): Nucleus accumbens activation mediates the influence of reward cues on financial risk-taking. Published in: Neuroreport , Vol. 19, No. 5 (26 March 2008): pp. 509-513.

Koepke, Robin (2014): Fed Policy Expectations and Portfolio Flows to Emerging Markets.

Kombarov, Sayan (2021): Action in Economics: Mathematical Derivation of Laws of Economics from the Principle of Least Action in Physics. Published in: Proceedings of International Conference of Eurasian Economies (24 August 2021): pp. 123-129.

Konchitchki, Yaniv (2011): Inflation and Nominal Financial Reporting: Implications for Performance and Stock Prices. Published in: The Accounting Review , Vol. 86, No. 3 (May 2011): pp. 1045-1085.

Konradt, Maximilian (2023): Do pension funds reach for yield? Evidence from a new database.

Kontek, Krzysztof (2011): What is the actual shape of perception utility?

Korap, Levent (2010): Identification of ‘pull’ & ‘push’ factors for the portfolio flows: SVAR evidence from the Turkish economy. Published in: Doğuş University Journal , Vol. 2, No. 11 (2010): pp. 223-232.

Kotov, Denis (2007): Опыт использования портфельных концепций менеджмента для анализа распределения инвестиционного потенциала в интегрированной бизнес-группе. Published in: Модернизация экономики и общественное развитие [Текст] : в 3 кн. / oтв. ред. Е. Г. Ясин ; Гос. ун-т - Высшая школа экономики. - М. : Изд. дом ГУ ВШЭ, 2007. (2007): pp. 568-578.

Krieger, Kevin and Fodor, Andy and Mauck, Nathan and Stevenson, Greg (2012): Predicting Extreme Returns and Portfolio Management Implications.

Kuhnen, Camelia and Knutson, Brian (2008): The Influence of Affect on Beliefs, Preferences and Financial Decisions.

Kuhnen, Camelia M. (2012): Asymmetric learning from financial information.

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

Kumar, Satish and Tiwari, Aviral and Raheem, Ibrahim and Hille, Erik (2021): Time-varying dependence structure between oil and agricultural commodity markets: A dependence-switching CoVaR copula approach. Forthcoming in: Resources Policy

Kumara, Ajantha Sisira and Pfau, Wade Donald (2011): Lifecycle and fixed portfolio allocation strategies: a performance comparison for emerging market countries.

Kumara, Ajantha Sisira and Pfau, Wade Donald (2011): Would emerging market pension funds benefit from international diversification: investigating wealth accumulations for pension participants.

Küçük, Ugur N. (2009): Emerging Market Local Currency Bond Market, Too Risky to Invest?

Kılıç, Yunus and Destek, Mehmet Akif and Cevik, Emrah Ismail and Bugan, Mehmet Fatih and Korkmaz, Oya and Dibooglu, Sel (2022): Return and Risk Spillovers between ESG Global Index and Stock Markets: Evidence from Time and Frequency Analysis. Published in: Borsa İstanbul Review , Vol. 22, (2022): pp. 141-156.


Lal, Irfan and Mubeen, Muhammad and Hussain, Adnan and Zubair, Mohammad (2016): An Empirical Analysis of Higher Moment Capital Asset Pricing Model for Karachi Stock Exchange (KSE). Published in: Open Journal of Social Sciences No. 4 (9 June 2016): pp. 53-60.

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

Le, Thai-Ha and Chang, Youngho (2011): Dynamic relationships between the price of oil, gold and financial variables in Japan: a bounds testing approach.

Le, Tuan Anh and Dao, Thi Thanh Binh (2021): Portfolio optimization under mean-CVaR simulation with copulas on the Vietnamese stock exchange. Published in: Investment Management and Financial Innovations , Vol. 18, No. 2 (2021): pp. 273-286.

Lean, Hooi Hooi and Ang, Wei Rong and Smyth, Russell (2014): Performance and Performance Persistence of Socially Responsible Investment Funds in Europe and North America.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2016): Forecast in Capital Markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2017): Investment in capital markets.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): Mergers and acquisitions transactions strategies in diffusion - type financial systems in highly volatile global capital markets with nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2014): Strategies on initial public offering of company equity at stock exchanges in imperfect highly volatile global capital markets with induced nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2013): Venture capital optimal investment portfolio strategies selection in diffusion - type financial systems in global capital markets with nonlinearities.

Ledenyov, Dimitri O. and Ledenyov, Viktor O. (2015): Wave function method to forecast foreign currencies exchange rates at ultra high frequency electronic trading in foreign currencies exchange markets.

Lee, David (2024): Hedge Fund Investment Returns and Performance.

Levent, Korap and Özgür, Aslan (2007): Exogenous characteristics of short-term capital flows: can they be under control? evidence from Turkey. Published in: İstanbul Üniversitesi Sosyal Bilimler Meslek Yüksekokulu Sosyal Bilimler Dergisi , Vol. 2007, No. 1 (2007): pp. 1-16.

Li, Jing and Xu, Mingxin (2009): Minimizing Conditional Value-at-Risk under Constraint on Expected Value.

