Research classified by Journal of Economic Literature (JEL) codes

2004

• Alberto Naudon & Matías Tapia, 2004, "Ignorance, Fixed Costs, and the Stock Market Participation Puzzle," Econometric Society 2004 Latin American Meetings, Econometric Society, number 252, Aug.
• Miguel Lebre de Freitas, 2004, "Currency Substitution, Portfolio Diversification and Money Demand," Econometric Society 2004 Latin American Meetings, Econometric Society, number 263, Aug.
• Carlos Viana de Carvalho & Kevin Amonlirdviman, 2004, "Myopic Loss Aversion, Asymmetric Correlations, and the Home Bias," Econometric Society 2004 Latin American Meetings, Econometric Society, number 61, Aug.
• Herve Roche, 2004, "Optimum Consumption and Portfolio Allocations under Incomplete Information," Econometric Society 2004 Latin American Meetings, Econometric Society, number 79, Aug.
• Robin Brooks, 2004, "The Equity Premium and the Baby Boom," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 155, Aug.
• Joseph Nichols, 2004, "A Life-cycle Model with Housing, Portfolio Allocation, and Mortgage Financing," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 205, Aug.
• Paul Ehling, 2004, "Consumption, Portfolio Policies and Dynamic Equilibrium in the Presence of Preference for Ownership," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 311, Aug.
• Alex Shapiro & Suleyman Basak & Anna Pavlova, 2004, "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Econometric Society 2004 North American Winter Meetings, Econometric Society, number 583, Aug.
• Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004, "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 6, pages 1079-1113, March.
• Magni, Carlo Alberto, 2004, "Modelling excess profit," Economic Modelling, Elsevier, volume 21, issue 3, pages 595-617, May.
• Sentana, Enrique, 2004, "Factor representing portfolios in large asset markets," Journal of Econometrics, Elsevier, volume 119, issue 2, pages 257-289, April.
• Matsen, Egil & Thogersen, Oystein, 2004, "Designing social security - a portfolio choice approach," European Economic Review, Elsevier, volume 48, issue 4, pages 883-904, August.
• ter Horst, Jenke R. & Nijman, Theo E. & de Roon, Frans A., 2004, "Evaluating style analysis," Journal of Empirical Finance, Elsevier, volume 11, issue 1, pages 29-53, January.
• Nijman, Theo & Swinkels, Laurens & Verbeek, Marno, 2004, "Do countries or industries explain momentum in Europe?," Journal of Empirical Finance, Elsevier, volume 11, issue 4, pages 461-481, September.
• Cabrini, Silvina M. & Stark, Brian G. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2004, "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," 2004 Conference, April 19-20, 2004, St. Louis, Missouri, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management, number 19013, DOI: 10.22004/ag.econ.19013.
• Thomas Grebel & Horst Hanusch & Esther Merey, 2004, "Schumpeterian Dynamics and Financial Market Anomalies," Discussion Paper Series, Universitaet Augsburg, Institute for Economics, number 264, May.
• Aydogan Ulker, 2004, "Wealth Holdings and Portfolio Allocation of Older Couples: The Role of Spouses’ Marital History," CEPR Discussion Papers, Centre for Economic Policy Research, Research School of Economics, Australian National University, number 477, Sep.
• Ivan Popchev & Irina Radeva, 2004, "Bonds Portfolio Management: Analysis and Application of the Model of Multiperiod Immunization," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 4, pages 28-43.
• Joseph Atta-Mensah, 2004, "Commodity-Linked Bonds: A Potential Means for Less-Developed Countries to Raise Foreign Capital," Staff Working Papers, Bank of Canada, number 04-20, DOI: 10.34989/swp-2004-20.
• Joseph Atta-Mensah, 2004, "The Demand for Money in a Stochastic Environment," Staff Working Papers, Bank of Canada, number 04-7, DOI: 10.34989/swp-2004-7.
