Research classified by Journal of Economic Literature (JEL) codes

2011

• Vicente Cunat & Andrea Caggese, 2011, "Financing Constraints, Firm Dynamics, Export Decisions, and Aggregate productivity," 2011 Meeting Papers, Society for Economic Dynamics, number 187.
• Péter Kondor & Ron Kaniel, 2011, "The delegated Lucas tree," 2011 Meeting Papers, Society for Economic Dynamics, number 580.
• Stijn Van Nieuwerburgh & Motohiro Yogo & Ralph S. J. Koijen, 2011, "Health and Mortality Delta: Assessing the Welfare Cost of Household Insurance Choice," 2011 Meeting Papers, Society for Economic Dynamics, number 633.
• Michael Grill & Karl Schmedders & Felix Kubler & Johannes Brumm, 2011, "Collateral Requirements and Asset Prices," 2011 Meeting Papers, Society for Economic Dynamics, number 737.
• Ina Simonovska & Athanasios Geromichalos, 2011, "Asset Liquidity and International Portfolio Choice," 2011 Meeting Papers, Society for Economic Dynamics, number 756.
• Delia-Elena Diaconasu & Alexandru Asavoaei, 2011, "The Role of Investment Funds in Romania," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 39, pages 45-59, March.
• Diana Arjoca, 2011, "Direct investment strategies of Austrian companies in Romania.A comparative study," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, volume 14, issue 42, pages 227-246, December.
• Marian WIELEZINSKI, 2011, "L’entrepreneur et la loi de Say : les profits se paient d’avance THE ENTREPRENEUR AND SAY'S LAW: THE PROFITS ARE PAID IN ADVANCE," Working Papers, Laboratoire de Recherche sur l'Industrie et l'Innovation. ULCO / Research Unit on Industry and Innovation, number 246, Nov.
• Pierpaolo Pattitoni & Marco Savioli, 2011, "Investment Choices: Indivisible non-Marketable Assets and Bounded Rationality," Working Paper series, Rimini Centre for Economic Analysis, number 07_11, Jan.
• Massimiliano Marzo & Daniele Ritelli & Paolo Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Paper series, Rimini Centre for Economic Analysis, number 52_11, Nov.
• Hyun-Hoon Lee & Hyeon-seung Huh & Donghyun Park, 2011, "Financial Integration in East Asia: An Empirical Investigation," ADB Economics Working Paper Series, Asian Development Bank, number 259, May.
• Bin Zhang, 2011, "Is It Desirable for Asian Economies to Hold More Asian Assets in Their Foreign Exchange Reserves?—The People’s Republic of China’s Answer," ADBI Working Papers, Asian Development Bank Institute, number 306, Aug.
• Valentina Galvani & Stuart Landon, 2011, "Riding the Yield Curve: A Spanning Analysis," Working Papers, University of Alberta, Department of Economics, number 2011-19, Nov.
• Ilhan Meric & Herbert E. Gishlick & Leonore S. Taga & Gulser Meric, 2011, "Risks, Returns, and Portfolio Diversification Benefits of Country Index Funds in Bear and Bull Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 1, pages 1-1.
• Ozlem Yorulmaz, 2011, "Robust Approach to Analysis of International Diversification Benefits between US, UK and Emerging Stock Markets," Business and Economics Research Journal, Bursa Uludag University, Faculty of Economics and Administrative Sciences, volume 2, issue 4, pages 1-89.
• Antonieta Lima & Vasco Salazar Soares, 2011, "Multi Criteria Decision Making Models: An Overview On Electre Methods," Working Papers, Universidade Portucalense, Centro de Investigação em Gestão e Economia (CIGE), number 21/2011, Sep.
• Sang Hoon Kang & Seong-Min Yoon, 2011, "The Global Financial Crisis and the Integration of Emerging Stock Markets in Asia," East Asian Economic Review, Korea Institute for International Economic Policy, volume 15, issue 4, pages 49-72, DOI: 10.11644/KIEP.JEAI.2011.15.4.239.
• Brian Jacobsen, 2011, "Asset Allocation: Mass Production or Mass Customization?," Journal of Financial Transformation, Capco Institute, volume 31, pages 115-121.
• Angela Gallo, 2011, "Indexation as Primary Target for Pension Funds: Implication for Portfolio Management," Journal of Financial Transformation, Capco Institute, volume 31, pages 173-183.
• Thierry Roncalli & Guillaume Weisang, 2011, "Tracking Problems, Hedge Fund Replication, and Alternative Beta," Journal of Financial Transformation, Capco Institute, volume 31, pages 19-29.
• Pierre Clauss, 2011, "Hedge Funds Performance Ratios Adjusted to Market Liquidity Risk," Journal of Financial Transformation, Capco Institute, volume 31, pages 133-139.
