Research classified by Journal of Economic Literature (JEL) codes

2003

• 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.
• Ralf Korn & Holger Kraft, 2003, "Optimal Portfolios With Defaultable Securities A Firm Value Approach," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 08, pages 793-819, DOI: 10.1142/S0219024903002213.
• Alok Kumar & William N. Goetzmann, 2003, "Diversification Decisions of Individual Investors and Asset Prices," Yale School of Management Working Papers, Yale School of Management, number ysm441, Nov.
• Schmidt, Daniel, 2003, "Private equity-, stock- and mixed asset-portfolios: A bootstrap approach to determine performance characteristics, diversification benefits and optimal portfolio allocations," CFS Working Paper Series, Center for Financial Studies (CFS), number 2004/12.
• Haberer, Markus, 2003, "Portfolio Choice and Transactions Taxes," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 03/09.
• Kluß, Norbert & König, Markus & Cremers, Heinz, 2003, "Incentive Fees: erfolgsabhängige Vergütungsmodelle deutscher Publikumsfonds," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 45.
• Weber, Stefan, 2003, "Distribution-Invariant Dynamic Risk Measures," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2003,53.
• Lutz, Stefan H., 2003, "Europäische Steuerkoordination und die Schweiz," ZEI Working Papers, University of Bonn, ZEI - Center for European Integration Studies, number B 03-2003.
• Schröder, Michael, 2003, "Socially Responsible Investments in Germany, Switzerland and the United States: An Analysis of Investment Funds and Indices," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 03-10.
• Reinker, Kenneth S. & Tower, Edward, 2003, "Index Fundamentalism Revisited," Working Papers, Duke University, Department of Economics, number 03-07.
• Stracca, Livio & Fielding, David, 2003, "Myopic loss aversion, disappointment aversion, and the equity premium puzzle," Working Paper Series, European Central Bank, number 203, Jan.
• Proto, Eugene, 2003, "International Risk Sharing and Bank Runs," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 170, Jun.
• Georgarakos, Dimitris, 2003, "Risky Asset Ownership Decisions by the Elderly in the UK: Evidence from the Retirement Survey," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 84, Jun.
• Guidolin, Massimo & Allan Timmermann, 2003, "Economic Implications of Bull and Bear Regimes in UK Stock Returns," Royal Economic Society Annual Conference 2003, Royal Economic Society, number 95, Jun.
• Viviana Fernández, 2003, "Extreme Value Theory and Value at Risk," Documentos de Trabajo, Centro de Economía Aplicada, Universidad de Chile, number 154.
• Berkelaar, Arjan & Kouwenberg, Roy, 2003, "Retirement saving with contribution payments and labor income as a benchmark for investments," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 6, pages 1069-1097, April.
• Lioui, Abraham & Poncet, Patrice, 2003, "Dynamic asset pricing with non-redundant forwards," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1163-1180, May.
• Epstein, Larry G. & Miao, Jianjun, 2003, "A two-person dynamic equilibrium under ambiguity," Journal of Economic Dynamics and Control, Elsevier, volume 27, issue 7, pages 1253-1288, May.
• Michaelides, Alexander, 2003, "International portfolio choice, liquidity constraints and the home equity bias puzzle," Journal of Economic Dynamics and Control, Elsevier, volume 28, issue 3, pages 555-594, December.
• Stutzer, Michael, 2003, "Portfolio choice with endogenous utility: a large deviations approach," Journal of Econometrics, Elsevier, volume 116, issue 1-2, pages 365-386.
• van der Hart, Jaap & Slagter, Erica & van Dijk, Dick, 2003, "Stock selection strategies in emerging markets," Journal of Empirical Finance, Elsevier, volume 10, issue 1-2, pages 105-132, February.
• Ledoit, Olivier & Wolf, Michael, 2003, "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," Journal of Empirical Finance, Elsevier, volume 10, issue 5, pages 603-621, December.
• Eduardo Morón & Juan F. Castro, 2003, "De-dollarizing the Peruvian Economy: A Portfolio Approach," Working Papers, Centro de Investigación, Universidad del Pacífico, number 03-01, Jan.
