Research classified by Journal of Economic Literature (JEL) codes

2003

• 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.
• Deborah A. Cobb-Clark & Vincent Hildebrand, 2003, "The Wealth and Asset Holdings of U.S.-Born and Foreign-Born Households: Evidence from SIPP Data," Social and Economic Dimensions of an Aging Population Research Papers, McMaster University, number 89, Jan.
• Kam Fong Chan & Christopher Gan & Patricia A. McGraw, 2003, "A Hedging Strategy for New Zealand’s Exporters in Transaction Exposure to Currency Risk," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 25-54, March-Jun.
• Jean-Yves Datey & Genevieve Gauthier & Jean-Guy Simonato, 2003, "The Performance of Analytical Approximations for the Computation of Asian Quanto-Basket Option Prices," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 55-82, March-Jun.
• C. J. Adcock, 2003, "An Empirical Study of Portfolio Selection for Optimally Hedged Portfolios," Multinational Finance Journal, Multinational Finance Journal, volume 7, issue 1-2, pages 85-106, March-Jun.
• Basak, Suleyman & Pavlova, Anna & Shapiro, Alex, 2003, "Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4303-03, May.
• Kogan, Leonid & Haugh, Martin & Wang, Jiang, 2003, "Evaluating Portfolio Policies: A Duality Approach," Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management, number 4329-03, Aug.
• Gábor Vadas, 2003, "Modelling Household's Savings and Dwellings Investment - a Portfolio Choice Approach," MNB Working Papers, Magyar Nemzeti Bank (Central Bank of Hungary), number 2003/6.
• Jean-Pierre Galavielle, 2003, "Y a-t-il une théorie des marchés financiers ?," Cahiers de la Maison des Sciences Economiques, Université Panthéon-Sorbonne (Paris 1), number r04029, Dec.
• Rachel Campbell & Catherine S. Forbes & Kees Koedijk & Paul Kofman, 2003, "Diversification Meltdown or the Impact of Fat tails on Conditional Correlation?," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 18/03, Nov.
• Don U.A. Galagedera & Roland Shami, 2003, "Association between Markov regime-switching market volatility and beta risk: Evidence from Dow Jones industrial securities," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 20/03, Dec.
• Y.K. Tse & Xibin Zhang, 2003, "A Monte Carlo Investigation of Some Tests for Stochastic Dominance," Monash Econometrics and Business Statistics Working Papers, Monash University, Department of Econometrics and Business Statistics, number 7/03, Mar.
• Olivier de La Grandville, 2003, "Bond Pricing and Portfolio Analysis: Protecting Investors in the Long Run," MIT Press Books, The MIT Press, number 0262541459, edition 1, ISBN: ARRAY(0x7ca1dc38), December.
• Andrew Ang & Geert Bekaert, 2003, "How do Regimes Affect Asset Allocation?," NBER Working Papers, National Bureau of Economic Research, Inc, number 10080, Nov.
• Wayne E. Ferson, 2003, "Tests of Multifactor Pricing Models, Volatility Bounds and Portfolio Performance," NBER Working Papers, National Bureau of Economic Research, Inc, number 9441, Jan.
• Harvey S. Rosen & Stephen Wu, 2003, "Portfolio Choice and Health Status," NBER Working Papers, National Bureau of Economic Research, Inc, number 9453, Jan.
• Rajnish Mehra, 2003, "The Equity Premium: Why is it a Puzzle?," NBER Working Papers, National Bureau of Economic Research, Inc, number 9512, Feb.
• Jonathan A. Parker & Christian Julliard, 2003, "Consumption Risk and Cross-Sectional Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9538, Mar.
• Jonathan A. Parker, 2003, "Consumption Risk and Expected Stock Returns," NBER Working Papers, National Bureau of Economic Research, Inc, number 9548, Mar.
• Scott Weisbenner & Zoran Ivkovich, 2003, "Local Does as Local Is: Information Content of the Geography of Individual Investors' Common Stock Investments," NBER Working Papers, National Bureau of Economic Research, Inc, number 9685, May.
• Harrison Hong & Jeffrey D. Kubik & Jeremy C. Stein, 2003, "The Neighbor's Portfolio: Word-of-Mouth Effects in the Holdings and Trade of Money Managers," NBER Working Papers, National Bureau of Economic Research, Inc, number 9711, May.
