Research classified by Journal of Economic Literature (JEL) codes

2002

• Stéphanie Gautrieaud, 2002, "Le risque pays : approche conceptuelle et approche pratique," Documents de travail, Groupe d'Economie du Développement de l'Université Montesquieu Bordeaux IV, number 72, Jun.
• Tobias J. Moskowitz & Annette Vissing-Jorgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8876, Apr.
• Annette Vissing-Jorgensen, 2002, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," NBER Working Papers, National Bureau of Economic Research, Inc, number 8884, Apr.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," NBER Working Papers, National Bureau of Economic Research, Inc, number 8895, Apr.
• Ravi Jagannathan & Tongshu Ma, 2002, "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," NBER Working Papers, National Bureau of Economic Research, Inc, number 8922, May.
• Matthias Kahl & Jun Liu & Francis A. Longstaff, 2002, "Paper millionaires: How valuable is stock to a stockholder who is restricted from selling it?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8969, May.
• G. Andrew Karolyi & Rene M. Stulz, 2002, "Are Financial Assets Priced Locally or Globally?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8994, Jun.
• John M. Griffin & Federico Nardari & Rene M. Stulz, 2002, "Daily Cross-Border Equity Flows: Pushed or Pulled?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9000, Jun.
• Kenneth A. Froot & Tarun Ramadorai, 2002, "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 9080, Jul.
• Kenneth A. Froot & Tarun Ramadorai, 2002, "Currency Returns, Institutional Investor Flows, and Exchange Rate Fundamentals," NBER Working Papers, National Bureau of Economic Research, Inc, number 9101, Aug.
• Nellie Liang & Scott Weisbenner, 2002, "Investor Behavior and the Purchase of Company Stock in 401(k) Plans - The Importance of Plan Design," NBER Working Papers, National Bureau of Economic Research, Inc, number 9131, Aug.
• Nicholas Barberis & Richard Thaler, 2002, "A Survey of Behavioral Finance," NBER Working Papers, National Bureau of Economic Research, Inc, number 9222, Sep.
• Paul Asquith & Michael B. Mikhail & Andrea S. Au, 2002, "Information Content of Equity Analyst Reports," NBER Working Papers, National Bureau of Economic Research, Inc, number 9246, Oct.
• Steven J. Davis & Felix Kubler & Paul Willen, 2002, "Borrowing Costs and the Demand for Equity Over the Life Cycle," NBER Working Papers, National Bureau of Economic Research, Inc, number 9331, Nov.
• Christopher S. Jones & Jay Shanken, 2002, "Mutual Fund Performance with Learning Across Funds," NBER Working Papers, National Bureau of Economic Research, Inc, number 9392, Dec.
• Kathryn Graddy & Orley Ashenfelter & Princeton University and NBER, 2002, "Auctions and the Price of Art," Economics Series Working Papers, University of Oxford, Department of Economics, number 131, Nov.
• Haefliger, Thomas & Waelchli, Urs & Wydler, Daniel, 2002, "Hedging currency risk: Does it have to be so complicated?," MPRA Paper, University Library of Munich, Germany, number 26451.
• Reinker, Kenneth S. & Tower, Edward, 2002, "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers, Duke University, Department of Economics, number 02-22.
• HENROTTE, Philippe, 2002, "Pricing kernels and dynamic portfolios," HEC Research Papers Series, HEC Paris, number 768, Aug.
• Zengjing Chen & Larry Epstein, 2002, "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, volume 70, issue 4, pages 1403-1443, July.
• Jermann, Urban J., 2002, "International portfolio diversification and endogenous labor supply choice," European Economic Review, Elsevier, volume 46, issue 3, pages 507-522, March.
• Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002, "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, volume 9, issue 3, pages 343-360, August.
• Michel Normandin & Pascal St–Amour, 2002, "Canadian consumption and portfolio shares," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 35, issue 4, pages 737-756, November, DOI: 10.1111/1540-5982.00152.