• Ingo Fender & John Kiff, 2004, "CDO rating methodology: Some thoughts on model risk and its implications," BIS Working Papers, Bank for International Settlements, number 163, Nov.
• Rogér Otten & Dennis Bams, 2004, "How to measure mutual fund performance: economic versus statistical relevance," Accounting and Finance, Accounting and Finance Association of Australia and New Zealand, volume 44, issue 2, pages 203-222, July, DOI: 10.1111/j.1467-629X.2004.00105.x.
• Lilia Maliar & Serguei Maliar, 2004, "Quasi‐geometric discounting: A closed‐form solution under the exponential utility function," Bulletin of Economic Research, Wiley Blackwell, volume 56, issue 2, pages 201-206, April, DOI: 10.1111/j.1467-8586.2004.00197.x.
• Foort Hamelink & Martin Hoesli, 2004, "What Factors Determine International Real Estate Security Returns?," Real Estate Economics, American Real Estate and Urban Economics Association, volume 32, issue 3, pages 437-462, September, DOI: 10.1111/j.1080-8620.2004.00098.x.
• Claudia M. Buch & John C. Driscoll & Charlotte Ostergaard, 2004, "Cross-Border Diversification in Bank Asset Portfolios," Working Paper, Norges Bank, number 2004/11, Sep.
• Christian Johannes Zimmer & Beat Matthias Niederhauser, 2004, "Determining an Efficient Frontier in a Stochastic Moment Setting," Brazilian Review of Finance, Brazilian Society of Finance, volume 2, issue 1, pages 91-116.
• Kugler, Peter & Weder, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Working papers, Faculty of Business and Economics - University of Basel, number 2004/04.
• Hara, C. & Christoph Kuzmics, 2004, "Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0452, Jul.
• Davies, G.B. & Satchell, S.E., 2004, "Continuous Cumulative Prospect Theory and Individual Asset Allocation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0467, Nov.
• Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004, "Portfolio Selection with Monotone Mean-Variance Preferences," Carlo Alberto Notebooks, Collegio Carlo Alberto, number 6, revised 2007.
• Schwartz, Eduardo S & Tebaldi, Claudio, 2004, "Illiquid Assets and Optimal Portfolio Choice," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt7q65t12x, Dec.
• Rodolfo Apreda, 2004, "Enhancing corporate governance with one-and two-tiered convertible preferred stock," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 260, Apr.
• Alan Auerbach & David Bradford, 2001, "Generalized Cash Flow Taxation," CESifo Working Paper Series, CESifo, number 425.
• Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2001, "Illusion of Expertise in Portfolio Decisions - An Experimental Approach," CESifo Working Paper Series, CESifo, number 621.
• Dennis Dittrich & Werner Güth & Boris Maciejovsky, 2001, "Overconfidence in Investment Decisions: An Experimental Approach," CESifo Working Paper Series, CESifo, number 626.
• Pascal St-Amour, 2004, "Ratchet vs Blasé Investors and Asset Markets," CIRANO Working Papers, CIRANO, number 2004s-11, Mar.
• Saltuk Ozerturk, 2004, "Direct sale of information when precision is unobservable," Canadian Journal of Economics, Canadian Economics Association, volume 37, issue 2, pages 269-293, May.
• Francisco Peñaranda & Enrique Sentana, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," Working Papers, CEMFI, number wp2004_0410.
• Francisco Peñaranda, 2004, "Are Vector Autoregressions an Accurate Model for Dynamic Asset Allocation?," Working Papers, CEMFI, number wp2004_0419.
• Palomino, Frédéric & Sadrieh, Abdolkarim, 2004, "Overconfidence and Delegated Portfolio Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4231, Feb.
• Hardouvelis, Gikas & Priestley, Richard & Malliaropoulos, Dimitrios, 2004, "The Impact of Globalization on the Equity Cost of Capital," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4346, Apr.
• Timmermann, Allan & Catão, Luís, 2004, "Country and Industry Dynamics in Stock Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4368, Apr.
