Research classified by Journal of Economic Literature (JEL) codes

2001

• Alok Kumar & William N. Goetzmann, 2001, "Equity Portfolio Diversification," Yale School of Management Working Papers, Yale School of Management, number ysm236, Oct.
• Arnswald, Torsten, 2001, "Investment Behaviour of German Equity Fund Managers - An Exploratory Analysis of Survey Data," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2001,08.
• Adam-Müller, Axel F. A., 2001, "What to Do if Dollar is Not a Dollar? The Impact of Inflation Risk on Production and Risk Management," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/06.
• Franke, Günter & Weber, Martin, 2001, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 01/08.
• Erlenmaier, Ulrich & Gersbach, Hans, 2001, "Default probabilities and default correlations," Research Notes, Deutsche Bank Research, number 01-5.
• Horváth, Edit, 2001, "A hitelkockázat és a feltételes követelés modellje
  [The model of credit risk and conditional claims]," Közgazdasági Szemle (Economic Review - monthly of the Hungarian Academy of Sciences), Közgazdasági Szemle Alapítvány (Economic Review Foundation), volume 0, issue 5, pages 430-441.
• Peghe Braila & Claude Wampach, 2001, "Undiversifiable Returns in a CAPM Economy," Discussion Papers, University of Copenhagen. Department of Economics, number 01-08, Jul.
• Kpate ADJAOUTE & Jean-Pierre DANTHINE, 2001, "Portfolio Diversification: Alive and well in Euroland !," Cahiers de Recherches Economiques du Département d'économie, Université de Lausanne, Faculté des HEC, Département d’économie, number 01.08, Jul.
• Kevin Amess & Panicos Demetriades, 2001, "Financial Liberalisation and the South Korean Financial Crisis: Some Qualitative Evidence," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 01/3, Mar.
• Thomas J. Flavin & Michael R. Wickens, 2001, "A Risk Management Approach to Optimal Asset Allocation," Economics Department Working Paper Series, Department of Economics, National University of Ireland - Maynooth, number n1080301, Mar.
• James M. Poterba & Andrew Samwick, 2001, "Household Portfolio Allocation over the Life Cycle," NBER Chapters, National Bureau of Economic Research, Inc, "Aging Issues in the United States and Japan".
• Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 2001, "Do Domestic Investors Have More Valuable Information About Individual Stocks Than Foreign Investors?," NBER Working Papers, National Bureau of Economic Research, Inc, number 8073, Jan.
• Alan A. Auerbach & David F. Bradford, 2001, "Generalized Cash Flow Taxation," NBER Working Papers, National Bureau of Economic Research, Inc, number 8122, Feb.
• Yacine Ait-Sahalia & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 8127, Feb.
• Ravi Jagannathan & Ellen R. McGrattan & Anna Scherbina, 2001, "The Declining U.S. Equity Premium," NBER Working Papers, National Bureau of Economic Research, Inc, number 8172, Mar.
• James M. Poterba, 2001, "Taxation and Portfolio Structure: Issues and Implications," NBER Working Papers, National Bureau of Economic Research, Inc, number 8223, Apr.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2001, "Social Interaction and Stock-Market Participation," NBER Working Papers, National Bureau of Economic Research, Inc, number 8358, Jul.
• Andrew W. Lo & Jiang Wang, 2001, "Trading Volume: Implications of An Intertemporal Capital Asset Pricing Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 8565, Oct.
• Leonid Kogan & Raman Uppal, 2001, "Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies," NBER Working Papers, National Bureau of Economic Research, Inc, number 8609, Nov.
• Jay Shanken & Ane Tamayo, 2001, "Risk, Mispricing, and Asset Allocation: Conditioning on Dividend Yield," NBER Working Papers, National Bureau of Economic Research, Inc, number 8666, Dec.
• Lee Pinkowitz & Rene M. Stulz & Rohan Williamson, 2001, "Corporate Governance and the Home Bias," NBER Working Papers, National Bureau of Economic Research, Inc, number 8680, Dec.
• Egil Matsen, 2001, "On Asymmetric Information across Countries and the Home-Bias Puzzel," Working Paper Series, Department of Economics, Norwegian University of Science and Technology, number 0202, Jul.
