Research classified by Journal of Economic Literature (JEL) codes

2004

• 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.
• Rosa María Cáceres Apolinario & Juan García Boza, 2004, "Análisis Del Riesgo Beta En El Mercado Bursátil Español," 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 2, pages 145-168, Junio 200.
• Alberto Naudon & Matías Tapia & Felipe Zurita, 2004, "Ignorance, Fixed Costs, and the Stock-Market Participation Puzzle," Documentos de Trabajo, Instituto de Economia. Pontificia Universidad Católica de Chile., number 262.
• Carlos Forner & Joaquín Marhuenda, 2004, "Beneficios Del Momentum En El Mercado Español: ¿Incorrecta Especificacion De Los Modelos De Valoración O Irracionalidad De Los Inversores?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2004-20, Oct.
• Cobb-Clark, Deborah A. & Hildebrand, Vincent A., 2004, "The Wealth of Mexican Americans," IZA Discussion Papers, IZA Network @ LISER, number 1150, May.
• Tower, Edward & Reinker, Kenneth S., 2004, "Index Fundamentalism Revisited," Working Papers, Duke University, Department of Economics, number 04-07.
• Campa, Jose M. & Fernandes, Nuno, 2004, "Sources of gains from international portfolio diversification," IESE Research Papers, IESE Business School, number D/559, May.
• Moerman, Gerard, 2004, "Diversification in euro area stock markets: country versus industry," Working Paper Series, European Central Bank, number 327, Apr.
• Susan Thorp, 2004, "That Courage is not inconsistent with Caution: Foreign Currency Hedging for Superannuation Funds," Econometric Society 2004 Australasian Meetings, Econometric Society, number 148, Aug.
• Jonathan Dark, 2004, "Allowing for basis convergence and long memory in volatility when dynamic hedging the Australian All Ordinaries Index," Econometric Society 2004 Australasian Meetings, Econometric Society, number 227, Aug.
• Geoffrey Kingston & Susan Thorp, 2004, "Annuitization and Asset Allocation with HARA Utlity," Econometric Society 2004 Australasian Meetings, Econometric Society, number 248, Aug.
• Eduardo D. Roca & Abdulnasser Hatemi-J, 2004, "The Causal Links Between Equity Market Prices: The Case of Australia and Its Major Trading Partners," Econometric Society 2004 Australasian Meetings, Econometric Society, number 99, Aug.
• Costas Meghir & Luigi Pistaferri, 2004, "Income Variance Dynamics and Heterogeneity," Econometrica, Econometric Society, volume 72, issue 1, pages 1-32, January.
• David Daewhan Cho, 2004, "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 431, Aug.
• David Daewhan Cho, 2004, "Uncertainty in Second Moments: Implications for Portfolio Allocation," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 433, Aug.
• Timothy K. Chue, 2004, "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 589, Aug.
• Haim Kedar-Levy, 2004, "Learning the CAPM through Bubbles," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 775, Aug.
• Aditya Goenka & Melisso Boschi, 2004, "International capital flows and transmission of financial crises," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 785, Aug.
• J-H Steffi Yang, 2004, "The Markovian Dynamics of "Smart Money"," Econometric Society 2004 Far Eastern Meetings, Econometric Society, number 797, Aug.
• Rustam Ibragimov, 2004, "Shifting paradigms: on the robustness of economic models to heavy-tailedness assumptions," Econometric Society 2004 Latin American Meetings, Econometric Society, number 105, Aug.
• Eduardo Walker, 2004, "Portafolios ÓPtimos Para Los Nuevos Sistemas De Pensiones De Paã Ses Emergentes," Econometric Society 2004 Latin American Meetings, Econometric Society, number 234, Aug.
• Monica Paiella & Andrea Tiseno, 2004, "Stock market optimism and participation cost: a mean-variance estimation," Econometric Society 2004 Latin American Meetings, Econometric Society, number 239, Aug.
• 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.
• Fellner, Gerlinde & Guth, Werner & Maciejovsky, Boris, 2004, "Illusion of expertise in portfolio decisions: an experimental approach," Journal of Economic Behavior & Organization, Elsevier, volume 55, issue 3, pages 355-376, November.
• Kassar, Ilhem & Lasserre, Pierre, 2004, "Species preservation and biodiversity value: a real options approach," Journal of Environmental Economics and Management, Elsevier, volume 48, issue 2, pages 857-879, September.
• Rosen, H.S.Harvey S. & Wu, Stephen, 2004, "Portfolio choice and health status," Journal of Financial Economics, Elsevier, volume 72, issue 3, pages 457-484, June.
• Flavin, Thomas J., 2004, "The effect of the Euro on country versus industry portfolio diversification," Journal of International Money and Finance, Elsevier, volume 23, issue 7-8, pages 1137-1158.