• Louis Kaplow, 2003, "The Value of a Statistical Life and the Coefficient of Relative Risk Aversion," NBER Working Papers, National Bureau of Economic Research, Inc, number 9852, Jul.
• Martin B. Haugh & Leonid Kogan & Jiang Wang, 2003, "Evaluating Portfolio Policies: A Duality Approach," NBER Working Papers, National Bureau of Economic Research, Inc, number 9861, Jul.
• P.-O. Beffy & B. Monfort, 2003, "Household wealth, portfolio selection and consumption behavior," Documents de Travail de l'Insee - INSEE Working Papers, Institut National de la Statistique et des Etudes Economiques, number g2003-08.
• Ajay Tandon & Yong Wang, 2003, "Confidence in Domestic Money and Currency Substitution," Economic Inquiry, Western Economic Association International, volume 41, issue 3, pages 407-419, July.
• John Y. Campbell & João F. Cocco, 2003, "Household Risk Management and Optimal Mortgage Choice," The Quarterly Journal of Economics, President and Fellows of Harvard College, volume 118, issue 4, pages 1449-1494.
• Robert Neumann & Torben Voetmann, 2003, "Demand Curves for European Stocks Slope Down Too," Review of Finance, European Finance Association, volume 7, issue 3, pages 437-457.
• Axel F.A. Adam-Müller & Kit Pong Wong, 2003, "The Impact of Delivery Risk on Optimal Production and Futures Hedging," Review of Finance, European Finance Association, volume 7, issue 3, pages 459-477.
• Gene Amromin, 2003, "Household Portfolio Choices in Taxable and Tax-Deferred Accounts: Another Puzzle?," Review of Finance, European Finance Association, volume 7, issue 3, pages 547-582.
• Lioui, Abraham & Poncet, Patrice, 2003, "International asset allocation: A new perspective," Journal of Banking & Finance, Elsevier, volume 27, issue 11, pages 2203-2230, November.
• Lafuente, Juan A. & Novales, Alfonso, 2003, "Optimal hedging under departures from the cost-of-carry valuation: Evidence from the Spanish stock index futures market," Journal of Banking & Finance, Elsevier, volume 27, issue 6, pages 1053-1078, June.
• Kahl, Matthias & Liu, Jun & Longstaff, Francis A., 2003, "Paper millionaires: how valuable is stock to a stockholder who is restricted from selling it?," Journal of Financial Economics, Elsevier, volume 67, issue 3, pages 385-410, March.
• Barberis, Nicholas & Shleifer, Andrei, 2003, "Style investing," Journal of Financial Economics, Elsevier, volume 68, issue 2, pages 161-199, May.
• Ono, Yukako, 2003, "Outsourcing business services and the role of central administrative offices," Journal of Urban Economics, Elsevier, volume 53, issue 3, pages 377-395, May.
• Engstrom, Stefan, 2003, "Costly information, diversification and international mutual fund performance," Pacific-Basin Finance Journal, Elsevier, volume 11, issue 4, pages 463-482, September.
• Poterba, James M. & Samwick, Andrew A., 2003, "Taxation and household portfolio composition: US evidence from the 1980s and 1990s," Journal of Public Economics, Elsevier, volume 87, issue 1, pages 5-38, January.

2002

• Bangia, Anil & Diebold, Francis X. & Kronimus, Andre & Schagen, Christian & Schuermann, Til, 2002, "Ratings migration and the business cycle, with application to credit portfolio stress testing," Journal of Banking & Finance, Elsevier, volume 26, issue 2-3, pages 445-474, March.
• Bergstresser, Daniel & Poterba, James, 2002, "Do after-tax returns affect mutual fund inflows?," Journal of Financial Economics, Elsevier, volume 63, issue 3, pages 381-414, March.
• Kathryn Graddy & Orley Ashenfelter & Princeton University and NBER, 2002, "Auctions and the Price of Art," Economics Series Working Papers, University of Oxford, Department of Economics, number 131, Nov.
• Haefliger, Thomas & Waelchli, Urs & Wydler, Daniel, 2002, "Hedging currency risk: Does it have to be so complicated?," MPRA Paper, University Library of Munich, Germany, number 26451.
• Alexis Derviz, 2002, "The uncovered parity properties of the czech koruna," Prague Economic Papers, Prague University of Economics and Business, volume 2002, issue 1, pages 17-37, DOI: 10.18267/j.pep.186.