• Helmut Elsinger & Martin Summer, 2001, "Arbitrage and Optimal Portfolio Choice with Financial Constraints," Working Papers, Oesterreichische Nationalbank (Austrian Central Bank), number 49, Aug.
• Mlambo, Chipo & Biekpe, Nicholas, 2001, "Investment Basics XLIV: Review of African stock markets," MPRA Paper, University Library of Munich, Germany, number 24973, Oct, revised Dec 2001.
• POON, Ser-Huang & ROCKINGER, Michael & TAWN, Jonathan, 2001, "New Extreme-Value Dependance Measures and Finance Applications," HEC Research Papers Series, HEC Paris, number 719, Feb.
• ROCKINGER, Michael & JONDEAU, Eric, 2001, "Conditional dependency of financial series : an application of copulas," HEC Research Papers Series, HEC Paris, number 723, Feb.
• HENROTTE, Philippe, 2001, "Dynamic mean-variance analysis," HEC Research Papers Series, HEC Paris, number 729, Aug.
• ROCKINGER, Michael & JONDEAU, Eric, 2001, "Portfolio allocation in transition economies," HEC Research Papers Series, HEC Paris, number 740, Oct.
• Haliassos, Michael & Hassapis, Christis, 2001, "Non-expected Utility, Saving and Portfolios," Economic Journal, Royal Economic Society, volume 111, issue 468, pages 69-102, January.
• Lei, Vivian & Noussair, Charles N & Plott, Charles R, 2001, "Nonspeculative Bubbles in Experimental Asset Markets: Lack of Common Knowledge of Rationality vs. Actual Irrationality," Econometrica, Econometric Society, volume 69, issue 4, pages 831-859, July.
• Dachraoui, Kais & Dionne, Georges, 2001, "Stochastic dominance and optimal portfolio," Economics Letters, Elsevier, volume 71, issue 3, pages 347-354, June.
• Richard H. Thaler & Shlomo Benartzi, 2001, "Naive Diversification Strategies in Defined Contribution Saving Plans," American Economic Review, American Economic Association, volume 91, issue 1, pages 79-98, March.
• LuisM. Viceira & John Y. Campbell, 2001, "Who Should Buy Long-Term Bonds?," American Economic Review, American Economic Association, volume 91, issue 1, pages 99-127, March.
• Gary Chamberlain, 2001, "Minimax Estimation and Forecasting in a Stationary Autoregression Model," American Economic Review, American Economic Association, volume 91, issue 2, pages 55-59, May.
• Isabelle Bajeux-Besnainou & James V. Jordan & Roland Portait, 2001, "An Asset Allocation Puzzle: Comment," American Economic Review, American Economic Association, volume 91, issue 4, pages 1170-1179, September.
• Brad M. Barber & Terrance Odean, 2001, "The Internet and the Investor," Journal of Economic Perspectives, American Economic Association, volume 15, issue 1, pages 41-54, Winter.
• Paulo Coutinho & Benjamin Miranda Tabak, 2001, "Decentralized Portfolio Management," Working Papers Series, Central Bank of Brazil, Research Department, number 22, Jun.
• Monica Paiella, 2001, "Limited Financial Market Participation: A Transaction Cost-Based Explanation," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 415, Aug.
• Michael Rockinger & Eric Jondeau, 2001, "Conditional Dependency of Financial Series: An Application of Copulas," Working papers, Banque de France, number 82.
• Gabriele Galati & Kostas Tsatsaronis, 2001, "The impact of the euro on Europe's financial markets," BIS Working Papers, Bank for International Settlements, number 100, Jul.
• Abraham Lioui & Patrice Poncet, 2001, "International Asset Allocation: A New Perspective," Working Papers, Bar-Ilan University, Department of Economics, number 2001-04, Feb.
• Abraham Lioui & Patrice Poncet, 2001, "Dynamic Asset Pricing With Non-Redundant Forwards," Working Papers, Bar-Ilan University, Department of Economics, number 2001-10, May.
• Abraham Lioui & Patrice Poncet, 2001, "General Equilibrium Pricing of Trading Strategy Risk," Working Papers, Bar-Ilan University, Department of Economics, number 2001-13, Jul.