• Sentana, Enrique & Peñaranda, Francisco, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean Variance Frontiers: A Unifying Approach," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4422, Jun.
• Kugler, Peter & Weder di Mauro, Beatrice, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4467, Jul.
• Muellbauer, John & Aron, Janine, 2004, "Estimates of Personal Sector Wealth for South Africa," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4646, Sep.
• Brunnermeier, Markus & Parker, Jonathan A, 2004, "Optimal Expectation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4656, Oct.
• Basak, Suleyman & Croitoru, Benjamin, 2004, "On the Role of Arbitrageurs in Rational Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4768, Dec.
• Goetzmann, William & Massa, Massimo & Simonov, Andrei, 2004, "Portfolio Diversification, Proximity Investment and City Agglomeration," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4786, Dec.
• Massa, Massimo, 2004, "Mutual Fund Competition and Stock Market Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4787, Dec.
• Massa, Massimo & Simonov, Andrei, 2004, "Hedging, Familiarity and Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4789, Dec.
• Massa, Massimo & Simonov, Andrei, 2004, "History versus Geography: The Role of College Interaction in Portfolio Choice and Stock Market Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4815, Dec.
• Massa, Massimo & Phalippou, Ludovic, 2004, "Mutual Funds and the Market for Liquidity," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 4818, Dec.
• Giannis Vardas & Anastasios Xepapadeas, 2004, "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers, University of Crete, Department of Economics, number 0402, Feb.
• Giannis Vardas & Anastasios Xepapadeas, 2004, "Uncertainty Aversion and Robust Portfolio Choices," Working Papers, University of Crete, Department of Economics, number 0408, Oct.
• Kyoung Jin Choi & Hyeng Keun Koo & Do Young Kwak, 2004, "Optimal Stopping of Active Portfolio Management," Annals of Economics and Finance, Society for AEF, volume 5, issue 1, pages 93-126, May.
• Marquering, Wessel & Verbeek, Marno, 2004, "The Economic Value of Predicting Stock Index Returns and Volatility," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 39, issue 2, pages 407-429, June.
• Jonathan A. Parker & Christian Julliard, 2004, "Consumption Risk and the Cross-Section of Expected Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 138, Mar.
• Olivier Davanne, 2004, "Volatilité des marchés financiers et allocation d’actifs," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 177-201, DOI: 10.3406/ecofi.2004.5038.
• Serge Darolles & Gaëlle Le Fol, 2004, "Nouvelles techniques de gestion et leur impact sur la volatilité," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 231-243, DOI: 10.3406/ecofi.2004.5042.
• Caroline Marie-Jeanne, 2004, "Finance et éthique, la réconciliation ?," Revue d'Économie Financière, Programme National Persée, volume 74, issue 1, pages 319-332, DOI: 10.3406/ecofi.2004.5047.
• Frédéric Gonand, 2004, "Fonds de pension américains : une évaluation du risque macroéconomique," Revue d'Économie Financière, Programme National Persée, volume 75, issue 2, pages 291-311, DOI: 10.3406/ecofi.2004.4907.
• Francesco Giurda & Elias Tzavalis, 2004, "Is the Currency Risk Priced in Equity Markets?," Working Papers, Queen Mary University of London, School of Economics and Finance, number 511, Mar.
• Ellis Connolly & Marion Kohler, 2004, "The Impact of Superannuation on Household Saving," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-01, Mar.
• Anthony Richards, 2004, "Big Fish in Small Ponds: The Trading Behaviour and Price Impact of Foreign Investors in Asian Emerging Equity Markets," RBA Research Discussion Papers, Reserve Bank of Australia, number rdp2004-05, Jun.
• Carol Alexander & Anca Dimitriu, 2004, "The Art of Investing in Hedge Funds: Fund Selection and Optimal Allocations," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-01, Jan.
• Carol Alexander & Anca Dimitriu, 2004, "A Comparison of Cointegration & Tracking Error Models for Mutual Funds & Hedge Funds," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2004-03, Mar.