• Alexei Gretchikha, 2002, "Optimization of Risk Exposure," Finance, University Library of Munich, Germany, number 0207006, Aug.
• Ralph de Haas, 2002, "Het integraal kwantificeren van valutarisico’s," Finance, University Library of Munich, Germany, number 0209004, Sep.
• V.-P. Heikkinen & & Timo Kuosmanen, 2002, "Stochastic Dominance Portfolio Analysis of Forestry Assets," Finance, University Library of Munich, Germany, number 0210002, Oct.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Pietro Rossi & Massimo Tavoni & Flavio Cocco & Robert Marschinski, 2002, "Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo," Finance, University Library of Munich, Germany, number 0211003, Nov, revised 28 Nov 2002.
• Kari Heimonen, 2002, "Substituting a Substitute Currency – The Case of Estonia," International Finance, University Library of Munich, Germany, number 0209003, Sep.
• Enrico De Giorgi, 2002, "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Risk and Insurance, University Library of Munich, Germany, number 0209001, Sep, revised 09 Sep 2002.
• Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2002, "From Rags To Riches: On Constant Proportions Investment Strategies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 06, pages 563-573, DOI: 10.1142/S0219024902001547.
• Glaser, Markus & Weber, Martin, 2002, "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 02-43, May.
• Vicente Pascual Pons-Sanz & Alok Kumar, 2002, "Behavior and Performance of Investment Newsletters Analysts," Yale School of Management Working Papers, Yale School of Management, number ysm275, Mar.
• Stephen Brown & William Goetzmann & Bing Liang, 2002, "Fees on Fees in Funds of Funds," Yale School of Management Working Papers, Yale School of Management, number ysm309, Oct, revised 01 Sep 2009.
• Thierbach, Frank, 2002, "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2002.
• Maurer, Raimond H. & Schlag, Christian, 2002, "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/03.
• Adam-Müller, Axel F. A. & Wong, Kit Pong, 2002, "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/08.
• Schindler, Dirk & Hilgers, Bodo, 2002, "Shall We Tax the Risk Premium?," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/17.
• Lahusen, Reinhard, 2002, "Asset allocation for pension provision," Research Notes, Deutsche Bank Research, number 1.
• Mann, Catherine L. & Meade, Ellen E., 2002, "Home bias, transactions costs, and prospects for the Euro: A more detailed analysis," Research Notes, Deutsche Bank Research, number 6.
• Antzoulatos, Angelos A., 2002, "Benchmark yield undershooting in the E.M.U," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 191.
• Palomino, Frederic & Uhlig, Harald, 2002, "Should smart investors buy funds with high returns in the past?," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,28.
• Breuer, Wolfgang & Gürtler, Marc, 2002, "Performance evaluation, portfolio selection, and HARA utility," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW01V4.
• Walther, Ursula, 2002, "Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2002/12.
• Alexis Derviz, 2002, "The uncovered parity properties of the czech koruna," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 17-37, DOI: 10.18267/j.pep.186.
• Markus K. Brunnermeier & Jonathan A. Parker, 2002, "Optimal Expectations," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 146, Dec.
• Gianluca Bison & Loriana Pellizzon & Domenico Sartore, 2002, "La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati," Moneta e Credito, Economia civile, volume 55, issue 217, pages 55-75.
• Arie Kapteyn & Federica Teppa, 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Working Papers, RAND Corporation, number DRU-2802, Jan.
• Carol Alexandra & Anca Dimitriu, 2002, "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-08, Apr.
• Shahin Shojai & George Feiger, 2002, "Les Banquiers Suisses: Can They Remain Leaders in Private Banking?," Journal of Financial Transformation, Capco Institute, volume 4, pages 65-72.
• Laurent Favre & José-Antonio Galeano, 2002, "Portfolio allocation with hedge funds: Case study of a Swiss institutional investor," Journal of Financial Transformation, Capco Institute, volume 4, pages 57-63.
• Merlin Stone, 2002, "Managing wealth: A new approach in the U.K," Journal of Financial Transformation, Capco Institute, volume 4, pages 77-94.