• Ronald Ryan & Frank Fabozzi, 2011, "Liability Index Fund: The Liability Beta Portfolio," Journal of Financial Transformation, Capco Institute, volume 33, pages 29-33.
• David Owyong, 2011, "Assessing Hedge Fund Risk in a New Era of Hedge Fund Transparency," Journal of Financial Transformation, Capco Institute, volume 33, pages 121-126.
• Julio Carmona & Angel León & Antoni Vaello-Sebastiá, 2011, "Does Stock Return Predictability Affect ESO Fair Value?," QM&ET Working Papers, University of Alicante, D. Quantitative Methods and Economic Theory, number 11-2, Nov.
• Dora Gicheva & Albert N. Link, 2011, "Leveraging Entrepreneurship through Private Investments: Does Gender Matter?," UNCG Economics Working Papers, University of North Carolina at Greensboro, Department of Economics, number 11-21, Nov.
• Todea, Alexandru & Zoicas Ienciu, Adrian, 2011, "Technical Analysis and Stochastic Properties of Exchange Rate Movements: Empirical Evidence from the Romanian Currency Market," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 175-192, March.
• Su, Chi Wei & Chang, Hsu Ling & Zhu, Meng Nan, 2011, "A Non-Linear Model of Causality Between the Stock and Real Estate Markets of European Countries," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 41-53, March.
• Mansor, Ibrahim H., 2011, "Financial Market Risk and Gold Investment in an Emerging Market: The Case of Malaysia," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 4, pages 79-89, December.
• Ion PLUMB & Andreea ZAMFIR, 2011, "Russian Federation’S Investments In Romania: The Case Of Lukoil," Management Research and Practice, Research Centre in Public Administration and Public Services, Bucharest, Romania, volume 3, issue 1, pages 13-26, March.
• Dragoi Violeta & Constantinescu Lucretia Mariana, 2011, "The Quality Services Vector - A Performance Source For The Banks In Romania," Review of Applied Socio-Economic Research, Pro Global Science Association, volume 1, issue 1, pages 47-62, July.
• Rocco Ciciretti & Raffaele Corvino, 2011, "How homogeneous diversification in balanced investment funds affects portfolio and systemic risk," CEIS Research Paper, Tor Vergata University, CEIS, number 204, Jul, revised 04 Jul 2011.
• Pawe³ Trippner, 2011, "Diversification of Investment Portfolios as an Instrument Used by Institutional Investors in the Capital Management Process," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 7, issue 3, pages 85-93, November.
• Laurini, Márcio Poletti & Sanvicente, Antônio Zoratto & Monteiro, Rogério da Costa, 2011, "Generalized Tests of Investment Fund Performance," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, volume 31, issue 2, December.
• Dimitrios Christelis & Loreti I. Dobrescu & Alberto Motta, 2011, "Early Life Conditions and Financial Risk–Taking in Older Age," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 285, May.
• Francisco Delgado & Bernard Dumas & Giovanni W. Puopolo, 2011, "Hysteresis Bands and Transaction Costs," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 287, May, revised 10 Jul 2012.
• López Herrera, Francisco & Ortiz Calisto, Edgar & Gutiérrez, Raúl De Jesús, 2011, "Integración fraccionaria y valor en riesgo / Fractional Integration and Value at Risk," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 29-53, enero-jun.
• Contreras Piedragil, Cesar Emilio & Venegas Martínez, Francisco, 2011, "Valuación de opciones sobre activos subyacentes con distribuciones estables / Options Valuation over Underlying Assets with Stable Distributions," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, volume 1, issue 1, pages 55-71, enero-jun.
• Robert A. Jones & Mohammad Zanganeh, 2011, "Estimation of Equicorrelated Diffusions from Incomplete Data," Discussion Papers, Department of Economics, Simon Fraser University, number dp11-03, Oct.
• Quoc-Anh Do & Bang Dang Nguyen & Yen-Teik Lee & Kieu-Trang Nguyen, 2011, "Out of Sight, Out of Mind:The Value of Political Connections in Social Networks," Working Papers, Singapore Management University, School of Economics, number 19-2011, Dec.
• Christopher J. Neely & David E. Rapach & Jun Tu & Guofu Zhou, 2011, "Forecasting the Equity Risk Premium: The Role of Technical Indicators," Working Papers, Singapore Management University, Sim Kee Boon Institute for Financial Economics, number CoFie-02-2011, Apr.
• Massimiliano Caporin & Angelo Ranaldo, 2011, "On the Predictability of Stock Prices: a Case for High and Low Prices," Working Papers, Swiss National Bank, number 2011-11.
• Marie Briere & Ariane Szafarz, 2011, "Investment in Microfinance Equity: Risk, Return, and Diversification Benefits," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-050, Oct.