• Dirk Krueger & Karsten Jeske, 2004, "Housing and the Macroeconomy: The Role of Implicit Guarantees for Government Sponsored Enterprises," 2004 Meeting Papers, Society for Economic Dynamics, number 100.
• Adam Szeidl & Raj Chetty, 2004, "Consumption Commitments and Asset Prices," 2004 Meeting Papers, Society for Economic Dynamics, number 354.
• Claudio Campanale, 2004, "Learning and the Return to Private Equity," 2004 Meeting Papers, Society for Economic Dynamics, number 650.
• Igor Livshits & Jim MacGee, 2004, "Accounting for the Rise in Consumer Bankruptcies in the U.S. and Canada," 2004 Meeting Papers, Society for Economic Dynamics, number 822.
• Myron Scholes, 2004, "The future of hedge funds," Journal of Financial Transformation, Capco Institute, volume 10, pages 8-11.
• John Mulvey, 2004, "The role of hedge funds for long-term investors," Journal of Financial Transformation, Capco Institute, volume 10, pages 23-28.
• François-Serge Lhabitant & Michelle Learned De Piante Vicin, 2004, "Finding the sweet spot of hedge fund diversification," Journal of Financial Transformation, Capco Institute, volume 10, pages 31-39.
• Christopher Kundro & Stuart Feffer, 2004, "Valuation issues and operational risk in hedge funds," Journal of Financial Transformation, Capco Institute, volume 10, pages 41-47.
• Ashley Kovas, 2004, "Hedge funds and U.K. regulation," Journal of Financial Transformation, Capco Institute, volume 10, pages 49-55.
• George Feiger & Pascal Botteron, 2004, "Should you, would you, could you invest in hedge funds?," Journal of Financial Transformation, Capco Institute, volume 10, pages 57-65.
• Carol Kaufman, 2004, "Shadow accounting: The evolving practice of exercising due diligence in fund reporting," Journal of Financial Transformation, Capco Institute, volume 10, pages 67-71.
• John Purvis, 2004, "An E.U.-wide passport for hedge funds," Journal of Financial Transformation, Capco Institute, volume 10, pages 74-78.
• Wolfgang Mansfeld, 2004, "A single market for hedge funds," Journal of Financial Transformation, Capco Institute, volume 10, pages 80-81.
• Shelby du Pasquier, 2004, "Marketing of hedge funds in Switzerland," Journal of Financial Transformation, Capco Institute, volume 10, pages 82-85.
• McFall Lamm, 2004, "The hedge fund revolution," Journal of Financial Transformation, Capco Institute, volume 10, pages 87-95.
• Peter Douglas, 2004, "Hedge funds in Asia," Journal of Financial Transformation, Capco Institute, volume 10, pages 97-105.
• Noel Amenc & Jean-René Giraud, 2004, "Key findings of the Edhec ‘European alternative multi-management practices’ survey," Journal of Financial Transformation, Capco Institute, volume 10, pages 107-113.
• Tycho Sneyers, 2004, "Private equity - An industry in transformation," Journal of Financial Transformation, Capco Institute, volume 10, pages 116-118.
• Ruud van Frederikslust & Roy van der Geest, 2004, "Initial returns and long-run performance of private equity-backed initial public offerings on the Amsterdam Stock Exchange," Journal of Financial Transformation, Capco Institute, volume 10, pages 121-127.
• Lars Hamich, 2004, "What lies beneath," Journal of Financial Transformation, Capco Institute, volume 11, pages 48-51.
• James Hedges, 2004, "Hedge fund indices," Journal of Financial Transformation, Capco Institute, volume 11, pages 52-56.
• Larry Epstein & Martin Schneider, 2004, "Ambiguity, Information Quality and Asset Pricing," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 507, May.
• Emily Denvir & Elaine Hutson, 2004, "The performance and diversification benefits of funds of hedge funds," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/1179.