• Koren Miklós & Szeidl Ádám, 2002, "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers, Rajk László College, number 6, Feb.
• Larry Epstein & Martin Schneider, 2002, "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 497, Oct, revised Mar 2005.
• J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002, "The Value of Asset Allocation Advice - Evidence of The Economist s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 02/160, Dec.
• Christopher Rude, 2002, "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002, Society for Computational Economics, number 119, Jul.
• Michael Haliassos & Michael Reiter, 2002, "Co-existence of Credit Card Debt with Liquid and Retirement Assets: Two Puzzles or None?," Computing in Economics and Finance 2002, Society for Computational Economics, number 179, Jul.
• John Campbell & Joao F. Cocco, 2002, "Household Risk Management and Optimal Mortgage Choice," Computing in Economics and Finance 2002, Society for Computational Economics, number 47, Jul.
• Sebastien Page & Anne-Sophie Vanroyen, 2002, "The Multiple Dimensions of Asset Allocation:Countries, Sectors or Factors?," Computing in Economics and Finance 2002, Society for Computational Economics, number 65, Jul.
• Frank Schlottmann & Detlef Seese, 2002, "Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios," Computing in Economics and Finance 2002, Society for Computational Economics, number 78, Jul.
• Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, 2002, "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue IV, pages 465-487, December.
• (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002, "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, volume 6, issue 3, pages 371-382.
• Hans Föllmer & Alexander Schied, 2002, "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, volume 6, issue 4, pages 429-447.
• Bruno Bouchard, 2002, "Utility maximization on the real line under proportional transaction costs," Finance and Stochastics, Springer, volume 6, issue 4, pages 495-516.
• Denis Talay & Ziyu Zheng, 2002, "Worst case model risk management," Finance and Stochastics, Springer, volume 6, issue 4, pages 517-537.
• Karyl Leggio & Donald Lien, 2002, "Hedging gas bills with weather derivatives," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 26, issue 1, pages 88-100, March, DOI: 10.1007/BF02744454.
• Arjen Siegmann & André Lucas, 2002, "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-046/2, May.
• Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-111.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-9.
• Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002, "The Dynamics of the Impact of Past Performance on Mutual Fund Flows," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-2.
• Lutgens, F. & Sturm, J.F., 2002, "Robust One Period Option Modelling," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-114.
• Kapteyn, A. & Teppa, F., 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-11.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8cea7ebd-d3f6-493c-bf65-3.
• Kapteyn, A. & Teppa, F., 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Other publications TiSEM, Tilburg University, School of Economics and Management, number c2d00e7e-f351-41d1-be09-4.
• Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002, "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0212, Nov.
• Alfonso Novales & J.A. Lafuente, 2002, "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0223.
• WenShwo Fang & Stephen M. Miller, 2002, "Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis," Working papers, University of Connecticut, Department of Economics, number 2002-31, Oct.
• Pablo Marshall & Eduardo Walker, 2002, "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, volume 29, issue 2 Year 20, pages 247-268, December.
• Graciela Sanromán, 2002, "A Discrete Choice Analysis of the Household Shares of Risky Assets," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0702, Dec.
• Mann, Catherine L. & Meade, Ellen E., 2002, "Home bias, transactions costs, and prospects for the Euro: a more detailed analysis," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 20076, Jun.
• Zigrand, Jean-Pierre, 2002, "Rational asset pricing implications from realistic trading frictions," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24933, Mar.
• Iacoviello, Matteo & Ortalo-Magné, François, 2002, "Hedging housing risk in London," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24934, Oct.
• Patton, Andrew J., 2002, "On the out-of-sample importance of skewness and asymetric dependence for asset allocation," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24951, Dec.
• Brunnermeier, Markus K. & Parker, Jonathan A., 2002, "Optimal expectations," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24954, Dec.
• Julliard, Christian, 2002, "The international diversification puzzle is not worse than you think," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 4814, Jun.