• Roy Mersland & Ludovic Urgeghe, 2011, "Performance and international investments in microfinance institutions," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-054, Nov.
• Benoît Dewaele & Hugues Pirotte & N. Tuchschmid & Erik Wallerstein, 2011, "Assessing the Performance of Funds of Hedge Funds," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 11-041, Sep.
• Edward J. LUSK & Michael HALPERIN & Niya STEFANOVA & Atanas TETIKOV, 2011, "Investigation of: "Shopping in the Market-beta Mall"," Journal of Knowledge Management, Economics and Information Technology, ScientificPapers.org, volume 1, issue 5, pages 1-9, August.
• Nicolai Bissantz & Verena Steinorth & Daniel Ziggel, 2011, "Stabilität von Diversifikationseffekten im Markowitz-Modell," AStA Wirtschafts- und Sozialstatistisches Archiv, Springer;Deutsche Statistische Gesellschaft - German Statistical Society, volume 5, issue 2, pages 145-157, August, DOI: 10.1007/s11943-011-0101-7.
• Özge Alp & Ralf Korn, 2011, "Continuous-time mean-variance portfolio optimization in a jump-diffusion market," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 1, pages 21-40, May, DOI: 10.1007/s10203-010-0106-7.
• Marcel Prokopczuk, 2011, "Optimal portfolio choice in the presence of domestic systemic risk: empirical evidence from stock markets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 2, pages 141-168, November, DOI: 10.1007/s10203-011-0111-5.
• Claudia Ceci & Anna Gerardi, 2011, "Utility indifference valuation for jump risky assets," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 34, issue 2, pages 85-120, November, DOI: 10.1007/s10203-010-0107-6.
• Tamara Teplova & Evgeniya Shutova, 2011, "A Higher Moment Downside Framework for Conditional and Unconditional Capm in the Russian Stock Market," Eurasian Economic Review, Springer;Eurasia Business and Economics Society, volume 1, issue 2, pages 157-178, December, DOI: 10.14208/BF03353829.
• Kasper Larsen, 2011, "A note on the existence of the power investor’s optimizer," Finance and Stochastics, Springer, volume 15, issue 1, pages 183-190, January, DOI: 10.1007/s00780-009-0111-2.
• Marc Rieger, 2011, "Co-monotonicity of optimal investments and the design of structured financial products," Finance and Stochastics, Springer, volume 15, issue 1, pages 27-55, January, DOI: 10.1007/s00780-009-0117-9.
• Alessandra Cretarola & Fausto Gozzi & Huyên Pham & Peter Tankov, 2011, "Optimal consumption policies in illiquid markets," Finance and Stochastics, Springer, volume 15, issue 1, pages 85-115, January, DOI: 10.1007/s00780-010-0123-y.
• Henrik Hult & Filip Lindskog, 2011, "Ruin probabilities under general investments and heavy-tailed claims," Finance and Stochastics, Springer, volume 15, issue 2, pages 243-265, June, DOI: 10.1007/s00780-010-0135-7.
• Marina Di Giacinto & Salvatore Federico & Fausto Gozzi, 2011, "Pension funds with a minimum guarantee: a stochastic control approach," Finance and Stochastics, Springer, volume 15, issue 2, pages 297-342, June, DOI: 10.1007/s00780-010-0127-7.
• Sabrina Mulinacci, 2011, "The efficient hedging problem for American options," Finance and Stochastics, Springer, volume 15, issue 2, pages 365-397, June, DOI: 10.1007/s00780-010-0151-7.
• Salvatore Federico, 2011, "A stochastic control problem with delay arising in a pension fund model," Finance and Stochastics, Springer, volume 15, issue 3, pages 421-459, September, DOI: 10.1007/s00780-010-0146-4.
• Luciano Campi & Mark Owen, 2011, "Multivariate utility maximization with proportional transaction costs," Finance and Stochastics, Springer, volume 15, issue 3, pages 461-499, September, DOI: 10.1007/s00780-010-0125-9.
• Nicholas Westray & Harry Zheng, 2011, "Minimal sufficient conditions for a primal optimizer in nonsmooth utility maximization," Finance and Stochastics, Springer, volume 15, issue 3, pages 501-512, September, DOI: 10.1007/s00780-010-0128-6.
• Frank Riedel & Xia Su, 2011, "On irreversible investment," Finance and Stochastics, Springer, volume 15, issue 4, pages 607-633, December, DOI: 10.1007/s00780-010-0131-y.
• Ying Jiao & Huyên Pham, 2011, "Optimal investment with counterparty risk: a default-density model approach," Finance and Stochastics, Springer, volume 15, issue 4, pages 725-753, December, DOI: 10.1007/s00780-010-0140-x.