• 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.
• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," American Economic Review, American Economic Association, volume 93, issue 2, pages 376-382, May.
• Orley Ashenfelter & Kathryn Graddy, 2003, "Auctions and the Price of Art," Journal of Economic Literature, American Economic Association, volume 41, issue 3, pages 763-787, September.
• Escalante, Cesar L. & Barry, Peter J., 2003, "Determinants of the Strength of Strategic Adjustments in Farm Capital Structure," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 35, issue 01, pages 1-12, April, DOI: 10.22004/ag.econ.37834.
• Stark, Brian G. & Cabrini, Silvina M. & Irwin, Scott H. & Good, Darrel L. & Martines-Filho, Joao Gomes, 2003, "Portfolios Of Agricultural Market Advisory Services: How Much Diversification Is Enough?," AgMAS Project Research Reports, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics, number 14774, DOI: 10.22004/ag.econ.14774.
• Giulio PALOMBA, 2003, "GARCH multivariati e approccio di Black.Litterman nell'asset allocation tattica: un'analisi empirica," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 185, Jun.
• Rossen Nikolaev, 2003, "Conditions for existence of optimal biactive portfolio," Economic Thought journal, Bulgarian Academy of Sciences - Economic Research Institute, issue 3, pages 79-100.
• Sílvia Bou Ysàs, 2003, "Evaluación de fondos de inversión garantizados por medio de portfolio insurance," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 0308, Sep, revised Sep 2003.
• Silvia Bou, 2003, "Evaluación de fondos de inversión garantizados por medio de portfolio insurance," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 200308, Sep.
• Joseph Atta-Mensah, 2003, "Collateral and Credit Supply," Staff Working Papers, Bank of Canada, number 03-11, DOI: 10.34989/swp-2003-11.
• Juan Ayuso & Fernando Restoy, 2003, "House prices and rents: an equilibrium asset pricing approach," Working Papers, Banco de España, number 0304, May.
• José S. Penalva, 2015, "Implications of Dynamic Trading for Insurance Markets," Working Papers, Barcelona School of Economics, number 83, Sep.
• Olivier Ledoit & Michael Wolf, 2015, "Honey, I Shrunk the Sample Covariance Matrix," Working Papers, Barcelona School of Economics, number 92, Sep.
• Jeffery D Amato & Eli M Remolona, 2003, "The credit spread puzzle," BIS Quarterly Review, Bank for International Settlements, December.
• Patrick McGuire & Martijn A Schrijvers, 2003, "Common factors in emerging market spreads," BIS Quarterly Review, Bank for International Settlements, December.
• Frank Packer & Chamaree Suthiphongchai, 2003, "Sovereign credit default swaps," BIS Quarterly Review, Bank for International Settlements, December.
• David Hirshleifer & Siew Hong Teoh, 2003, "Herd Behaviour and Cascading in Capital Markets: a Review and Synthesis," European Financial Management, European Financial Management Association, volume 9, issue 1, pages 25-66, March, DOI: 10.1111/1468-036X.00207.
• Andreas Graflund & Birger Nilsson, 2003, "Dynamic Portfolio Selection: the Relevance of Switching Regimes and Investment Horizon," European Financial Management, European Financial Management Association, volume 9, issue 2, pages 179-200, June, DOI: 10.1111/1468-036X.00215.
• Alain Venditti, 2003, "Altruism and Determinacy of Equilibria in Overlapping Generations Models with Externalities," The Japanese Economic Review, Japanese Economic Association, volume 54, issue 2, pages 179-202, June, DOI: 10.1111/1468-5876.t01-1-00253.
• Jérôme B. Detemple & Ren Garcia & Marcel Rindisbacher, 2003, "A Monte Carlo Method for Optimal Portfolios," Journal of Finance, American Finance Association, volume 58, issue 1, pages 401-446, February, DOI: 10.1111/1540-6261.00529.
• Ravi Jagannathan & Tongshu Ma, 2003, "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, volume 58, issue 4, pages 1651-1683, August, DOI: 10.1111/1540-6261.00580.