• Venegas-Martinez, Francisco & Bernardo González-Aréchiga, 2002, "Cobertura de tasas de interés con futuros del mercado mexicano de derivados. Modelo estocástico de duración y convexidad," El Trimestre Económico, Fondo de Cultura Económica, volume 69, issue 274, pages 227-250, abril-jun.
• de Goeij, P. & Marquering, W.A., 2002, "Modeling the Conditional Covariance between Stock and Bond Returns," 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-2002-11-F&A, Jan.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," 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-2002-91-F&A, Oct.
• Andriy Demchuk, 2002, "Portfolio Optimization with Concave Transaction Costs," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp103, Dec.
• Yuanfeng Hou & Xiangrong Jin, 2002, "Optimal Investment With Default Risk," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp46b, Mar.
• Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002, "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp48, Apr.
• Roger Walder, 2002, "Dynamic Allocation of Treasury and Corporate Bond Portfolios," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp64, Dec.
• Eric Jondeau & Michael Rockinger, 2002, "Conditional Dependency of Financial Series: The Copula-GARCH Model," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp69, Dec.
• J. Nellie Liang & Scott Weisbenner, 2002, "Investor behavior and the purchase of company stock in 401(k) plans - the importance of plan design," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2002-36.
• Yukako Ono, 2002, "Outsourcing business services and the role of central administrative offices," Working Paper Series, Federal Reserve Bank of Chicago, number WP-02-01.
• Jonathan Parker & Markus K Brunnermeier, 2002, "Optimal Expectations," FMG Discussion Papers, Financial Markets Group, number dp434, Dec.
• Raimond Maurer & Steffen Sebastian, 2002, "Inflation Risk Analysis of European Real Estate Securities," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 51.
• John Y. Campbell & Joao F. Cocco, 2002, "Household Risk Management and Optimal Mortgage Choice," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1946.
• Nicholas Barberis & Andrei Shleifer & Jeffrey Wurgler, 2002, "Comovement," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1953.
• J. Ortí, Francesc & Sáez, José & Terceño, Antonio, 2002, "On The Treatment Of Uncertainty In Portfolio Selection," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 59-80, November.
• Plantinga, Auke & Scholtens, Bert & Brunia, Nanne, 2002, "Exposure to socially responsible investing of mutual funds in the Euronext stock markets," Research Report, University of Groningen, Research Institute SOM (Systems, Organisations and Management), number 02E22.
• Michael Rockinger & Eric Jondeau, 2002, "Asset Allocation in Transition Economies," Working Papers, HAL, number hal-00597773, Oct.
• Bechmann, Ken L., 2002, "Price and Volume Effects Associated with Changes in the Danish Blue-Chip Index - The KFX Index," Working Papers, Copenhagen Business School, Department of Finance, number 2002-2, Mar.
• Graflund, Andreas & Nilsson, Birger, 2002, "Dynamic Portfolio Selection: The Relevance of Switching Regimes and Investment Horizon," Working Papers, Lund University, Department of Economics, number 2002:8, Mar.
• Hamelink, Foort & Hoesli, Martin, 2002, "What Factors Determine International Real Estate Security Returns?," SIFR Research Report Series, Institute for Financial Research, number 7, Sep.
• Giannetti, Mariassunta & Simonov, Andrei, 2002, "Which Investors Fear Expropriation?," SIFR Research Report Series, Institute for Financial Research, number 10, Nov.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2002, "Corporate Governance and the Home Bias," SIFR Research Report Series, Institute for Financial Research, number 11, Nov.
• Brännäs, Kurt & Quoreshi, Shahiduzzaman & Simonsen, Ola, 2002, "Extreme-Value Characteristics in Daily Time Series of Swedish Stock Returns," Umeå Economic Studies, Umeå University, Department of Economics, number 597, Dec.
• Hintermaier, Thomas & Steinberger, Thomas, 2002, "Occupational Choice and the Private Equity Premium Puzzle," Economics Series, Institute for Advanced Studies, number 122, Oct.
• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "On the Validity of Value-at-Risk: Comparative Analyses with Expected Shortfall," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 1, pages 57-85, January.
• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "Comparative Analyses of Expected Shortfall and Value-at-Risk: Their Estimation Error, Decomposition, and Optimization," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 1, pages 87-121, January.
• Yamai, Yasuhiro & Yoshiba, Toshinao, 2002, "Comparative Analyses of Expected Shortfall and Value-at-Risk (3): Their Validity under Market Stress," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 20, issue 3, pages 181-237, October.
• Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2002, "La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-03, Feb.
• Gloria M. Soto Pacheco, 2002, "Modelos De Duración Y Gestión Del Riesgo De Interés: ¿Un Problema De Dimensión?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-13, Jun.
• Cobb-Clark, Deborah A. & Hildebrand, Vincent A., 2002, "The Wealth and Asset Holdings of U.S.- Born and Foreign-Born Households: Evidence from SIPP Data," IZA Discussion Papers, Institute of Labor Economics (IZA), number 674, Dec.
• Tobias J. Moskowitz & Annette Vissing-Jørgensen, 2002, "The Returns to Entrepreneurial Investment: A Private Equity Premium Puzzle?," American Economic Review, American Economic Association, volume 92, issue 4, pages 745-778, September, DOI: 10.1257/00028280260344452.
• Foort Hamelink & Martin Hoesli, 2002, "What Factors Determine International Real Estate Security Returns?," ERES, European Real Estate Society (ERES), number eres2002_196, Jun.
• Eduardo Siandra & Carlos Testuri, 2002, "Foreign equity investment in Uruguayan pension funds," Documentos de Investigación, Universidad ORT Uruguay. Facultad de Administración y Ciencias Sociales, number 12, Feb.
• Rossen Nikolaev, 2002, "Risk Evaluation in Multiactive Portfolio of Shares," Economic Studies journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 135-146.
• Eric Jondeau & Michael Rockinger, 2002, "Asset Allocation in Transition Economies," Working papers, Banque de France, number 90.
• Henri Pagès & Joao A.C. Santos, 2002, "Optimal Supervisory Policies and Depositor-Preferences Laws," Working papers, Banque de France, number 91.
• Barbara G. Katz & Joel Owen, 2002, "Voucher Privatization: A detour on the road to transition?," The Economics of Transition, The European Bank for Reconstruction and Development, volume 10, issue 3, pages 553-583, November, DOI: 10.1111/1468-0351.t01-1-00125.
• Miquel Faig & Pauline Shum, 2002, "Portfolio Choice in the Presence of Personal Illiquid Projects," Journal of Finance, American Finance Association, volume 57, issue 1, pages 303-328, February, DOI: 10.1111/1540-6261.00423.
• Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk‐Hoppé, 2002, "Market Selection Of Financial Trading Strategies: Global Stability," Mathematical Finance, Wiley Blackwell, volume 12, issue 4, pages 329-339, October, DOI: 10.1111/j.1467-9965.2002.tb00127.x.
• Laurent Le Maux, 2002, "Adam Smith et la banque libre," Brussels Economic Review, ULB -- Universite Libre de Bruxelles, volume 45, issue 1, pages 3-36.
• Alexis Direr, 2002, "Crédit interentreprises et risque de système," Recherches économiques de Louvain, De Boeck Université, volume 68, issue 3, pages 371-384.
• A. Sancetta & Satchell, S.E., 2002, "New Test Statistics for Market Timing with Application to Emerging markets," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0222, Sep.
• Catherine L. Mann & Ellen E. Meade, 2002, "Home Bias, Transactions Costs, and Prospects for the Euro: A More Detailed Analysis," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp0537, Jun.
• Christian A. Johnson, 2002, "Value at Risk: Teoría y Aplicaciones," Working Papers Central Bank of Chile, Central Bank of Chile, number 136, Jan.