• Erhan Bayraktar & Virginia Young, 2011, "Proving regularity of the minimal probability of ruin via a game of stopping and control," Finance and Stochastics, Springer, volume 15, issue 4, pages 785-818, December, DOI: 10.1007/s00780-011-0160-1.
• Bruno Bouchard & Ngoc-Minh Dang, 2013, "Generalized stochastic target problems for pricing and partial hedging under loss constraints—application in optimal book liquidation," Finance and Stochastics, Springer, volume 17, issue 1, pages 31-72, January, DOI: 10.1007/s00780-012-0198-8.
• Christoph Czichowsky, 2013, "Time-consistent mean-variance portfolio selection in discrete and continuous time," Finance and Stochastics, Springer, volume 17, issue 2, pages 227-271, April, DOI: 10.1007/s00780-012-0189-9.
• Belkacem Berdjane & Serguei Pergamenshchikov, 2013, "Optimal consumption and investment for markets with random coefficients," Finance and Stochastics, Springer, volume 17, issue 2, pages 419-446, April, DOI: 10.1007/s00780-012-0193-0.
• Yan Dolinsky & Halil Soner, 2013, "Duality and convergence for binomial markets with friction," Finance and Stochastics, Springer, volume 17, issue 3, pages 447-475, July, DOI: 10.1007/s00780-012-0192-1.
• Liao Wang & Johannes Wissel, 2013, "Mean-variance hedging with oil futures," Finance and Stochastics, Springer, volume 17, issue 4, pages 641-683, October, DOI: 10.1007/s00780-013-0203-x.
• Vladimir Cherny & Jan Obłój, 2013, "Portfolio optimisation under non-linear drawdown constraints in a semimartingale financial model," Finance and Stochastics, Springer, volume 17, issue 4, pages 771-800, October, DOI: 10.1007/s00780-013-0209-4.
• Giuseppe Benedetti & Luciano Campi & Jan Kallsen & Johannes Muhle-Karbe, 2013, "On the existence of shadow prices," Finance and Stochastics, Springer, volume 17, issue 4, pages 801-818, October, DOI: 10.1007/s00780-012-0201-4.
• Dmitry Rokhlin, 2013, "On the game interpretation of a shadow price process in utility maximization problems under transaction costs," Finance and Stochastics, Springer, volume 17, issue 4, pages 819-838, October, DOI: 10.1007/s00780-013-0206-7.
• Masaaki Fukasawa, 2014, "Efficient discretization of stochastic integrals," Finance and Stochastics, Springer, volume 18, issue 1, pages 175-208, January, DOI: 10.1007/s00780-013-0215-6.
• Paolo Guasoni & Constantinos Kardaras & Scott Robertson & Hao Xing, 2014, "Abstract, classic, and explicit turnpikes," Finance and Stochastics, Springer, volume 18, issue 1, pages 75-114, January, DOI: 10.1007/s00780-013-0216-5.
• Li Junjiang & Hou Lei & Zhang Jiarui, 2011, "Capital endowment, credit constraint and FDI: Analysis based on heterogeneous firms," Frontiers of Economics in China, Springer;Higher Education Press, volume 6, issue 1, pages 55-75, March, DOI: 10.1007/s11459-011-0122-8.
• Amanda King & John King, 2011, "Golden eggs versus plastic eggs: hyperbolic preferences and the persistence of debit," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 35, issue 1, pages 93-103, January, DOI: 10.1007/s12197-009-9107-1.
• Gayrat Yakhshibaev, 2011, "Sources Of Short-Term Finance And Investment Opportunaties," European Journal of Business and Economics, Central Bohemia University, volume 2, issue 0, pages 60-621:2, September, DOI: 10.12955/ejbe.v2i0.105.
• Roxana Halbleib & Valeri Voev, 2011, "Forecasting Covariance Matrices: A Mixed Frequency Approach," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-03, Jan.
• Tim A. Kroencke & Felix Schindler & Andreas Schrimpf, 2011, "International Diversification Benefits with Foreign Exchange Investment Styles," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-10, Mar.
• Christian Bach, 2011, "Conservatism in Corporate Valuation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-32, Sep.
• Rasmus Tangsgaard Varneskov, 2011, "Flat-Top Realized Kernel Estimation of Quadratic Covariation with Non-Synchronous and Noisy Asset Prices," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-35, Sep.
• Manuel Lukas, 2011, "Return Predictability, Model Uncertainty, and Robust Investment," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-42, Nov.
• Diego Amaya & Peter Christoffersen & Kris Jacobs & Aurelio Vasquez, 2011, "Do Realized Skewness and Kurtosis Predict the Cross-Section of Equity Returns?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-44, Jul.
• Peter Christoffersen & Hugues Langlois, 2011, "The Joint Dynamics of Equity Market Factors," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2011-45, Sep.