• Dušan Isakov & Bernard Morard, 2001, "Improving Portfolio Performance with Option Strategies: Evidence from Switzerland," European Financial Management, European Financial Management Association, volume 7, issue 1, pages 73-91, March, DOI: 10.1111/1468-036X.00145.
• Luis M. Viceira, 2001, "Optimal Portfolio Choice for Long‐Horizon Investors with Nontradable Labor Income," Journal of Finance, American Finance Association, volume 56, issue 2, pages 433-470, April, DOI: 10.1111/0022-1082.00333.
• Ľluboš Pástor & Robert F. Stambaugh, 2001, "The Equity Premium and Structural Breaks," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1207-1239, August, DOI: 10.1111/0022-1082.00365.
• Yacine AÏT‐SAHALI & Michael W. Brandt, 2001, "Variable Selection for Portfolio Choice," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1297-1351, August, DOI: 10.1111/0022-1082.00369.
• David Hirshleifer, 2001, "Investor Psychology and Asset Pricing," Journal of Finance, American Finance Association, volume 56, issue 4, pages 1533-1597, August, DOI: 10.1111/0022-1082.00379.
• A. Sancetta & Satchell, S.E., 2001, "Bernstein Approximations to the Copula Function and Portfolio Optimization," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0105, Jun.
• Kahl, Matthias & Liu, Jun & Longstaff, Francis A, 2001, "Paper Millionaires: How Valuable is Stock to a Stockholder Who is Restricted from Selling it?," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt8b3853z9, Sep.
• Pablo Druck & Jorge M. Streb, 2001, "Economic Development as a Matter of Political Geography," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 182, Jan.
• Ricardo Schefer, 2001, "FJP: Entre los aportantes y la inversión real," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 199, Sep.
• Rodolfo Apreda, 2001, "Arbitraging mispriced assets with separation portfolios to lessen total risk," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 203, Nov.
• Peter Christoffersen & Eric Ghysels & Norman R. Swanson, 2001, "Let's Get "Real"" about Using Economic Data"," CIRANO Working Papers, CIRANO, number 2001s-44, Jul.
• Charles Cao & Eric Ghysels & Frank Hatheway, 2001, "Derivatives Do Affect Mutual Funds Returns : How and When?," CIRANO Working Papers, CIRANO, number 2001s-62, Nov.
• Ignacio Velez-Pareja, 2001, "Seleccion del Portafolio Optimo: Una Nota," Proyecciones Financieras y Valoración, Master Consultores, number 3490, Sep.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas (C√°lculo De Betas. In Spanish)," Proyecciones Financieras y Valoración, Master Consultores, number 8084, Feb.
• Ignacio V√©lez Pareja, 2001, "Calculating Betas," Proyecciones Financieras y Valoración, Master Consultores, number 8085, Feb.
• Rockinger, Michael & Poon, Ser-Huang & Tawn, Jonathan, 2001, "New Extreme-Value Dependence Measures and Finance Applications," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2762, Apr.
• Palomino, Frédéric & Prat, Andrea & Goriaev, Alexei P., 2001, "Mutual Fund Tournament: Risk Taking Incentives Induced By Ranking Objectives," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2794, May.
• Haliassos, Michael & Michaelides, Alexander, 2001, "Portfolio Choice and Liquidity Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2822, Apr.
• Michaelides, Alexander, 2001, "Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2823, Jun.
• Danthine, Jean-Pierre & Adjaoute, Kpate, 2001, "EMU and Portfolio Diversification Opportunities," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2962, Oct.
• Sentana, Enrique, 2001, "Mean Variance Portfolio Allocation with a Value at Risk Constraint," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 2997, Oct.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners Trading and Price Effects Across Firms," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3033, Oct.
• Michaelides, Alexander, 2001, "International Portfolio Choice: Liquidity Constraints and the Home Equity Bias Puzzle," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3066, Nov.
• Danthine, Jean-Pierre & Adjaoute, Kpate, 2001, "Portfolio Diversification: Alive and Well in Euroland!," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 3086, Nov.
• Michel Normandin & Pascal St-Amour, 2001, "Canadian Consumption and Portfolio Shares," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 134, Jun.