• David Goldbaum & Bruce Mizrach, 2004, "Estimating the Intensity of Choice in a Dynamic Mutual Fund Allocation Decision," Departmental Working Papers, Rutgers University, Department of Economics, number 200414, Jun.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004, "A Risk Assessment Model for Banks," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe11.
• Charles A.E. Goodhart & Pojanart Sunirand & Dimitrios P. Tsomocos, 2004, "A Time Series Analysis of Financial Fragility in the UK Banking System," OFRC Working Papers Series, Oxford Financial Research Centre, number 2004fe18.
• Chia-Hsuan Yeh, 2004, "Statistical Evidences for the Influence of GP's Representation on Forecasting," Computing in Economics and Finance 2004, Society for Computational Economics, number 156, Aug.
• D. Widijanto & S. Nagornii, 2004, "Portfolio & Risk Management: Asset Allocation and Risk Budgeting Optimization," Computing in Economics and Finance 2004, Society for Computational Economics, number 160, Aug.
• Jan Wenzelburger & Volker Boehm, 2004, "On the performance of efficient portfolios," Computing in Economics and Finance 2004, Society for Computational Economics, number 197, Aug.
• Hendri Adriaens & Bas Donkers, 2004, "Extending the CAPM model," Computing in Economics and Finance 2004, Society for Computational Economics, number 204, Aug.
• Thomas Weitzenblum & Philippe Bernard, 2004, "Portfolio choice, life-cycle and idiosyncratic income risk : the semi-external habit formation approach," Computing in Economics and Finance 2004, Society for Computational Economics, number 223, Aug.
• Ya-Chi Huang & Shu-Heng Chen, 2004, "Discussing the Survivability Issue in Agent-Based Artificial Stock Market," Computing in Economics and Finance 2004, Society for Computational Economics, number 300, Aug.
• Renato G. Flores Jr & Gustavo M. de Athayde, 2004, "A Strategy for Including Odd and Even-Numbered Higher Moments in Portfolio Selection," Computing in Economics and Finance 2004, Society for Computational Economics, number 341, Aug.
• Pierangelo Ciurlia & Ilir Roko, 2004, "Valuation of American Continuous-Installment Options," Computing in Economics and Finance 2004, Society for Computational Economics, number 345, Aug.
• Nalan Gulpinar & Berc Rustem, 2004, "Robust investment policies with bound forecasts," Computing in Economics and Finance 2004, Society for Computational Economics, number 68, Aug.
• Carl Chiarella & Chih-ying Hsiao, 2004, "Stratetic Asset Allocation with an Arbitrage-Free Bond Market using Dynamic Programming," Computing in Economics and Finance 2004, Society for Computational Economics, number 73, Aug.
• M. Hashem Pesaran & Paolo Zaffaroni, 2004, "Model Averaging and Value-at-Risk based Evaluation of Large Multi Asset Volatility Models for Risk Management," IEPR Working Papers, Institute of Economic Policy Research (IEPR), number 04.3, Oct.
• Yannis Bilias & Michael Haliassos, 2004, "The Distribution of Gains from Access to Stocks," CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, number 125, Sep.
• Peter Kugler & Beatrice Weder, 2004, "International Portfolio Holdings and Swiss Franc Asset Returns," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 140, issue III, pages 301-325, September.
• Samuel Reynard, 2004, "Financial Market Participation and the Apparent Instability of Money Demand," Working Papers, Swiss National Bank, number 2004-01.
• Marie-Paule Laurent, 2004, "Asset return correlation in Basel II: implications for credit risk management," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 04-017.RS, Apr.
• Farooq Malik & Syed Hassan, 2004, "Modeling volatility in sector index returns with GARCH models using an iterated algorithm," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 28, issue 2, pages 211-225, June, DOI: 10.1007/BF02761612.
• Nguyen-Thanh Long, 2004, "Investment optimization under constraints," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 60, issue 2, pages 175-201, October, DOI: 10.1007/s001860400368.