• Marcelo Moura & Gustavo P. Joaquim, 2011, "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Business and Economics Working Papers, Unidade de Negocios e Economia, Insper, number 138.
• Philippe Bacchetta & Cedric Tille & Eric van Wincoop, 2011, "Regulating Asset Price Risk," American Economic Review, American Economic Association, volume 101, issue 3, pages 410-412, May.
• Stephanie E. Curcuru & Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2011, "US International Equity Investment and Past and Prospective Returns," American Economic Review, American Economic Association, volume 101, issue 7, pages 3440-3455, December.
• Laura Daniela TANASE (ROSCA), 2011, "The Degree Of Financial Education At The Romanian People," Journal of Doctoral Research in Economics, The Bucharest University of Economic Studies, volume 3, issue 1, pages 23-37, March.
• Kauffman, Nathan S. & Hayes, Dermot J., 2011, "The Impact of Price-Induced Hedging Behavior on Commodity Market Volatility," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania, Agricultural and Applied Economics Association, number 103242, DOI: 10.22004/ag.econ.103242.
• Witt, Rudolf & Waibel, Hermann, 2011, "Constraints to diversification of poor fishery-dependent households in Cameroon," African Journal of Agricultural and Resource Economics, African Association of Agricultural Economists, volume 6, issue 2, pages 1-21, September, DOI: 10.22004/ag.econ.156972.
• Olowa, Olatomide W. & Awoyemi, Timothy T., undated, "Remittances and Household Expenditure in Rural Nigeria," Journal of Rural Economics and Development, University of Ibadan, Department of Agricultural Economics, volume 20, pages 1-14, DOI: 10.22004/ag.econ.206866.
• Chambers, Robert G. & Grant, Simon & Polak, Ben & Quiggin, John, undated, "A Two-Parameter Model of Dispersion Aversion," Risk and Sustainable Management Group Working Papers, University of Queensland, School of Economics, number 151196, DOI: 10.22004/ag.econ.151196.
• Sorin Gabriel Anton, 2011, "The Local Determinants Of Emerging Market Sovereign Cds Spreads In The Context Of The Debt Crisis. An Explanatory Study "," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 58, pages 41-52, november.
• J.Swaminathan & A.Ananth, 2011, "Impact of Mutual Fund Investments in Indian Equity Market," Indian Journal of Commerce and Management Studies, Educational Research Multimedia & Publications,India, volume 2, issue 2, pages 228-238, March.
• Ec. Ana Preda, Ph. D Student, Lect. Mirela Monea Ph. D, 2011, "Theunit-Linkedinsurance- A Formof Long Termeconomizing In Thecontext Of Globalcrisis," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 4, issue 39, pages 251-258, May.
• Radu Sorin Claudiu Ph. D Student, 2011, "The Evolution Of The Behaviour Of Investors On The Capital Market," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 4, issue 39, pages 259-266, May.
• Anila Mançka, 2011, "The Influence Of The Macroeconmic Situation In The Value Of The Sytematic Credit Risk In Albania. An Statistical Analysis," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 16, pages 176-187, April.
• Anufriev, M. & Bottazzi, G. & Marsili, M. & Pin, P., 2011, "Excess Covariance and Dynamic Instability in a Multi-Asset Model," CeNDEF Working Papers, Universiteit van Amsterdam, Center for Nonlinear Dynamics in Economics and Finance, number 11-09.
• Luca RICCETTI, 2011, "A Copula-GARCH Model for Macro Asset Allocation of a Portfolio with Commodities: an Out-of-Sample Analysis," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 355, Jan.
• Giulio PALOMBA & Luca RICCETTI, 2011, "Portfolio Frontiers with Restrictions to Tracking Error Volatility and Value at Risk," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 358, Jun.
• Turhan Korkmaz & Hasan Uygurturk, 2011, "Comparison Of Investment Style: An Application On Share Weighted Funds Trading In Turkey," Anadolu University Journal of Social Sciences, Anadolu University, volume 11, issue 1, pages 1-12, January.
• David K. Musto, 2011, "The Economics of Mutual Funds," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 159-172, December.
• Karen K. Lewis, 2011, "Global Asset Pricing," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 435-466, December.
• Russ Wermers, 2011, "Performance Measurement of Mutual Funds, Hedge Funds, and Institutional Accounts," Annual Review of Financial Economics, Annual Reviews, volume 3, issue 1, pages 537-574, December.
• Olivier Gu'eant & Charles-Albert Lehalle & Joaquin Fernandez Tapia, 2011, "Optimal Portfolio Liquidation with Limit Orders," Papers, arXiv.org, number 1106.3279, Jun, revised Jul 2012.
• Martin Hoesli & Kustrim Reka, 2011, "Volatility Spillovers, Comovements and Contagion in Securitized Real Estate Markets," ERES, European Real Estate Society (ERES), number eres2011_63, Jan.