• Mitchell, Olivia S. & Piggott, John, 2004, "Unlocking housing equity in Japan," Journal of the Japanese and International Economies, Elsevier, volume 18, issue 4, pages 466-505, December.
• Aaronson, Daniel & Bostic, Raphael W. & Huck, Paul & Townsend, Robert, 2004, "Supplier relationships and small business use of trade credit," Journal of Urban Economics, Elsevier, volume 55, issue 1, pages 46-67, January.
• Aliprantis, C. D. & Florenzano, M. & Martins-da-Rocha, V. F. & Tourky, R., 2004, "Equilibrium analysis in financial markets with countably many securities," Journal of Mathematical Economics, Elsevier, volume 40, issue 6, pages 683-699, September.
• Reynard, Samuel, 2004, "Financial market participation and the apparent instability of money demand," Journal of Monetary Economics, Elsevier, volume 51, issue 6, pages 1297-1317, September.
• Bauer, Rob & Derwall, Jeroen & Molenaar, Roderick, 2004, "The real-time predictability of the size and value premium in Japan," Pacific-Basin Finance Journal, Elsevier, volume 12, issue 5, pages 503-523, November.
• Shoven, John B. & Sialm, Clemens, 2004, "Asset location in tax-deferred and conventional savings accounts," Journal of Public Economics, Elsevier, volume 88, issue 1-2, pages 23-38, January.
• Auerbach, Alan J. & Bradford, David F., 2004, "Generalized cash-flow taxation," Journal of Public Economics, Elsevier, volume 88, issue 5, pages 957-980, April.
• Anjum Aqeel & Mohammed Nishat, 2004, "The Determinants of Foreign Direct Investment in Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 651-664.
• Shahbaz Nasir & Mahmood Khalid, 2004, "Saving-investment Behaviour in Pakistan: An Empirical Investigation," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 665-682.
• Zeshan Atique & Mohsin Hasnain Ahmad & Usman Azhar, 2004, "The Impact of FDI on Economic Growth under Foreign Trade Regimes: A Case Study of Pakistan," The Pakistan Development Review, Pakistan Institute of Development Economics, volume 43, issue 4, pages 707-718.
• Carlos Alves & Victor Mendes, 2004, "Self-Interest on Mutual Fund Management: Evidence from the Portuguese Market," FEP Working Papers, Universidade do Porto, Faculdade de Economia do Porto, number 162, Nov.
• Taboga, Marco, 2004, "A Simple Model of Robust Portfolio Selection," MPRA Paper, University Library of Munich, Germany, number 16472, Jun.
• Gilroy, Bernard Michael & Lukas, Elmar, 2004, "Optionen der Internationalisierung: Motive ausländischer Direktinvestitionen in einem neuen Licht
  [Options of internationalisation: motives for foreign direct invetsment in a new light]," MPRA Paper, University Library of Munich, Germany, number 21539.
• Ji, Tingting, 2004, "Essays on consumer portfolio choice and credit risk," MPRA Paper, University Library of Munich, Germany, number 3161, Oct.
• Ji, Tingting, 2004, "Consumer Credit Delinquency And Bankruptcy Forecasting Using Advanced Econometrc Modeling," MPRA Paper, University Library of Munich, Germany, number 3187, Oct.
• Lucena, Pierre & Fugueiredo, Antonio Carlos, 2004, "Pressupostos de Eficiência de Mercado: um estudo empírico na Bovespa
  [Assumptions of Market Efficiency: an empirical analysis at Bovespa/Brazil]," MPRA Paper, University Library of Munich, Germany, number 40884.
• 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 3, 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.

2003

• Andrew E. Burke & Aoife Hanley, 2003, "How Do Banks Pick Safer Ventures? A Theory Relating the Importance of Risk Aversion and Collateral to Interest Margins and Credit Rationing," Journal of Entrepreneurial Finance, Pepperdine University, Graziadio School of Business and Management, volume 8, issue 2, pages 13-24, Summer.
• Magni, Carlo Alberto, 2003, "Opportunity cost, excess profit, and counterfactual conditionals," MPRA Paper, University Library of Munich, Germany, number 5695.
• Gomes Santana Félix, Elisabete, 2003, "Opções reais: tipologias e sua avaliação
  [Real options: typologies and its evaluation]," MPRA Paper, University Library of Munich, Germany, number 6186.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk And Expected Stock Returns," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 144, Jan.
• Carol Alexander & Anca Dimitriu, 2003, "Equity Indexing: Conitegration and Stock Price Dispersion: A Regime Switiching Approach to market Efficiency," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-02, Oct.
• Carol Alexander & Anca Dimitriu, 2003, "Sources of Over-performance in Equity Markets: Mean Reversion, Common Trends and Herding," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2003-08, May, revised Oct 2003.