Liu, Xiaochun and Jacobsen, Brian (2011): The Dynamic International Optimal Hedge Ratio.

Liu, Xuan and Yang, Fang and Cai, Zongwu (2012): Does Relative Risk Aversion Vary with Wealth? Evidence from Households' Portfolio Choice Data.

Livan, Giacomo and Alfarano, Simone and Scalas, Enrico (2011): The fine structure of spectral properties for random correlation matrices: an application to financial markets.

Lof, Matthijs (2012): Rational Speculators, Contrarians and Excess Volatility.

Lopez, Claude and Contreras, Oscar and Bendix, Joseph (2020): ESG ratings: the road ahead.

Los, Cornelis A. and Tungsong, Satjaporn (2008): Investment Model Uncertainty and Fair Pricing.

Lu, Richard and Yang, Chen-Chen and Wong, Wing-Keung (2018): Time Diversification: Perspectives from the Economic Index of Riskiness. Forthcoming in: Annals of Financial Economics

Lucena, Pierre and Figueiredo, Antonio Carlos (2008): Anomalias no Mercado no Mercado de Ações Brasileiro: uma Modificação do Modelo de Fama de Fama e French. Published in: RAC Eletrônica , Vol. 2, (2008): pp. 509-530.

Lucena, Pierre and Figueiredo, Antonio Carlos (2008): Prevendo retornos de ações atrasvés de movimentos passados: uma modificação no Modelo de Grinblatt e Moskowitz. Published in: REAd. Revista Eletrônica de Administração , Vol. 14, (2008): pp. 1-18.

Lucena, Pierre and Figueiredo, Antonio Carlos and Lachtermacher, Gerson (2008): Critérios de formação de carteiras de ativos através de hierarchical clusters. Published in: Revista de Administração Mackenzie , Vol. 11, No. 2 (21 October 2009): pp. 123-141.

Lucena, Pierre and Fugueiredo, Antonio Carlos (2004): Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa. Published in: Gestão.Org (September 2004)

Lucena, Pierre and Saturnino, Odilon and Araújo, Joseanny and Figueiredo, Antonio Carlos (2010): Eficácia do Uso da Estratégia de Investimento em Ações com Baixo Múltiplo Preço/Valor Patrimonial (PVPA) no Brasil. Published in: Revista de Administração Mackenzie , Vol. 11, No. 5 (September 2010): pp. 106-128.

Luciano, elisa (1999): A note on loadings and deductibles: can a vicious circle arise? Published in: scandinavian actuarial journal No. 2 (1999): pp. 157-169.

Lucks, Konstantin (2016): The Impact of Self-Control on Investment Decisions.

Luo, Yulei (2015): Robustly Strategic Consumption-Portfolio Rules with Informational Frictions.

Luo, Yulei and Young, Eric (2013): Long-run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention.

Lupia, Arthur and Krupnikov, Yanna and Levine, Adam Seth and Grafstrom, Cassandra and MacMillan, William and McGovern, Erin (2008): How “Point Blindness” Dilutes the Value of Stock Market Reports.

Lupia, Arthur and Krupnikov, Yanna and Levine, Adam Seth and Grafstrom, Cassandra and MacMillan, William and McGovern, Erin (2008): How “Point Blindness” Dilutes the Value of Stock Market Reports.


MESTRE, Roman and TERRAZA, Michel (2017): Analyse Multidimensionnelle Temps-Fréquence du MEDAF.

MESTRE, Roman and TERRAZA, Michel (2017): Estimation du Beta Tempo-fréquentiel de la Droite de Marché-Une approche par les ondelettes continues-.

MESTRE, Roman and Terraza, Michel (2017): Analyse Temps-fréquence du MEDAF –Application au CAC 40 –.

MESTRE, Roman and Terraza, Michel (2018): Regression Forward avec fenêtres Tempo-Frequentielles roulantes par ondelettes discretes et continues -Une application à la Droite de Marché -.

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 (2016): Capital depreciation and the underdetermination of rate of return: A unifying perspective. Published in: Journal of Mathematical Economics , Vol. 67, (December 2016): pp. 54-79.

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 (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.

Magni, Carlo Alberto and Martin, John D. (2017): The Reinvestment Rate Assumption Fallacy for IRR and NPV: A Pedagogical Note.

Magni, Carlo Alberto and Veronese, Piero and Graziani, Rebecca (2017): Chisini means and rational decision making: Equivalence of investment criteria. Forthcoming in: Mathematics and Financial Economics

Maheu, John M and McCurdy, Thomas H and Song, Yong (2020): Bull and Bear Markets During the COVID-19 Pandemic.

Makarov, Dmitry (2020): Optimal portfolio under ambiguous ambiguity. Forthcoming in: Finance Research Letters

Malefaki, Valia (2015): On Flexible Linear Factor Stochastic Volatility Models.

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

Mantai, Mohammed Mahmoud and Masih, Mansur (2016): Do changes in shariah screening methodology make islamic indices substitutes or complements? an application of MGARCH-DCC and markov switching analysis.