• MENONCIN, Francesco, 2001, "Optimal Portfolio Rules for an Integrated Stock Bond Portfolio," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001014, Jun.
• Francesco MENONCIN, 2001, "How to Manage Inflation Risk in an Asset Allocation Problem : an Algebric Aproximated Solution," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001035, Dec.
• Johanna ETNER & Pierre-André JOUVET, 2001, "Comportement des groupes d’investissement face à une incertitude sur l’environnement," Discussion Papers (REL - Recherches Economiques de Louvain), Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2001013, Mar.
• Ping Li & Jianming Xia & Jia-an Yan, 2001, "Martingale Measure Method for Expected Utility Maximization in Discrete-Time Incomplete Markets," Annals of Economics and Finance, Society for AEF, volume 2, issue 2, pages 445-465, November.
• Raymond Kan & Guofu Zhou, 2001, "Tests of Mean-Variance Spanning," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 539, Sep.
• Hirshleifer, David & Teoh, Siew Hong, 2001, "Herd Behavior and Cascading in Capital Markets: A Review and Synthesis," MPRA Paper, University Library of Munich, Germany, number 5186, Dec.
• Hirshleifer, David, 2001, "Investor Psychology and Asset Pricing," MPRA Paper, University Library of Munich, Germany, number 5300, Feb.
• Cakir, Murat, 2001, "Credit Derivatives in Managing Off Balance Sheet Risks by Banks," MPRA Paper, University Library of Munich, Germany, number 55976, Jul.
• Magni, Carlo Alberto, 2001, "Valore Aggiunto Sistemico: un'alternativa all'EVA quale indice di sovraprofitto periodale," MPRA Paper, University Library of Munich, Germany, number 7525, Jan.
• Harvey S. Rosen & Stephen Wu, 2001, "Health Status and Portfolio Choice," Working Papers, Princeton University, Department of Economics, Center for Economic Policy Studies., number 127, Oct.
• Valérie Oheix & Bruno Séjourné, 2001, "Les portefeuilles des ménages européens : des choix initiaux à l'affectation finale," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 93-106, DOI: 10.3406/ecofi.2001.4951.
• Werner De Bondt & Patrick Zurstrassen & Arianna Arzeni, 2001, "Portrait psychologique de l'investisseur individuel en Europe," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 131-143, DOI: 10.3406/ecofi.2001.4954.
• Aurélie Boubel & Bruno Séjourné, 2001, "Les marchés européens de l'assurance-vie," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 145-161, DOI: 10.3406/ecofi.2001.4955.
• Jérôme Cornu, 2001, "Quelles perspectives pour l'assurance-vie en Europe ?," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 163-168, DOI: 10.3406/ecofi.2001.4956.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2001, "Le profil des détenteurs d'actions en Europe," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 169-178, DOI: 10.3406/ecofi.2001.4957.
• Alain Leclair & Carlos Pardo, 2001, "Fonds d'investissement : un rôle croissant dans le financement des économies européennes," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 179-200, DOI: 10.3406/ecofi.2001.4958.
• Didier Davydoff, 2001, "Les fonds d'investissement spécialisés en Europe," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 201-210, DOI: 10.3406/ecofi.2001.4959.
• Valérie Oheix & Bruno Séjourné, 2001, "European households’ portfolios : from initial choice to final destination," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 91-103, DOI: 10.3406/ecofi.2001.4489.
• Werner De Bondt & Patrick Zurstrassen & Arianna Arzeni, 2001, "A psychological portrait of the individual investor in Europe," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 129-140, DOI: 10.3406/ecofi.2001.4492.
• Aurélie Boubel & Bruno Séjourné, 2001, "European life insurance markets," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 141-156, DOI: 10.3406/ecofi.2001.4493.
• Jérôme Cornu, 2001, "What does the future hold for life insurance in Europe?," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 157-162, DOI: 10.3406/ecofi.2001.4494.
• Luigi Guiso & Michael Haliassos & Tullio Jappelli, 2001, "The profile of European stockholders," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 163-171, DOI: 10.3406/ecofi.2001.4495.
• Alain Leclair & Carlos Pardo, 2001, "Investment funds : a growing role in financing European economies," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 173-193, DOI: 10.3406/ecofi.2001.4496.