• Raman Uppal & Tan Wang, 2003, "Model Misspecification and Underdiversification," Journal of Finance, American Finance Association, volume 58, issue 6, pages 2465-2486, December, DOI: 10.1046/j.1540-6261.2003.00612.x.
• Thanasis N. Christodoulopoulos & Ioulia Grigoratou, 2003, "The Effect of Dynamic Hedging of Options Positions on Intermediate-Maturity Interest Rates," Working Papers, Bank of Greece, number 08, Dec.
• Marco Bonomo & Ivana Dall'Agnol, 2003, "Abnormal Returns and Contrarian Strategies," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 165-215.
• Paulo Coutinho & Benjamin Miranda Tabak, 2003, "Decentralized Portfolio Management," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 243-270.
• Ailton Cassetari, 2003, "The Maximum Entropy Principle and the Modern Portfolio Theory," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 271-300.
• Rogerio de Deus Oliveira & Caio Ibsen Rodrgues de Almeida, 2003, "Portfolio Allocation Subject to Credit Risk," Brazilian Review of Finance, Brazilian Society of Finance, volume 1, issue 2, pages 301-339.
• David Demery & Nigel Duck, 2003, "Demographic Change and the UK Savings Rate," Bristol Economics Discussion Papers, School of Economics, University of Bristol, UK, number 03/550, Feb.
• Sancetta, A. & Satchell, S.E., 2003, "Changing Correlation and Portfolio Diversification Failure in the Presence of Large Market Losses," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0319, Feb.
• Yang, J-H.S. & Satchell, S.E., 2003, "Endogenous Correlation," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0321, Mar.
• Farah, N. & Satchell, S.E., 2003, "A Loss Aversion Performance Measure," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 0333, Jul.
• Charness, Gary & Gneezy, Uri, 2003, "Portfolio Choice and Risk Attitudes: An Experiment," University of California at Santa Barbara, Economics Working Paper Series, Department of Economics, UC Santa Barbara, number qt7vz7w609, Feb.
• Rodolfo Apreda, 2003, "Simple and enlarged separation portfolios. On their Use when Arbitraging and Synthesizing Securities," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 233, Mar.
• Solange M. Berstein & Rómulo A. Chumacero, 2003, "Quantifying the Costs of Investment Limits for Chilean Pension Funds," Working Papers Central Bank of Chile, Central Bank of Chile, number 248, Dec.
• Frederik Lundtofte, 2006, "Expected Life-Time Utility and Hedging Demands in a Partially Observable Economy," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 06-23, Oct.
• Peter Bossaerts & Charles Plott & William R. Zame, 2007, "Prices and Portfolio Choices in Financial Markets: Theory, Econometrics, Experiments," Swiss Finance Institute Research Paper Series, Swiss Finance Institute, number 07-05, Mar.
• Pierre-Guillaume Meon & Laurent Weill, 2003, "L'integration europeenne a-t-elle permis une diversification des risques macroeconomiques ?," Economie Internationale, CEPII research center, issue 93, pages 117-134.
• Alexis Derviz, 2003, "Components of the Czech Koruna Risk Premium in a Multiple-Dealer FX Market," Working Papers, Czech National Bank, Research and Statistics Department, number 2003/04, Jun.
• Luis Ángel Medina, 2003, "Aplicación de la teoría del portafolio en el mercado accionario colombiano," Revista Cuadernos de Economia, Universidad Nacional de Colombia, FCE, CID.
• AMIR, Rabah & EVSTIGNEEV, Igor & HENS, Thorsten & SCHENK-HOPPÉ, Klaus Reiner, 2003, "Market selection and survival of investment strategies," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2003099, Dec.
• Acharya, Viral & Pedersen, Lasse Heje, 2003, "Asset Pricing with Liquidity Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3749, Feb.
• Koren, Miklós & Szeidl, Adam, 2003, "Portfolio Choice with Illiquid Assets," CEPR Discussion Papers, Centre for Economic Policy Research, number 3795, Feb.
• Franke, Günter & Weber, Martin, 2003, "Heterogeneity of Investors and Asset Pricing in a Risk-Value World," CEPR Discussion Papers, Centre for Economic Policy Research, number 3832, Mar.