• Nils Chr. Framstad, 2004, "On Portfolio Separation in the Merton Problem with Bankruptcy or Default," Springer Books, Springer, in: Sergio Albeverio & Anne Boutet de Monvel & Habib Ouerdiane, "Proceedings of the International Conference on Stochastic Analysis and Applications", DOI: 10.1007/978-1-4020-2468-9_16.
• Torfinn Harding & Haakon O. Aa. Solheim & Andreas Benedictow, 2004, "House ownership and taxes," Discussion Papers, Statistics Norway, Research Department, number 395, Nov.
• Laura Veldkamp & Stijn Van Nieuwerburgh, 2004, "Information Immobility and the Home Bias Puzzle," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 04-32.
• Kpate Adjaoute & Jean-Pierre Danthine, 2004, "Portfolio diversification: alive and well in Euro-land!," Applied Financial Economics, Taylor & Francis Journals, volume 14, issue 17, pages 1225-1231, DOI: 10.1080/0960310042000203028.
• Foort Hamelink & Martin Hoesli, 2004, "Maximum drawdown and the allocation to real estate," Journal of Property Research, Taylor & Francis Journals, volume 21, issue 1, pages 5-29, January, DOI: 10.1080/0959991042000217903.
• Andrew Ang & Geert Bekaert, 2004, "How Regimes Affect Asset Allocation," Financial Analysts Journal, Taylor & Francis Journals, volume 60, issue 2, pages 86-99, March, DOI: 10.2469/faj.v60.n2.2612.
• de Roon, F.A., 2004, "On the Estimation Error in Mean-Variance Efficient Portfolio Weights," Discussion Paper, Tilburg University, Center for Economic Research, number 2004-106.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2004, "Do countries or industries explain momentum in Europe?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 73c21ccd-7c67-4e11-8eac-5.
• Kondor, Peter, 2004, "The more we know, the less we agree: public announcements and higher-order expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24645, Dec.
• Kondor, Peter, 2004, "Rational trader risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24646, May.
• Gomes, Francisco & Michaelides, Alexander, 2004, "A human capital explanation for an asset allocation puzzle?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24705, Apr.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A risk assessment model for banks," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24750, Jun.
• Inkmann, Joachim & Blake, David, 2004, "Liability valuation and optimal asset allocation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24754, Aug.
• Goodhart, Charles & Sunirand, Pojanart & Tsomocos, Dimitrios P., 2004, "A time series analysis of financial fragility in the UK banking system," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24778, Sep.
• Patton, Andrew J., 2004, "Are "market neutral" hedge funds really market neutral?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24819, Oct.
• Cairns, Andrew J. G. & Blake, David & Dowd, Kevin, 2004, "Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24831, Sep.
• Julliard, Christian, 2004, "Human capital and international portfolio choice," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4813, Oct.
• Díaz-Tinoco, Jaime & Venegas-Martínez, Francisco, 2004, "Márgenes con spread intraclase para el mercado mexicano de derivados," El Trimestre Económico, Fondo de Cultura Económica, volume 71, issue 283, pages 681-715, julio-sep.
• Kole, H.J.W.G. & Koedijk, C.G. & Verbeek, M.J.C.M., 2004, "The effects of systemic crises when investors can be crisis ignorant," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-027-F&A, Apr.
• Post, G.T. & van Vliet, P., 2004, "Conditional Downside Risk and the CAPM," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-048-F&A, Jul.
• Jacobsen, B. & Marquering, W.A., 2004, "Is it the weather?," ERIM Report Series Research in Management, Erasmus Research Institute of Management (ERIM), ERIM is the joint research institute of the Rotterdam School of Management, Erasmus University and the Erasmus School of Economics (ESE) at Erasmus University Rotterdam, number ERS-2004-100-F&A, Dec.
• Gerlinde Fellner, 2004, "Illusion of control as a source of poor diversification: An experimental approach," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2004-28, May.