• Didier Davydoff, 2001, "Specialized investment funds in Europe," Revue d'Économie Financière, Programme National Persée, volume 64, issue 4, pages 195-204, DOI: 10.3406/ecofi.2001.4497.
• Bernardino Adão & Fátima Silva, 2001, "A New Representation for the Foreign Currency Risk Premium," Working Papers, Banco de Portugal, Economics and Research Department, number w200103.
• Carol Alexander & Ian Giblin & Wayne Weddington III, 2001, "Cointegration and Asset Allocation: A New Fund Strategy," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2001-03.
• Geoffrey H. Kingston, 2001, "Online Appendix to Efficient Timing of Retirement," Online Appendices, Review of Economic Dynamics, number kingston00, Apr.
• Jose S. Penalva Zuasti, 2001, "Insurance with Frequency Trading: A Dynamic Analysis of Efficient Insurance Markets," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 4, issue 4, pages 790-822, October, DOI: 10.1006/redy.2001.0136.
• Kais Dachraoui & Georges Dionne, 2001, "Stochastic dominance and optimal portfolio," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 01-1, Jan.
• Shahin Shojai, 2001, "The London Asset Management Market," Journal of Financial Transformation, Capco Institute, volume 2, pages 93-105.
• Shahin Shojai, 2001, "The Future of the U.S. Asset Management Industry," Journal of Financial Transformation, Capco Institute, volume 1, pages 72-79.
• W. H. Bruce Brittain, 2001, "Institutional Investing in Hedge Funds," Journal of Financial Transformation, Capco Institute, volume 1, pages 60-70.
• Sergei Esipov & Igor Vaysburd, 2001, "Dynamic investment strategies and their risk-return measures," Journal of Financial Transformation, Capco Institute, volume 2, pages 87-92.
• Noël Amenc & Lionel Martellini, 2001, "It’s time for asset allocation," Journal of Financial Transformation, Capco Institute, volume 3, pages 77-88.
• Larry G. Epstein & JianJun Miao, 2001, "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 478, Jan.
• Asmara Jamaleh, 2001, "Un modello a soglia per la volatilità del mercato azionario italiano: performance previsive e valutazione del rischio di portafoglio," Rivista di Politica Economica, SIPI Spa, volume 91, issue 2, pages 79-132, February.
• Stefania Ciraolo, 2001, "Stima della probabilità di insolvenza nei mercati emergenti," Rivista di Politica Economica, SIPI Spa, volume 91, issue 9, pages 121-144, November-.
• A. Abdelkhalek, A. Bilas and A. Michaelides, 2001, "Parallelization and Performance of Portfolio Choice Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 114, Apr.
• Alexander Michaelides, 2001, "Portfolio Choice, Liquidity Constraints and Stock Market Mean Reversion," Computing in Economics and Finance 2001, Society for Computational Economics, number 115, Apr.
• Alexander Michaelides, 2001, "International Portfolio Choice and Liquidity Constraints: Can Small Information Costs Explain the Home Equity Bias Puzzle?," Computing in Economics and Finance 2001, Society for Computational Economics, number 116, Apr.
• Soren S. Nielsen, Rolf Poulsen, 2001, "Financial Risk Management in the Danish Mortgage Market," Computing in Economics and Finance 2001, Society for Computational Economics, number 122, Apr.
• Laurens Swinkels, Pieter Jelle VanDerSluis, 2001, "Return-based Style Analysis with Time-varying Exposures," Computing in Economics and Finance 2001, Society for Computational Economics, number 125, Apr.
• Christian Keber, Dietmar G. Maringer, 2001, "On Genes, Insects, and Crystals: Determining Marginal Diversification Effects With Nature Based Algorithms," Computing in Economics and Finance 2001, Society for Computational Economics, number 152, Apr.
• Carol C. Bertaut and Michael Haliassos, 2001, "Revolvers for Self-Control," Computing in Economics and Finance 2001, Society for Computational Economics, number 193, Apr.
• Michael Haliassos and Alexander Michaelides, 2001, "Calibration and Computation of Household Portfolio Models," Computing in Economics and Finance 2001, Society for Computational Economics, number 194, Apr.