• Francisco Gomes & Alexander Michaelides, 2003, "Portfolio Choice With Internal Habit Formation: A Life-Cycle Model With Uninsurable Labor Income Risk," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 6, issue 4, pages 729-766, October, DOI: 10.1016/S1094-2025(03)00059-0.
• Francesco Menoncin, 2003, "Optimal Asset Allocation for HARA Consumers with Labour Income," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 56, issue 3, pages 357-381.
• Damir Tokic, 2003, "Why interest rate cuts may be ineffective in the new economy," Journal of Financial Transformation, Capco Institute, volume 7, pages 13-16.
• Palomino, Frederic & Prat, Andrea, 2003, "Risk Taking and Optimal Contracts for Money Managers," RAND Journal of Economics, The RAND Corporation, volume 34, issue 1, pages 113-137, Spring.
• Darasteanu, Catalin Cristian, 2003, "Delineating Efficient Portfolios And Forecasting The Conditional Variance: The Case Of The Bucharest Stock Exchange," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 49-71, September.
• Hyoung-Seok Lim & Masao Ogaki, 2003, "A Theory of Exchange Rates and the Term Structure of Interest Rates," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 504, Nov.
• Alessandro Bucciol, 2003, "Household Portfolios Efficiency in the Presence of Restrictions on Investment Opportunities," Rivista di Politica Economica, SIPI Spa, volume 93, issue 6, pages 29-67, November-.
• Markus Glaser & Martin Weber, 2003, "Momentum and Turnover: Evidence from the German Stock Market," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 55, issue 2, pages 108-135, April.
• Turalay Kenc & Sel Dibooglu, 2003, "How does the spirit of capitalism affect stock market prices in a small-open economy," Computing in Economics and Finance 2003, Society for Computational Economics, number 196, Aug.
• Christopher Rude, 2003, "Security Prices as Probabilities," Computing in Economics and Finance 2003, Society for Computational Economics, number 198, Aug.
• Bakhodir A Ergashev, 2003, "On a CAPM monitoring based on the EWMA process control," Computing in Economics and Finance 2003, Society for Computational Economics, number 283, Aug.
• Ya-Chi Huang & Shu-Heng Chen, 2003, "Simulating the Evolution of Portfolio Behavior in a Multiple-Asset Agent-Based Artificial Stock Market," Computing in Economics and Finance 2003, Society for Computational Economics, number 62, Aug.
• Dimitris Balios & Manolis Xanthakis, 2003, "International interdependence and dynamic linkages between developed stock markets," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 1, issue 1, pages 105-130.
• Konstantina Pendaraki & Michael Doumpos & Constantin Zopounidis, 2003, "Assessing Equity Mutual Funds' Performance Using a Multicriteria Methodology: A Comparative Analysis," South-Eastern Europe Journal of Economics, Association of Economic Universities of South and Eastern Europe and the Black Sea Region, volume 1, issue 1, pages 85-104.
• Marie-Paule Laurent, 2003, "Indices as diversification instruments in Europe," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-004.RS.
• Marie-Paule Laurent, 2003, "The effect of earnings release for Belgian listed companies," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-005.RS.
• Ariane Chapelle & Marie-Paule Laurent & Ariane Szafarz, 2003, "L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-006.RS, Mar.
• Stéphanie Duchemin & Marie-Paule Laurent & Mathias Schmit, 2003, "Asset return correlation: The case of automotive lease portfolios," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 03-007.RS.
• F. Gerard Adams & Peter A. Prazmowski, 2003, "Why are saving rates in East Asia so high? Reviving the life cycle hypothesis," Empirical Economics, Springer, volume 28, issue 2, pages 275-289, April, DOI: 10.1007/s001810200130.
• Andrew C. Worthington & Helen Higgs, 2003, "Art as an investment: Short and long-term comovements in major painting markets," Empirical Economics, Springer, volume 28, issue 4, pages 649-668, November, DOI: 10.1007/s00181-003-0152-x.
• Huyên Pham, 2003, "A large deviations approach to optimal long term investment," Finance and Stochastics, Springer, volume 7, issue 2, pages 169-195.
• Jianming Xia, 2003, "Dividing gains between a client and her agent," Finance and Stochastics, Springer, volume 7, issue 2, pages 219-230.
• Igor V. Evstigneev & Michal A. H. Dempster & Klaus R. Schenk-Hoppé, 2003, "Exponential growth of fixed-mix strategies in stationary asset markets," Finance and Stochastics, Springer, volume 7, issue 2, pages 263-276.
• David A. Hennessy & Harvey E. Lapan, 2003, "An algebraic theory of portfolio allocation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 22, issue 1, pages 193-210, August, DOI: 10.1007/s00199-002-0284-9.
• Andreas Wagener, 2003, "Pensions as a portfolio problem: fixed contribution rates vs. fixed replacement rates reconsidered," Journal of Population Economics, Springer;European Society for Population Economics, volume 16, issue 1, pages 111-134, February, DOI: 10.1007/s001480100115.