• Dan ARMEANU & Andreea NEGRU, 2011, "Optimizing The Portfolio Of Assets, According To The Markowitz Model," Internal Auditing & Risk Management, Athenaeum University of Bucharest, volume 30, issue 2(22), pages 8-14, June.
• Dan ARMEANU & Andreea NEGRU, 2011, "Usage Of The Main Components Analysis In The Management Of The Investment Portfolio," Internal Auditing & Risk Management, Athenaeum University of Bucharest, volume 23, issue 3, pages 61-70, september.
• Schröder, Thomas & Dunbar, Kwamie, 2011, "Effectively hedging the interest rate risk of wide floating-rate coupon spreads," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 2, pages 162-179, March.
• Geman, Hélyette & Kharoubi-Rakotomalala, Cécile, 2011, "Distortion risk measures for hedge funds," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 4, issue 3, pages 286-300, June.
• Riccardo Cesari & Anna Grazia Quaranta, 2011, "A robust risk-based approach in portfolio management," BANCARIA, Bancaria Editrice, volume 1, pages 18-31, January.
• Rosa Adamo & Domenica Federico & Antonella Notte, 2011, "cological finance and ethic/environmental mutual funds," BANCARIA, Bancaria Editrice, volume 2, pages 81-95, February.
• Steven Liew Woon Choy & Jayaraman Munusamy & Shankar Chelliah & Ally Mandari, 2011, "Effects of Financial Distress Condition on the Company Performance: A Malaysian Perspective," Review of Economics & Finance, Better Advances Press, Canada, volume 1, pages 85-99, August.
• Albert de-Paz & Jesus Marin-Solano & Jorge Navas, 2011, "Heterogeneous discounting in consumption-investment problems. Time consistent solutions," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 264.
• Raina Tsaneva, 2011, "Institutional Investment in Bulgaria – Trends, Problems and Directions," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 1, pages 66-89.
• Alexander Ganchev, 2011, "Portfolio Management Efficiency of Bulgarian Investment Funds," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 95-116.
• Walter Briec & Kristiaan Kerstens & Ignace Van de Woestyne, 2011, "Portfolio Selection with Skewness: A Comparison of Methods and Generalized Two Fund Separition Result," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 1103, Sep, revised Sep 2011.
• David Bolder & Simon Deeley, 2011, "The Canadian Debt-Strategy Model: An Overview of the Principal Elements," Discussion Papers, Bank of Canada, number 11-3, DOI: 10.34989/sdp-2011-3.
• Katya Kartashova, 2011, "The Private Equity Premium Puzzle Revisited," Staff Working Papers, Bank of Canada, number 11-6, DOI: 10.34989/swp-2011-6.
• Tabea Bucher-Koenen & Michael Ziegelmeyer, 2011, "Who lost the most? Financial Literacy, Cognitive Abilities, and the Financial Crisis," BCL working papers, Central Bank of Luxembourg, number 54, Feb.
• Tamara Burdisso & Eduardo Ariel Corso, 2011, "Uncertainty and Portfolio Dollarization. The Argentine Case in the Last Half Century," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 63, pages 41-95, July - Se.
• Mehmet SARAC & Mehmet Burak KAHYAOGLU, 2011, "The Analysis of Socio-Economic and Demographic Factors Effecting the Risk Taking Behaviour of Individual Investors," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 5, issue 2, pages 135-158.
• Serkan Yilmaz KANDIR & Halime INAN, 2011, "Testing Profitability of Momentum Investment Strategy in ISE," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 5, issue 2, pages 51-70.
• Michele Manna, 2011, "Home bias in interbank lending and banks� resolution regimes," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 816, Jul.
• Ibarra-Ramírez Raúl, 2011, "Stocks, Bonds and the Investment Horizon: A Spatial Dominance Approach," Working Papers, Banco de México, number 2011-03, Jun.
• Gaglianone, Wagner Piazza & Lima, Luiz Renato & Linton, Oliver & Smith, Daniel R., 2011, "Evaluating Value-at-Risk Models via Quantile Regression," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 1, pages 150-160.
• Han, Chirok & Cho, Jin Seo & Phillips, Peter C. B., 2011, "Infinite Density at the Median and the Typical Shape of Stock Return Distributions," Journal of Business & Economic Statistics, American Statistical Association, volume 29, issue 2, pages 282-294.
• BORGY, V. & ARRONDEL, L. & Frédérique Savignac, 2011, "Épargne et choix de portefeuille des ménages : approches micro et macroéconomiques," Bulletin de la Banque de France, Banque de France, issue 184, pages 45-57.
• Bachellerie, A. & Birouk, O. & Pfister, C., 2011, "La destination finale des placements financiers des ménages français," Bulletin de la Banque de France, Banque de France, issue 184, pages 59-69.