• Vassil A. Konstantinov, 2001, "Intergenerational Risk Sharing and Asset Returns," Computing in Economics and Finance 2001, Society for Computational Economics, number 228, Apr.
• Gustavo Athayde and Renato Flores, 2001, "Finding a maximum skewness portfolio," Computing in Economics and Finance 2001, Society for Computational Economics, number 273, Apr.
• Carl Chiarella and Xue-Zhong He, 2001, "A Non-Stationary Asset Pricing Model under Heterogeneous Expectations," Computing in Economics and Finance 2001, Society for Computational Economics, number 39, Apr.
• Spyros Skouras, 2001, "Risk Neutral Forecasting," Computing in Economics and Finance 2001, Society for Computational Economics, number 50, Apr.
• Manfred Gilli and Evis Kellezi, 2001, "Threshold Accepting for Index Tracking," Computing in Economics and Finance 2001, Society for Computational Economics, number 72, Apr.
• B. Bouchard & Yu. M. Kabanov & N. Touzi, 2001, "Option pricing by large risk aversion utility¶under transaction costs," Decisions in Economics and Finance, Springer;Associazione per la Matematica, volume 24, issue 2, pages 127-136, November, DOI: 10.1007/s102030170003.
• Len Umantsev & Victor Chernozhukov, 2001, "Conditional value-at-risk: Aspects of modeling and estimation," Empirical Economics, Springer, volume 26, issue 1, pages 271-292.
• Dilip B. Madan & Xing Jin & Peter Carr, 2001, "Optimal investment in derivative securities," Finance and Stochastics, Springer, volume 5, issue 1, pages 33-59.
• L.C.G. Rogers, 2001, "The relaxed investor and parameter uncertainty," Finance and Stochastics, Springer, volume 5, issue 2, pages 131-154.
• (**), Hui Wang & Jaksa Cvitanic & (*), Walter Schachermayer, 2001, "Utility maximization in incomplete markets with random endowment," Finance and Stochastics, Springer, volume 5, issue 2, pages 259-272.
• Kristin Reikvam & Fred Espen Benth & Kenneth Hvistendahl Karlsen, 2001, "Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach," Finance and Stochastics, Springer, volume 5, issue 3, pages 275-303.
• Emmanuel Temam & Emmanuel Gobet, 2001, "Discrete time hedging errors for options with irregular payoffs," Finance and Stochastics, Springer, volume 5, issue 3, pages 357-367.
• Reha H. Tütüncü, 2001, "A note on calculating the optimal risky portfolio," Finance and Stochastics, Springer, volume 5, issue 3, pages 413-417.
• Kristin Reikvam & Fred Espen Benth & Kenneth Hvistendahl Karlsen, 2001, "Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution," Finance and Stochastics, Springer, volume 5, issue 4, pages 447-467.
• Robert Fernholz, 2001, "Equity portfolios generated by functions of ranked market weights," Finance and Stochastics, Springer, volume 5, issue 4, pages 469-486.
• Thomas Goll & Ludger Rüschendorf, 2001, "Minimax and minimal distance martingale measures and their relationship to portfolio optimization," Finance and Stochastics, Springer, volume 5, issue 4, pages 557-581.
• Karl Schmedders, 2001, "Monopolistic security design in finance economies," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 37-72.
• Felix Kubler, 2001, "Computable general equilibrium with financial markets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 18, issue 1, pages 73-96.
• Barbara Katz & Joel Owen, 2001, "Voucher Privatization : A Detour on the Road to Transition?," Working Papers, New York University, Leonard N. Stern School of Business, Department of Economics, number 01-09.
• Jaap van der Hart & Erica Slagter & Dick van Dijk, 2001, "Stock Selection Strategies in Emerging Markets," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-009/4, Jan.
• Jón Daníelsson & Bjørn N. Jorgensen & Casper G. de Vries & Xiaogang Yang, 2001, "Optimal Portfolio Allocation under a Probabilistic Risk Constraint and the Incentives for Financial Innovation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 01-069/2, Jul.
• Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2001, "On the Empirical Evidence of Mutual Fund Strategic Risk Taking," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-9.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Discussion Paper, Tilburg University, Center for Economic Research, number 2001-96.