• Peter Christoffersen & Francis X. Diebold, 2002, "Financial Asset Returns, Market Timing, and Volatility Dynamics," CIRANO Working Papers, CIRANO, number 2002s-02, Jan.
• Ilhem Kassar & Pierre Lasserre, 2002, "Species Preservation and Biodiversity Value: A Real Options Approach," CIRANO Working Papers, CIRANO, number 2002s-82, Sep.
• Michel Normandin & Pascal St-Amour, 2002, "Canadian consumption and portfolio shares," Canadian Journal of Economics, Canadian Economics Association, volume 35, issue 4, pages 737-756, November, DOI: 10.1111/1540-5982.00152.
• Wickens, Michael R. & Flavin, Thomas, 2002, "Macroeconomic Influences on Optimal Asset Allocation," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3144, Jan.
• Kofman, Paul & Koedijk, Kees & Campbell, Rachel, 2002, "Increased Correlation in Bear markets: A Downside Risk Perspective," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3172, Jan.
• Nijman, Theo E & ter Horst, Jenke & de Roon, Frans, 2002, "Evaluating Style Analysis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3181, Jan.
• Uhlig, Harald & Palomino, Frédéric, 2002, "Should Smart Investors Buy Funds with High Returns in the Past?," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3282, Mar.
• Uppal, Raman & Wang, Tan, 2002, "Model Misspecification and Under-Diversification," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3304, Apr.
• Uppal, Raman & Das, Sanjiv Ranjan, 2002, "Systemic Risk and International Portfolio Choice," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3305, Apr.
• Uppal, Raman & Kogan, Leonid, 2002, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3306, Apr.
• Weber, Martin & Glaser, Markus, 2002, "Momentum and Turnover: Evidence from the German Stock Market," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3353, Apr.
• Ashenfelter, Orley C & Graddy, Kathryn, 2002, "Art Auctions: A Survey of Empirical Studies," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3387, May.
• Basak, Suleyman & Shapiro, Alex, 2002, "A Model of Credit Risk, Optimal Policies and Asset Prices," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3413, Jun.
• Eichholtz, Piet & Koedijk, Kees & de Roon, Frans, 2002, "The Portfolio Implications of Home Ownership," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3501, Aug.
• Lóránth, Gyöngyi & Sciubba, Emanuela, 2002, "Relative Performance, Risk and Entry in the Mutual Fund Industry," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3504, Aug.
• Paolo Battocchio & Francesco Menoncin, 2002, "Optimal Portfolio Strategies with Stochastic Wage Income and Inflation: The Case of a Defined Contribution Pension Plan," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 19, Mar.
• Massimo Guidolin & Giovanna Nicodano, 2005, "Small Caps in International Equity Portfolios: The Effects of Variance Risk," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 41, Feb.
• Paolo BATTOCCHIO, 2002, "Optimal Portfolio Strategies with Stochastic Wage Income : The Case of A defined Contribution Pension Plan," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002005, Feb.
• Paolo BATTOCCHIO & Francesco MENONCIN, 2002, "Optimal Pension Management under Stochastic Interest Rates, Wages, and Inflation," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002021, Jun.
• Francesco MENONCIN, 2002, "How the Financial Managers’ Remuneration Can Affect the Optimal Portfolio Composition ?," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002022, Jun.
• Francesco, MENONCIN, 2002, "Investment Strategies in Incomplete Markets : Sufficient Conditions for a Closed Form Solution," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002033, Aug.
• Francesco, MENONCIN, 2002, "Investment Strategies for HARA Utility Function : A General Algebraic Approximated Solution," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002034, Aug.
• Alexis DIRER, 2002, "Crédit interentreprises et risque de système," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2002035, Sep.
• Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002, "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, volume 26, issue 2-3, pages 445-474, March.
• Bergstresser, Daniel & Poterba, James, 2002, "Do after-tax returns affect mutual fund inflows?," Journal of Financial Economics, Elsevier, volume 63, issue 3, pages 381-414, March.