• ARRONDEL, L. & Frédérique Savignac & BACHELLERIE, A. & BIROUK, O. & CHAPUT, H., 2011, "Les comportements patrimoniaux des ménages en France : évolutions et déterminants entre 2004 et 2010," Bulletin de la Banque de France, Banque de France, issue 185, pages 89-107.
• Le Roux, J., 2011, "Les portefeuilles-titres des résidents français entre 2007 et 2010 d’après les statistiques de détention « titre par titre » de la Banque de France," Bulletin de la Banque de France, Banque de France, issue 186, pages 55-84.
• L. Arrondel. & V. Borgy. & F. Savignac., 2011, "Households’ savings and portfolio choices: micro and macroeconomic approaches," Quarterly selection of articles - Bulletin de la Banque de France, Banque de France, issue 22, pages 33-51, Summer.
• José Luis Barros Fernandes & José Renato Haas Ornelas & Oscar Augusto Martínez Cusicanqui, 2011, "Combining equilibrium, resampling, and analysts' views in portfolio optimization," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Carlos León & Alejandro Reveiz, 2011, "Portfolio optimization and long-term dependence," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Marie Brière & Ombretta Signori, 2011, "Inflation hedging portfolios in different regimes," BIS Papers chapters, Bank for International Settlements, in: Bank for International Settlements, "Portfolio and risk management for central banks and sovereign wealth funds".
• Jacob Gyntelberg & Andreas Schrimpf, 2011, "FX strategies in periods of distress," BIS Quarterly Review, Bank for International Settlements, December.
• Kathryn Graddy & Philip E. Margolis, 2011, "Fiddling With Value: Violins As An Investment?," Economic Inquiry, Western Economic Association International, volume 49, issue 4, pages 1083-1097, October, DOI: j.1465-7295.2010.00269.x.
• Frank M. Fossen, 2011, "The Private Equity Premium Puzzle Revisited—New Evidence on the Role of Heterogeneous Risk Attitudes," Economica, London School of Economics and Political Science, volume 78, issue 312, pages 656-675, October, DOI: j.1468-0335.2010.00864.x.
• G. William Schwert, 2011, "Stock Volatility during the Recent Financial Crisis," European Financial Management, European Financial Management Association, volume 17, issue 5, pages 789-805, November, DOI: 10.1111/j.1468-036X.2011.00620.x.
• Huseyin Gulen & Yuhang Xing & Lu Zhang, 2011, "Value versus Growth: Time‐Varying Expected Stock Returns," Financial Management, Financial Management Association International, volume 40, issue 2, pages 381-407, June.
• Roland Beck & Sebastian Weber, 2011, "Should Larger Reserve Holdings Be More Diversified?," International Finance, Wiley Blackwell, volume 14, issue 3, pages 415-444, December.
• Trond M. Døskeland & Hans K. Hvide, 2011, "Do Individual Investors Have Asymmetric Information Based on Work Experience?," Journal of Finance, American Finance Association, volume 66, issue 3, pages 1011-1041, June.
• Thierry Foucault & David Sraer & David J. Thesmar, 2011, "Individual Investors and Volatility," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1369-1406, August.
• George M. Constantinides & Michal Czerwonko & Jens Carsten Jackwerth & Stylianos Perrakis, 2011, "Are Options on Index Futures Profitable for Risk‐Averse Investors? Empirical Evidence," Journal of Finance, American Finance Association, volume 66, issue 4, pages 1407-1437, August.
• Alessandro Gavazza, 2011, "Demand spillovers and market outcomes in the mutual fund industry," RAND Journal of Economics, RAND Corporation, volume 42, issue 4, pages 776-804, December, DOI: j.1756-2171.2010.00154.x.
• Stefano Ugolini, 2011, "Foreign exchange reserve management in the 19th century: The National Bank of Belgium in the 1850s," Working Paper, Norges Bank, number 2011/07, Jul.
• Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011, "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper, Norges Bank, number 2011/19, Dec.
• Alexandros E. Milionis & Dimitra K. Patsouri, 2011, "A conditional CAPM; implications for the estimation of systematic risk," Working Papers, Bank of Greece, number 131, May.
• M. Marzo & D. Ritelli & P. Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp797, Nov.
• Pavel Bandarchuk & Jens Hilscher, 2011, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers, Brandeis School of Business and Economics, number 38, Sep.
• Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela, 2011, "Short-Run Asset Selection using a Logistic Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 227-256.
• Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2011, "Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 383-412.
• Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011, "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 4, pages 525-548.
• Werner Boente & Ute Filipiak, 2011, "Financial Investments, Information Flows, and Caste Affiliation - Empirical Evidence from India," Schumpeter Discussion Papers, Universitätsbibliothek Wuppertal, University Library, number sdp11014, Oct.