• Giannetti, Mariassunta & Simonov, Andrei, 2003, "Which Investors Fear Expropriation? Evidence from Investors' Stock Picking," CEPR Discussion Papers, Centre for Economic Policy Research, number 3843, Mar.
• Michaelides, Alexander & Gomes, Francisco, 2003, "Portfolio Choice with Internal Habit Formation: A Life-Cycle Model with Uninsurable Labour Income Risk," CEPR Discussion Papers, Centre for Economic Policy Research, number 3868, Apr.
• Weber, Guglielmo, 2003, "Are Household Portfolios Efficient? An Analysis Conditional on Housing," CEPR Discussion Papers, Centre for Economic Policy Research, number 3890, May.
• Favero, Carlo A. & Aiolfi, Marco, 2003, "Model Uncertainty, Thick Modelling and the Predictability of Stock Returns," CEPR Discussion Papers, Centre for Economic Policy Research, number 3997, Aug.
• Koskinen, Yrjö & Giannetti, Mariassunta, 2003, "Investor Protection and Equity-Holdings: An Explanation of Two Puzzles?," CEPR Discussion Papers, Centre for Economic Policy Research, number 4017, Aug.
• Timmermann, Allan & Kapur, Sandeep, 2003, "Relative Performance Evaluation Contracts and Asset Market Equilibrium," CEPR Discussion Papers, Centre for Economic Policy Research, number 4038, Sep.
• Paolo, BATTOCCHIO & Francesco, MENONCIN & Olivier, SCAILLET, 2003, "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003004, Feb.
• Francesco, MENONCIN, 2003, "Optimal Real Consumption and Asset Allocation for a HARA Investor with Labour Income," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2003015, Nov.
• Ning Sun & Zaifu Yang, 2003, "Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs," Annals of Economics and Finance, Society for AEF, volume 4, issue 1, pages 51-71, May.
• Sungsub Choi & Hyeng Keun Koo & Gyoocheol Shim & Thaleia Zariphopoulou, 2003, "A Wealth-Dependent Investment Opportunity Set: Its Effect on Optimal Consumption and Portfolio Decisions," Annals of Economics and Finance, Society for AEF, volume 4, issue 2, pages 427-469, November.
• Escalante, Cesar L. & Barry, Peter J., 2003, "Determinants of the Strength of Strategic Adjustments in Farm Capital Structure," Journal of Agricultural and Applied Economics, Cambridge University Press, volume 35, issue 1, pages 67-78, April.
• Dahlquist, Magnus & Pinkowitz, Lee & Stulz, René M. & Williamson, Rohan, 2003, "Corporate Governance and the Home Bias," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 38, issue 1, pages 87-110, March.
• Flavin, T. J. & Wickens, M. R., 2003, "Macroeconomic influences on optimal asset allocation," Review of Financial Economics, Elsevier, volume 12, issue 2, pages 207-231.
• Michaelides, Alexander, 2003, "International portfolio choice, liquidity constraints and the home equity bias puzzle," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 195, Dec.
• Gomes, Francisco J. & Michaelides, Alexander, 2003, "Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 196, Oct.
• Peñaranda, Francisco, 2003, "Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24857, Jul.
• Blake, David, 2003, "Financial system requirements for successful pension reform," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24862, Aug.
• Blake, David, 2003, "Modelling the composition of personal sector wealth in the United Kingdom," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24866, Sep.
• Lopes, Paula, 2003, "Are annuities value for money?: who can afford them?," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24899, Nov.
• Gomes, Francisco & Michaelides, Alexander, 2003, "Optimal life-cycle asset allocation: understanding the empirical evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 24900, Nov.
• Buiter, Willem H., 2003, "James Tobin : an appreciation of his contribution to economics," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 847, Nov.
• Márquez Pozos, Jorge Miguel & Islas Camargo, Alejandro & Venegas-Martínez, Francisco, 2003, "Corrientes internacionales de capital e inversión extranjera de cartera. El caso de México, 1989-1999," El Trimestre Económico, Fondo de Cultura Económica, volume 70, issue 280, pages 791-833, octubre-d.
• Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003, "Optimal asset allocation for pension funds under mortality risk during the accumulation and decumulation phases," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2003-28.
• Berkelaar, A.B. & Kouwenberg, R.R.P., 2003, "Investing in a real world with mean-reverting inflation," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9960/A, Jul.
• Berkelaar, A.B. & Kouwenberg, R.R.P., 2003, "Retirement saving with contribution payments and labor income as a benchmark for investments," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9946/A, Jul.
• Tims, B. & Mahieu, R.J., 2003, "International Portfolio Choice," 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-2003-011-F&A, Mar.
• Hallerbach, W.G.P.M. & Ning, H. & Spronk, J., 2003, "The effects of decision flexibility in the hierarchical investment decision process," 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-2003-047-F&A, Jun.
• Francesco Menoncin & Olivier Scaillet, 2003, "Mortality Risk and Real Optimal Asset Allocation for Pension Funds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp101, Sep.
• Andriy DEMCHUK,, 2003, "Sovereign Debt Contract and Optimal Consumption-Investment Strategies," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp104, Feb.
• Sofia B. RAMOS & Ernst-Ludwig VON THADDEN, 2003, "Stock Exchange Competition in a Simple Model of Capital Market Equilibrium," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp109, Nov.
• Foort HAMELINK & Martin HOESLI, 2003, "What Factors Determine International Real Estate Security Returns?," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp50, Jul.
• Paolo Battocchio & Francesco Menoncin & Olivier Scaillet, 2003, "Optimal asset allocation for pension funds under mortality risk during the accumulation and ecumulation phases," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp66, Jan.
• Paul EHLING & Sofia B. RAMOS, 2003, "Geographical versus Industrial Diversification: A Mean Variance Spanning Approach," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp80, Apr.
• Foort HAMELINK & Martin HOESLI, 2003, "Maximum Drawdown and the Allocation to Real Estate," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp87, Nov.
• Kaifeng CHEN & Alexander PASSOW, 2003, "Quantitative Selection of Long-Short Hedge Funds," FAME Research Paper Series, International Center for Financial Asset Management and Engineering, number rp94, Jul.
• Robin Brooks & Marco Del Negro, 2003, "Firm-level evidence on international stock market movement," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2003-8.
• Sujit Chakravorti & Anna Ilyina & Subir Lall, 2003, "Managerial incentives and financial contagion," Working Paper Series, Federal Reserve Bank of Chicago, number WP-03-21.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2003, "Thy Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trades of Money Managers," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 2006.
• Jacques Olivier & José M. Marin, 2003, "On the impact of leverage constraints on asset prices and trading volume," Post-Print, HAL, number hal-00460077, Jun, DOI: 10.1007/s101080300063.
• Giannetti, Mariassunta & Koskinen, Yrjö, 2003, "Investor Protection and the Demand for Equity," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 526, May, revised 23 Feb 2004.
• Engström, Stefan & Westerberg, Anna, 2003, "Which individuals make active investment decisions in the new Swedish pension system?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 527, May, revised 12 Aug 2003.
• Ericsson, Johan & González, Andrés, 2003, "Is Momentum Due to Data-Snooping?," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 536, Sep.
• Bengtsson, Christoffer, 2003, "The Impact of Estimation Error on Portfolio Selection for Investors with Constant Relative Risk Aversion," Working Papers, Lund University, Department of Economics, number 2003:17, Nov, revised 29 Apr 2004.
• Y.L. Cheung & Y.W. Cheung & K.C. Ng, 2003, "East Asian Equity Markets, Financial Crises, and the Japanese Currency," Working Papers, Hong Kong Institute for Monetary Research, number 032003, Feb.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Scholarly Articles, Harvard University Department of Economics, number 30747193.
• Campbell, John & Cocco, Joao, 2003, "Household Risk Management and Optimal Mortgage Choice," Scholarly Articles, Harvard University Department of Economics, number 3157876.
• Bommier, Antoine & Rochet, Jean-Charles, 2003, "Risk Aversion and Planning Horizon," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 204, revised Nov 2004.