• Kristien Smedts, 2004, "International Dynamic Asset Allocation and the Effect of the Exchange Rate," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0404, Mar.
• Paul EHLING & Sofia B. RAMOS, 2004, "Geographic Versus Industry Diversification: Contraints Matter," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp113, Aug.
• Alexander Passow, 2004, "Omega Portfolio Construction with Johnson Distributions," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp120, Nov.
• Julien Hugonnier & Erwan Morellec, 2004, "Investment under Uncertainty and Incomplete Markets," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp122, May.
• Zdenìk Zmeškal, 2004, "Hedging Strategies and Financial Risks," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 1-2, pages 50-63, January.
• Tichý Tomáš, 2004, "Replication Methods in the Pricing and Hedging of Barrier Options," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 7-8, pages 305-324, July.
• Igor Melicherèík & Cyril Ungvarský, 2004, "Pension Reform in Slovakia: Fiscal Debt and Pension Levels," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 54, issue 9-10, pages 391-404, September.
• Ottavio Ricchi & Adolfo Di Carluccio & Cecilia Frale, 2004, "Do Privatizations Boost Household Shareholding? Evidence from Italy," Working Papers, Fondazione Eni Enrico Mattei, number 2004.3, Jan.
• Anastasios Xepapadeas & Giannis Vardas, 2004, "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers, Fondazione Eni Enrico Mattei, number 2004.66, Apr.
• Winfried Hallerbach, Haikun Ning, Jaap Spronk, 2004, "The Effects of Decision Flexibility in the Hierarchical Investment Decision Process," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 1, pages 17-36, June.
• Stéphane MUssard, Virginie Terraza, 2004, "Parametric and Non-Parametric Measures of Volatility : Risk Estimation via the Gini Decompostion and Comparison with the Value-at-Risk," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 141-156, December.
• Roger B. Atindéhou, Jean-Pierre Gueyié, 2004, "Canadian Mutual Fund Flows and Capital Market Movements," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 70-84, December.
• Luis Ferruz, José L. Sarto, Maria Vargas, 2004, "Parametric and Non-Parametric Analysis of Performance Persistence in Spanish Investment Funds," Frontiers in Finance and Economics, SKEMA Business School, volume 1, issue 2, pages 85-100, December.
• Jeffrey R. Brown & Zoran Ivković & Paul A. Smith & Scott Weisbenner, 2004, "The geography of stock market participation: the influence of communities and local firms," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-22.
• Jeffrey R. Brown & J. Nellie Liang & Scott Weisbenner, 2004, "401(k) matching contributions in company stock: costs and benefits for firms and workers," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-23.
• Claudia M. Buch & John C. Driscoll & Charlotte Ostergaard, 2004, "Cross-border diversification in bank asset portfolios," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2004-26.
• Fang Cai & Francis E. Warnock, 2004, "International diversification at home and abroad," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 793.
• John D. Burger & Francis E. Warnock, 2004, "Foreign participation in local-currency bond markets," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 794.
• Charles P. Thomas & Francis E. Warnock & Jon Wongswan, 2004, "The Performance of International Equity Portfolios," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 817.
• Enrique Sentana & Francisco Penaranda, 2004, "Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach," FMG Discussion Papers, Financial Markets Group, number dp497, May.
• Enrique Sentana, 2004, "Estimation and Testing of Dynamic Models with Generalised Hyperbolic Innovations," FMG Discussion Papers, Financial Markets Group, number dp502, Jun.
• León, Teresa & Liern, Vicente & Marco, Paulina & Vicente Segura, José & Vercher, Enriqueta, 2004, "A Downside Risk Approach For The Portfolio Selection Problem With Fuzzy Returns," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 1, pages 61-77, May.