• Raphaëlle Bellando & Linh Tran-Dieu, 2011, "La relation entre flux d'entrées nets et performance des fonds. Une étude appliquée au cas des opcvm actions français," Revue économique, Presses de Sciences-Po, volume 62, issue 2, pages 255-275.
• Christian Walter, 2011, "Performation et surveillance du système financier," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 105-116.
• Marc Auberger, 2011, "Les difficultés de la valorisation des entreprises par les marchés financiers," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 209-216.
• Nathalie Oriol, 2011, "Investissement institutionnel et révision de la directive MIF," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 217-236.
• Ogilvie, S. & Küpker, M. & Maegraith, J., 2011, "Household Debt in Seventeenth-Century Württemberg: Evidence from Personal Inventories," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1148, Jul.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/05, Jan.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/28, Jul.
• Friedman, Dan & Sunder, Shyam, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt36q158jt, Jun.
• Rodolfo Apreda, 2011, "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 454, May.
• Guy Mayraz, 2011, "Wishful Thinking," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1092, Nov.
• Gunther Capelle-Blancard & Stéphanie Monjon, 2011, "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," Working Papers, CEPII research center, number 2011-12, May.
• Douglas James Hodgson & Aylin Seckin, 2011, "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers, CIRANO, number 2011s-14, Jan.
• Ke Pang, 2011, "Equity home bias, incomplete financial markets, and nominal rigidities," Canadian Journal of Economics, Canadian Economics Association, volume 44, issue 1, pages 340-363, February, DOI: 10.1111/j.1540-5982.2010.01635.x.
• Luis García-Álvarez & Richard Luger, 2011, "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers, CEMFI, number wp2011_1103, Apr, revised Sep 2011.
• Carlos Le�n & Daniel vela, 2011, "Foreign reserves� strategic asset allocation," Borradores de Economia, Banco de la Republica, number 8186, Mar.
• Cecilia Maya Ochoa & Catalina Mar�a Jaramillo Ospina & Lina Mar�a Montoya Madrigal, 2011, "¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?," Estudios Gerenciales, Universidad Icesi.
• César Corredor Velandia & Rafael de Jes�s Mej�a Pertuz, 2011, "Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicación del modelo CAPM," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 5, issue 1, pages 109-144.
• Carlos Arturo Gómez Restrepo & Mario Garc�a Molina, 2011, "Supuestos implícitos en la utilización del capital Assets Pricing Model - Capm - para el cálculo del costo del capital propio - Equity-," Documentos Doctorado en Ciencias Económicas, Universidad Nacional de Colombia, FCE, CID, number 8905, Aug.
• Claudía María García Mazo & Jilmer Arley Moreno Martínez, 2011, "Optimización de portafolios de pensiones en Colombia: el esquema de multifondos, 2003-2010," Revista Ecos de Economía, Universidad EAFIT.
• Luís Ángel Meneses Cerón & Ronald Alejandro Macuac� Otero, 2011, "Valoración y riesgo crediticio en Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 3, issue 2, pages 65-82.
• Carlo Alberto Magni, 2011, "Addendum to "Average Internal Rate of Return and Investment Decisions: A New Perspective"," Proyecciones Financieras y Valoración, Master Consultores, number 8138, Mar.
• Carlo Alberto Magni & Flavio Pressacco & Patrizia Stucchi, 2011, "A Quasi-IRR for a Project Without IRR," Proyecciones Financieras y Valoración, Master Consultores, number 8249, Mar.
• Giovanni Reyes, 2011, "Participación de agentes en mercados financieros: aplicación de los modelos chakraborty-ray y dornbusch," Revista Tendencias, Universidad de Narino, volume 12, issue 1, pages 192-212.
• GAHUNGU, Joachim & SMEERS, Yves, 2011, "Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011034, Jul.
• GAHUNGU, Joachim & SMEERS, Yves, 2011, "Sufficient and necessary conditions for perpetual multi-assets exchange options," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011035, Jul.
• Michiel Bijlsma & Sander Muns, 2011, "Systemic risk across sectors; Are banks different?," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 175, Apr.
• Jan Bonenkamp & Yvonne Adema & Lex Meijdam, 2011, "Retirement Flexibility and Portfolio Choice," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 182, Jun.
• Miles, David & McCarthy, David, 2011, "Optimal portfolio allocation for corporate pension funds," CEPR Discussion Papers, Centre for Economic Policy Research, number 8198, Jan.
• Titman, Sheridan & Kaniel, Ron & Liu, Shuming & Saar, Gideon, 2011, "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers, Centre for Economic Policy Research, number 8259, Feb.
• Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011, "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers, Centre for Economic Policy Research, number 8307, Apr.