• Gollier, Christian, 2003, "Optimal Dynamic Portfolio Risk with First-Order and Second-Order Predictability," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 250.
• Saïd Hanchane & David Touahri, 2003, "Diversité des sources d'incertitude et accumulation de capital humain sur le cycle de vie," IDEP Working Papers, Institut d'economie publique (IDEP), Marseille, France, number 0310, Oct.
• Michael Haliassos & Alexander Michaelides, 2003, "Portfolio Choice and Liquidity Constraints," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, volume 44, issue 1, pages 143-177, February.
• Christos I. Giannikos & Hany Guirguis & Deniz Ozenbas, 2003, "Is Volatility of Equity Markets a Volume Story? A Nonparametric Analysis," International Journal of Business and Economics, School of Management Development, Feng Chia University, Taichung, Taiwan, volume 2, issue 1, pages 49-55, April.
• Viviana Fernandez, 2003, "Extreme Value Theory and Value at Risk," Revista de Analisis Economico – Economic Analysis Review, Universidad Alberto Hurtado/School of Economics and Business, volume 18, issue 1, pages 57-85, June.
• Mr. Luis Catão & Mr. Allan Timmermann, 2003, "Country and Industry Dynamics in Stock Returns," IMF Working Papers, International Monetary Fund, number 2003/052, Mar.
• Mr. Robin Brooks & Mr. Marco Del Negro, 2003, "Firm-Level Evidenceon International Stock Market Comovement," IMF Working Papers, International Monetary Fund, number 2003/055, Mar.
• WILLIAMS Donald R. & COBB-CLARK Deborah A, 2003, "The wealth and asset holdings of U.S.-born and foreign-born households: Evidence from SIPP data," IRISS Working Paper Series, IRISS at CEPS/INSTEAD, number 2003-07, Jan.
• Hennessy, David A. & Lapan, Harvey E., 2003, "Algebraic Theory of Portfolio Allocation, An," Staff General Research Papers Archive, Iowa State University, Department of Economics, number 10109, Aug.
• Lilia Maliar & Serguei Maliar, 2003, "Quasi-Geometric Discounting: A Closed-Form Solution Under The Exponential Utility Function," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-16, Apr.
• Lilia Maliar & Serguei Maliar, 2003, "The Neoclassical Growth Model With Heterogenous Quasi-Geometric Consumers," Working Papers. Serie AD, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-25, Jul.
• Carlos Forner & Joaquín Marhuenda, 2003, "El Efecto Momentum En El Mercado Español De Acciones," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2003-14, Jul.
• Stefan Hochguertel, 2003, "Precautionary motives and portfolio decisions," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 18, issue 1, pages 61-77, DOI: 10.1002/jae.658.
• Robert Neumann & Torben Voetmann, 2003, "Demand Curves for European Stocks Slope Down Too," Review of Finance, Springer, volume 7, issue 3, pages 437-457.
• Gene Amromin, 2003, "Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle?," Review of Finance, Springer, volume 7, issue 3, pages 547-582.
• Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003, "Evolutionary Stability of Portfolio Rules in Incomplete Markets," Discussion Papers, University of Copenhagen. Department of Economics, number 03-03, Jan.
• Igor Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2003, "Evolutionary Stable Stock Markets," Discussion Papers, University of Copenhagen. Department of Economics, number 03-39, Oct.
• Igor Evstigneev & Klaus Reiner Schenk-Hoppé, 2003, "Volatility-induced Growth in Financial Markets," Discussion Papers, University of Copenhagen. Department of Economics, number 03-40, Aug.
• Pierre-Guillaume Méon & Laurent Weill, 2003, "Can Mergers in Europe Help Banks Hedge Against Macroeconomic Risk," Working Papers of LaRGE Research Center, Laboratoire de Recherche en Gestion et Economie (LaRGE), Université de Strasbourg, number 2003-05.
• David Fielding, 2003, "How Does Civil War Affect the Magnitude of Capital Flight? Evidence from Israel during the Intifada," Discussion Papers in Economics, Division of Economics, School of Business, University of Leicester, number 03/10, Jun.