Marginean, Mihai (2018): Fundamentarea deciziei de finantare a activitatii unui IMM.

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, Deepshikha (2015): Evidences of efficient investment portfolio in Indian capital markets-An analysis based on BSE and NSE indices.

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.

Mellado, Cristhian and Escobari, Diego (2014): Virtual Integration of Financial Markets: A Dynamic Correlation Analysis of the Creation of the Latin American Integrated Market. Forthcoming in: Applied Economics

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 (2014): Measures of Equity Home Bias Puzzle.

Mishra, Anil V (2015): Foreign Bias in Australian Domiciled Mutual Fund Holdings.

Mittal, Amit and Garg, Ajay Kumar (2018): Bank stocks inform higher growth – A System GMM analysis of ten emerging markets in Asia. Published in: Quarterly Review of Economics and Finance (June 2020)

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.

Montshioa, Keitumetse and Muteba Mwamba, John Weirstrass and Bonga-Bonga, Lumengo (2021): Asset allocation in extreme market conditions: a comparative analysis between developed and emerging economies.

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.

Morad, Shahidah Nailul and Masih, Mansur (2015): Islamic REIT response to macroeconomic factors: a markov regime switching auto regressive approach.

Moradia, Abha and Mehta, Ashish C. (2018): Analyzing gold returns: Indian perspective. Published in: PIBM Journal of Management , Vol. 3, No. Special Issue (20 October 2018): pp. 458-471.

Morema, Kgotso and Bonga-Bonga, Lumengo (2018): The impact of oil and gold price fluctuations on the South African equity market: volatility spillovers and implications for portfolio management.

Moszoro, Marian (2020): Political Cognitive Biases Effects on Fund Managers' Performance. Published in: Journal of Behavioral Finance No. Forthcoming (2020): pp. 2-19.

Mudiangombe, Benjamin and Muteba Mwamba, John Weirstrass (2019): Dependence Structure of Insurance Credit Default Swaps.

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.

Mukrim, Syahirah and Masih, Mansur (2018): Do islamic indices help portfolio diversification ? application of multivariate GARCH and wavelet coherence.

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.

Musa, Mustafa and Masih, Mansur (2016): Are the ASEAN stock markets integrated with the US market ? new evidence from wavelet coherence.

Muteba Mwamba, John (2012): On the optimality of hedge fund investment strategies: a Bayesian skew t distribution model. Published in: African Journal of Business Management , Vol. 6, No. 36 (2 September 2012): pp. 10015-10024.

Muteba Mwamba, John and Mhlanga, Isaah (2013): Extreme conditional value at risk: a coherent scenario for risk management.

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.

mhamdi, ghrissi (2015): Effect of Financial Liberalization on the Probability of Occurrence of Banking Crises. Published in: , Vol. 3, No. jexpert journal of economics


NEIFAR, MALIKA and HDIDER, ANIS (2024): Role of Crude Oil, Natural Gas and Wheat Prices and the Impact of the ‎Russian-Ukrainian War on the Investor Social Network Sentiment; Evidence ‎from the US Stock Market. Published in:

NEIFAR, MALIKA (2020): Islamic vs Conventional Canadian stock markets : what difference ?

NEIFAR, MALIKA (2020): Multivariate GARCH Approaches: case of major sectorial Tunisian stock markets.

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

Nagano, Mamoru and Uchida, Yuki (2021): Online Banking Users vs. Branch Visitors: Why Are Their Portfolio Returns Different?

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

Nguyen, Duc Khuong and Topaloglou, Nikolas and Walther, Thomas (2020): Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach.

Nguyen, Van Phuong (2019): Developing, Validating, and Monitoring a PD Model for Foundation IRB Approach.

Nguyen, Van Phuong (2019): An attempt to derive the Risk Weight Function for the bank.

Nogueira, David Coito and Fuinhas, José Alberto and Marques, António Cardoso (2014): Análise VAR dos índices bolsistas SP500, FTSE100, PSI20, HSI e IBOVESPA.


Olkhov, Victor (2023): Market-Based “Actual” Returns of Investors.

Olkhov, Victor (2021): To VaR, or Not to VaR, That is the Question.

Olkhov, Victor (2020): Volatility Depend on Market Trades and Macro Theory.

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.


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.

Paladino, Giovanna (2022): Ask a question, get an answer. A study of the framing effect on financial literacy in Italy.

Paladino, Giovanna (2022): Quanto conta il modo in cui viene posta la domanda? Un’analisi dell’effetto “framing” sul livello di alfabetizzazione finanziaria in Italia.

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.

Paramati, Sudharshan Reddy and Gupta, Rakesh and Tandon, Kishore (2016): Dynamic Analysis of Time-Varying Correlations and Cointegration Relationship between Australia and Frontier Equity Markets. Published in: International Journal of Business and Emerging Markets , Vol. 8, No. 2 (1 May 2016): pp. 121-145.

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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

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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.

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

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

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

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Tan, Zekuang (2016): Application of Discounted Cash Flow Model Valuation – Wal-Mart. Published in:

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