• Swinkels, L.A.P. & van der Sluis, P.J., 2001, "Return-Based Style Analysis with Time-Varying Exposures," Other publications TiSEM, Tilburg University, School of Economics and Management, number f2c16530-4d18-4f43-bb6d-f.
• Jorge M.Streb, 2001, "Political uncertainty and economic underdevelopment," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 1 Year 20, pages 89-114, June.
• Christian A.Johnson, 2001, "Value at risk: teoría y aplicaciones," Estudios de Economia, University of Chile, Department of Economics, volume 28, issue 2 Year 20, pages 217-247, December.
• Sentana, Enrique, 2001, "Mean-variance portfolio allocation with a value at risk constraint," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 25058, May.
• K. Dachraoui & G. Dionne, 2001, "Stochastic Dominance and Optimal Portfolio," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2001-01.
• Marquering, W.A. & Verbeek, M.J.C.M., 2001, "The Economic Value of Predicting Stock Index Returns and Volatility," 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-2001-75-F&A, Dec.
• Gerlinde Fellner & Werner Güth & Boris Maciejovsky, 2001, "Illusion of Expertise in Portfolio Decisions - An Experimental Approach -," Papers on Strategic Interaction, Max Planck Institute of Economics, Strategic Interaction Group, number 2001-02, Nov.
• Kpaté ADJAOUTE & Jean-Pierre DANTHINE, 2001, "Portfolio Diversification: Alive and Well in Euroland!," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp32, Jul.
• Yacine AÏT-SAHALIA, & Michael W. BRANDT, 2001, "Variable Selection for Portfolio Choice," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp34, Feb.
• Laurent BARRAS, & Dušan ISAKOV, 2001, "How To Diversify Internationally: A Comparison of Conditional and Unconditional Asset Allocation Methods," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp37, Nov.
• Domenico Cuoco & Hua He & Sergei Issaenko, 2001, "Optimal Dynamic rading Strategies with Risk Limits," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp60, Dec.
• William L. Griever & Gary A. Lee & Francis E. Warnock, 2001, "The U.S. system for measuring cross-border investment in securities: a primer with a discussion of recent developments," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 87, issue Oct, pages 634-650, October, DOI: 10.17016/bulletin.2001.87-10.
• Martin Lettau, 2001, "Idiosyncratic risk and volatility bounds, or can models with idiosyncratic risk solve the equity premium puzzle?," Staff Reports, Federal Reserve Bank of New York, number 130.
• Enrique Sentana & Enrique Sentana, 2001, "Mean-Variance Portfolio allocation with a Value at Risk Constraint," FMG Discussion Papers, Financial Markets Group, number dp380, May.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.07.
• Bender, A. & Hoesli, M., 2001, "Le Benchmarking Immobilier un outil de gestion de performant," Papers, Ecole des Hautes Etudes Commerciales, Universite de Geneve-, number 2001.11.
• Dachraoui, K. & Dionne, G., 2001, "Stochastic Dominance and Optimal Portfolio," Ecole des Hautes Etudes Commerciales de Montreal-, Ecole des Hautes Etudes Commerciales de Montreal-Chaire de gestion des risques., number 01-01.
• Adjaoute, K. & Danthine, J.P., 2001, "Portfolio Diversification: Alive and well In Euroland," Papers, Manitoba - Department of Economics, number 32.
• Barras, L. & Isakov, D., 2001, "How to Diversify Internationally? A Comparison of Conditional and Unconditional Asset Allocation Methods," Papers, Manitoba - Department of Economics, number 37.
• Matsen, E. & Thogersen, O., 2001, "Designing Social Security - A Portfolio Choice Approach," Papers, Norwegian School of Economics and Business Administration-, number 21/2001.
• Zheng, H. & Thomas, L.C. & Allen, D.E., 2001, "The Duration Derby: A Comparison of Duration Based Strategies in Asset Liability Management," Papers, University of Southampton - Department of Accounting and Management Science, number 01-176.
• Andersson, B., 2001, "Portfolio Allocation Over the Life Cycle: Evidence from Swedish Household Data," Papers, Uppsala - Working Paper Series, number 2001:04.