• Michalopoulos, Michael & Thomaidis, Nikolaos S. & Dounias, George D. & Zopounidis, Constantin, 2004, "Using A Fuzzy Sets Approach To Select A Portfolio Of Greek Government Bonds," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 27-48, November.
• Charalambos D. Aliprantis & Monique Florenzano & Victor-Filipe Martins-Da-Rocha & Rabee Tourky, 2004, "Equilibrium analysis in financial markets with countably many securities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00086810, Sep, DOI: 10.1016/j.jmateco.2003.06.003.
• Frédéric Gonand, 2004, "Fonds de pension américains : une évaluation du risque macroéconomique," Post-Print, HAL, number hal-01294346.
• Charalambos D. Aliprantis & Monique Florenzano & Victor-Filipe Martins-Da-Rocha & Rabee Tourky, 2004, "Equilibrium analysis in financial markets with countably many securities," Post-Print, HAL, number halshs-00086810, Sep, DOI: 10.1016/j.jmateco.2003.06.003.
• Serge Darolles & Gaëlle Le Fol, 2004, "Nouvelles techniques de gestion et leur impact sur la volatilité," Post-Print, HAL, number halshs-00586095.
• Engström, Stefan, 2004, "Does Active Portfolio Management Create Value? An Evaluation of Fund Managers' Decisions," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 553, Jan.
• Engström, Stefan, 2004, "Investment Strategies, Fund Performance and Portfolio Characteristics," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 554, Jan.
• Engström, Stefan & Westerberg, Anna, 2004, "Information Costs and Mutual Fund Flows," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 555, Jan.
• Anderson, Anders E. S., 2004, "One for the Gain, Three for the Loss," SIFR Research Report Series, Institute for Financial Research, number 20, Apr.
• Massa, Massimo & Simonov, Andrei, 2004, "Hedging, Familiarity and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 21, Mar.
• Anderson, Anders E.S., 2004, "All Guts, No Glory: Trading and Diversification among Online Investors," SIFR Research Report Series, Institute for Financial Research, number 25, Apr.
• Bansal, Ravi & Dahlquist, Magnus & Harvey, Campbell R., 2004, "Dynamic Trading Strategies and Portfolio Choice," SIFR Research Report Series, Institute for Financial Research, number 31, Oct.
• Fabio Maccheroni & Massimo Marinacci & Aldo Rustichini & Marco Taboga, 2004, "Portfolio Selection with Monotone Mean-Variance Preferences," ICER Working Papers - Applied Mathematics Series, ICER - International Centre for Economic Research, number 27-2004, Apr, revised Dec 2004.
• Jeroen V.K. Rombouts & Marno Verbeek, 2004, "Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models," Cahiers de recherche, HEC Montréal, Institut d'économie appliquée, number 04-14, Dec.
• Brian M Lucey & Edel Tully & Valerio Poti, 2005, "International Portfolio Formation, Skewness & the Role of Gold," The Institute for International Integration Studies Discussion Paper Series, IIIS, number iiisdp030, Jan.
• Donald Lien, 2004, "A Note on Dual Hedging," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 1, pages 29-34, April.
• Randy I. Anderson & Christopher M. Brockman & Christos Giannikos & Robert W. McLeod, 2004, "A Non-Parametric Examination of Real Estate Mutual Fund Efficiency," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 3, issue 3, pages 225-238, December.
• José Carlos Ramirez Sánchez, 2004, "Usos y limitaciones de los procesos estocásticos en el tratamiento de distribuciones de rendimientos con colas gordas," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 19, issue 1, pages 51-76, June.
• Tanaka, Hiroatsu & Baba, Naohiko, 2004, "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 22, issue 1, pages 91-121, March.
• Elvio Accinelli, 2004, "Inversión Bajo Incertidumbre," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 1, pages 21-44, Marzo 200.
• Eneas A. Caldiño García, 2004, "An Application Of Gibbons-Ross-Shanken'S Test Of The Efficiency Of A Given Portfolio," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 3, issue 1, pages 45-53, Marzo 200.