2001

• Hirshleifer, David & Luo, Guo Ying, 2001, "On the survival of overconfident traders in a competitive securities market," Journal of Financial Markets, Elsevier, volume 4, issue 1, pages 73-84, January.
• Campbell, Rachel & Huisman, Ronald & Koedijk, Kees, 2001, "Optimal portfolio selection in a Value-at-Risk framework," Journal of Banking & Finance, Elsevier, volume 25, issue 9, pages 1789-1804, September.
• Lagunoff, Roger & Schreft, Stacey L., 2001, "A Model of Financial Fragility," Journal of Economic Theory, Elsevier, volume 99, issue 1-2, pages 220-264, July.
• Garcia, Rene & Bonomo, Marco, 2001, "Tests of conditional asset pricing models in the Brazilian stock market," Journal of International Money and Finance, Elsevier, volume 20, issue 1, pages 71-90, February.
• Jouini, Elyes & Kallal, Hedi & Napp, Clotilde, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Journal of Mathematical Economics, Elsevier, volume 35, issue 2, pages 197-221, April.
• Letendre, Marc-Andre & Smith, Gregor W., 2001, "Precautionary saving and portfolio allocation: DP by GMM," Journal of Monetary Economics, Elsevier, volume 48, issue 1, pages 197-215, August.
• Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001, "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 578, Oct.
• Olivier Ledoit & Michael Wolf, 2001, "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 586, Nov.
• Patrice Bertail & Christian Haefke & Dimitris N. Politis & Halbert White, 2001, "A subsampling approach to estimating the distribution of diversing statistics with application to assessing financial market risks," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 599, Dec.
• Heng, Michael S.H., 2001, "Rethinking the strategy of Amazon.com," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0007.
• Söhnke M. Bartram & Gunter Dufey, 2001, "International Portfolio Investment: Theory, Evidence, and Institutional Framework," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 10, issue 3, pages 85-155, August, DOI: 10.1111/1468-0416.00043.
• Norbert Jobst & Stavros A. Zenios, 2001, "Extending Credit Risk (Pricing) Models for the Simulation of Portfolios of Interest Rate and Credit Risk Sensitive Securities," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 01-25, Jul.
• George Vachadze, 2001, "A Short-Horizon Model of Asset Pricing: Equilibrium Analysis," Finance, University Library of Munich, Germany, number 0012008, Feb.
• George Vachadze, 2001, "A Temporary Equilibrium Model of Asset Pricing," Finance, University Library of Munich, Germany, number 0012009, Feb.
• Timo Kuosmanen, 2001, "Stochastic Dominance Efficiency Tests under Diversification," Finance, University Library of Munich, Germany, number 0105001, May.
• Sohnke M. Bartram & Gunter Dufey, 2001, "International Portfolio Investment: Theory, Evidence, and Institutional Framework," Finance, University Library of Munich, Germany, number 0107001, Jul.
• P.J.J. Herings & F. Kubler, 2001, "Computing Equilibria in Finance Economies," GE, Growth, Math methods, University Library of Munich, Germany, number 0205003, Oct.
• Richard Portes & =20 H=E9l=E8ne Rey, 2001, "The Determinants of Cross-Border Equity Flows: The Geography of=20 Information," International Finance, University Library of Munich, Germany, number 0012002, Feb.
• Alok Kumar & Ravi Dhar, 2001, "A Non-Random Walk Down the Main Street: Impact of Price Trends on Trading Decisions of Individual Investors," Yale School of Management Working Papers, Yale School of Management, number ysm208, Jun.
• Roger G. Ibbotson & Paul D. Kaplan, 2001, "Does Asset Allocation Policy Explain 40, 90, 100 Percent of Performance?," Yale School of Management Working Papers, Yale School of Management, number ysm215, Oct.
• Jack Clark Francis & Roger G. Ibbotson, 2001, "Empirical Risk-Return Analysis of Real Estate Investments in the U.S., 1972-1999," Yale School of Management Working Papers, Yale School of Management, number ysm235, Oct.