• Flores, Juan & González, Federico & Flores, Beatriz, 2001, "Qualitative/Quantitative Financial Analysis," Fuzzy Economic Review, International Association for Fuzzy-set Management and Economy (SIGEF), volume 0, issue 2, pages 75-86, November.
• Giovanni Radicella, 2001, "Does Active Management Pay in Italy? A Study of Mutual Fund Performance in the Period 1989-1999," Giornale degli Economisti, GDE (Giornale degli Economisti e Annali di Economia), Bocconi University, volume 60, issue 1, pages 75-96, June.
• Elyès Jouini & Hedi Kallal & Clotilde Napp, 2001, "Arbitrage and viability in securities markets with fixed trading costs," Post-Print, HAL, number halshs-00167157.
• Ser-Huang Poon & Michael Rockinger & J. Tawn, 2001, "New Extreme-Value Dependance Measures and Finance Applications," Working Papers, HAL, number hal-00597018, Feb.
• Michael Rockinger & Eric Jondeau, 2001, "Conditional Dependency of Financial Series: An Application of Copulas," Working Papers, HAL, number hal-00601478, Feb.
• Michael Rockinger & Eric Jondeau, 2001, "Portfolio allocation in transition economies," Working Papers, HAL, number hal-00601482, Oct.
• Jensen, Bjarne Astrup, 2001, "Mean variance efficient portfolios by linear programming: A review of some portfolio selection criteria of Elton, Gruber and Padberg," Working Papers, Copenhagen Business School, Department of Finance, number 2001-2, Feb.
• Amilon, Henrik, 2001, "Comparison of Mean-Variance and Exact Utility Maximization in Stock Portfolio Selection," Working Papers, Lund University, Department of Economics, number 2001:4, Mar.
• Graflund, Andreas, 2001, "Empirical Probability Distributions of Real Return from Swedish Stock and Bond Portfolios," Working Papers, Lund University, Department of Economics, number 2001:16, Sep, revised 29 Jan 2002.
• Dahlquist, Magnus & Robertsson, Göran, 2001, "Foreigners´ Trading and Price Effects Across Firms," SIFR Research Report Series, Institute for Financial Research, number 1, Dec.
• Andersson, Björn, 2001, "Portfolio Allocation over the Life Cycle: Evidence from Swedish Household Data," Working Paper Series, Uppsala University, Department of Economics, number 2001:4, Feb.
• Viceira, Luis & Campbell, John, 2001, "Who Should Buy Long-Term Bonds?," Scholarly Articles, Harvard University Department of Economics, number 3128709.
• Monica Paiella, 2001, "Limited financial market participation: a transaction cost-based explanation," IFS Working Papers, Institute for Fiscal Studies, number W01/06, Apr.
• Costas Meghir & Luigi Pistaferri, 2001, "Income variance dynamics and heterogenity," IFS Working Papers, Institute for Fiscal Studies, number W01/07, Apr.
• Hlouskova, Jaroslava & Lee, Gabriel S., 2001, "Legal Restrictions on Portfolio Holdings: Some Empirical Results," Economics Series, Institute for Advanced Studies, number 93, Jan.

2000

• C. Gourieroux & J.P. Laurent & O. Scaillet, 2000, "Sensitivity analysis of values at risk," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-04.
• G. Dionne, 2000, "The Empirical Measure of Information Problems with Emphasis on Insurance Fraud," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-20.
• K. Dachraoui & G. Dionne, 2000, "Optimal Financial Portfolio and Dependence of Risky Assets," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2000-57.
• Carsten Detken & Philipp Hartmann, 2000, "The Euro and International Capital Markets," EUI-RSCAS Working Papers, European University Institute (EUI), Robert Schuman Centre of Advanced Studies (RSCAS), number 27, Jun.
• Wessel Marquering & Marno Verbeek, 2000, "The Economic Value of Predicting Stock Index Returns and Volatility," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number 501075.
• Wessel Marquering & Marno Verbeek, 2000, "The Economic Value of Predicting Stock Index Returns and Volatility," Working Papers of Department of Economics, Leuven, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven, number ces0020, Mar.
• Manfred Gilli & Evis Këllezi, 2000, "A Heuristic Approach to Portfolio Optimization," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp20, Oct.