• Holger Kraft, 2003, "Elasticity approach to portfolio optimization," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 58, issue 1, pages 159-182, September, DOI: 10.1007/s001860300296.
• Helmut Gründl & Richard Stehle & Thorsten Waldow, 2003, "Zur Vorteilhaftigkeit von Kapitallebensversicherungen gegenüber alternativen Anlageformen — Eine Analyse aus Anlegersicht," Schmalenbach Journal of Business Research, Springer, volume 55, issue 6, pages 549-577, September, DOI: 10.1007/BF03372715.
• Palomino, F.A. & Sadrieh, A., 2003, "Overconfidence and Delegated Portfolio Management," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-54.
• Swinkels, L.A.P. & van der Sluis, P.J. & Verbeek, M.J.C.M., 2003, "Market Timing : A Decomposition of Mutual Fund Returns," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-95.
• Nijman, T.E. & Swinkels, L.A.P., 2003, "Strategic and Tactical Allocation to Commodities for Retirement Savings Schemes," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-20.
• van den Goorbergh, R.W.J. & de Roon, F.A. & Werker, B.J.M., 2003, "Economic Hedging Portfolios," Discussion Paper, Tilburg University, Center for Economic Research, number 2003-102.
• Palomino, F.A. & Sadrieh, A., 2003, "Overconfidence and Delegated Portfolio Management," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2b77ad1e-8a6d-420a-b6b3-9.
• Olivier Ledoit & Pedro Santa-Clara & Michael Wolf, 2003, "Flexible Multivariate GARCH Modeling with an Application to International Stock Markets," The Review of Economics and Statistics, MIT Press, volume 85, issue 3, pages 735-747, August.
• Frank Barry & Colm Kearney, 2003, "A portfolio analysis of industrial structure," Working Papers, School of Economics, University College Dublin, number 200309, Mar.
• Ariane Chapelle & Marie-Paule Laurent & Ariane Szafarz, 2003, "L'effet de l'âge de l'investisseur sur le niveau de risque de son portefeuille," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/715.
• Herings, P.J.J. & Kubler, F., 2003, "Approximate CAPM when preferences are CRRA," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 040, Jan, DOI: 10.26481/umamet.2003040.
• Olivier Ledoit & Michael Wolf, 2003, "Honey, I shrunk the sample covariance matrix," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 691, Jun.
• Juan-Pedro Gómez & Richard Priestly & Fernando Zapatero, 2003, "Keeping up with the Joneses: An international asset pricing model," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 694, Jun.
• José Penalva, 2003, "Implications of dynamic trading for insurance markets," Economics Working Papers, Department of Economics and Business, Universitat Pompeu Fabra, number 720, Dec.
• Carlos Alós-Ferrer & Ana B. Ania, 2003, "The Asset Market Game," Vienna Economics Papers, University of Vienna, Department of Economics, number vie0320, Dec.
• Posthuma, Nolke & Sluis, Pieter Jelle van der, 2003, "A Reality Check on Hedge Funds Returns," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0017.
• Gabriele Galati & Kostas Tsatsaronis, 2003, "The impact of the euro on Europe's financial markets," Financial Markets, Institutions & Instruments, John Wiley & Sons, volume 12, issue 3, pages 165-222, August, DOI: 10.1111/1468-0416.00064.
• T.J. Flavin & M.R. Wickens, 2003, "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, John Wiley & Sons, volume 12, issue 2, pages 207-231, DOI: 10.1016/S1058-3300(02)00072-1.
• Axel Dreher & Lars-H.R. Siemers, 2003, "The Intriguing Nexus Between Corruption and Capital Account Restrictions," Development and Comp Systems, University Library of Munich, Germany, number 0306004, Jun, revised 07 Jul 2005.
• Long Nguyen-Thanh, 2003, "Utility Maximization in Imperfected Markets," Finance, University Library of Munich, Germany, number 0301007, Jan, revised 23 Mar 2003.
• Robert A. Korajczyk & Ronnie Sadka, 2003, "Are Momentum Profits Robust to Trading Costs?," Finance, University Library of Munich, Germany, number 0308004, Aug.
• Vladislav Kargin, 2003, "Portfolio Management for a Random Field of Bond Returns," Finance, University Library of Munich, Germany, number 0310007, Oct.
• Valeri Zakamouline, 2003, "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs," Finance, University Library of Munich, Germany, number 0311009, Nov.
• Valeri Zakamouline, 2003, "American Option Pricing with Transaction Costs," Finance, University Library of Munich, Germany, number 0311012, Nov.
• Christian Julliard, 2003, "The international diversification puzzle is not worse than you think," International Finance, University Library of Munich, Germany, number 0301004, Jan.