• Markus K. Brunnermeier & Jonathan A. Parker, 2002, "Optimal Expectations," Working Papers, Princeton University, School of Public and International Affairs, Discussion Papers in Economics, number 146, Dec.
• Gianluca Bison & Loriana Pellizzon & Domenico Sartore, 2002, "La copertura dei rischi finanziari nelle imprese non finanziarie italiane attraverso gli strumenti derivati," Moneta e Credito, Economia civile, volume 55, issue 217, pages 55-75.
• Arie Kapteyn & Federica Teppa, 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Working Papers, RAND Corporation, number DRU-2802, Jan.
• Carol Alexandra & Anca Dimitriu, 2002, "The Cointegration Alpha: Enchanced Index Tracking and Long-Short Equity Market Neutral Stragies," ICMA Centre Discussion Papers in Finance, Henley Business School, University of Reading, number icma-dp2002-08, Apr.
• Shahin Shojai & George Feiger, 2002, "Les Banquiers Suisses: Can They Remain Leaders in Private Banking?," Journal of Financial Transformation, Capco Institute, volume 4, pages 65-72.
• Laurent Favre & José-Antonio Galeano, 2002, "Portfolio allocation with hedge funds: Case study of a Swiss institutional investor," Journal of Financial Transformation, Capco Institute, volume 4, pages 57-63.
• Merlin Stone, 2002, "Managing wealth: A new approach in the U.K," Journal of Financial Transformation, Capco Institute, volume 4, pages 77-94.
• Koren Miklós & Szeidl Ádám, 2002, "Portfolio Choice with Illiquid Assets," Rajk László Szakkollégium Working Papers, Rajk László College, number 6, Feb.
• Larry Epstein & Martin Schneider, 2002, "Learning Under Ambiguity," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 497, Oct, revised Mar 2005.
• J. Annaert & J.K. De Ceuster & W. Van Hyfte, 2002, "The Value of Asset Allocation Advice - Evidence of The Economist s Quarterly Portfolio Poll," Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium, Ghent University, Faculty of Economics and Business Administration, number 02/160, Dec.
• Christopher Rude, 2002, "Information, Trading, and the Pricing of Risky Financial Securities:," Computing in Economics and Finance 2002, Society for Computational Economics, number 119, Jul.
• Michael Haliassos & Michael Reiter, 2002, "Co-existence of Credit Card Debt with Liquid and Retirement Assets: Two Puzzles or None?," Computing in Economics and Finance 2002, Society for Computational Economics, number 179, Jul.
• John Campbell & Joao F. Cocco, 2002, "Household Risk Management and Optimal Mortgage Choice," Computing in Economics and Finance 2002, Society for Computational Economics, number 47, Jul.
• Sebastien Page & Anne-Sophie Vanroyen, 2002, "The Multiple Dimensions of Asset Allocation:Countries, Sectors or Factors?," Computing in Economics and Finance 2002, Society for Computational Economics, number 65, Jul.
• Frank Schlottmann & Detlef Seese, 2002, "Hybrid multi-objective evolutionary computation of constrained downside risk-return efficient sets for credit portfolios," Computing in Economics and Finance 2002, Society for Computational Economics, number 78, Jul.
• Thorsten Hens & Klaus Reiner Schenk-Hoppé & Martin Stalder, 2002, "An Application of Evolutionary Finance to Firms Listed in the Swiss Market Index," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 138, issue 4, pages 465-487, December.
• (**), Christophe Stricker & (*), Miklós Rásonyi & Yuri Kabanov, 2002, "No-arbitrage criteria for financial markets with efficient friction," Finance and Stochastics, Springer, volume 6, issue 3, pages 371-382.
• Hans Föllmer & Alexander Schied, 2002, "Convex measures of risk and trading constraints," Finance and Stochastics, Springer, volume 6, issue 4, pages 429-447.
• Bruno Bouchard, 2002, "Utility maximization on the real line under proportional transaction costs," Finance and Stochastics, Springer, volume 6, issue 4, pages 495-516.
• Denis Talay & Ziyu Zheng, 2002, "Worst case model risk management," Finance and Stochastics, Springer, volume 6, issue 4, pages 517-537.
• Karyl Leggio & Donald Lien, 2002, "Hedging gas bills with weather derivatives," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 26, issue 1, pages 88-100, March, DOI: 10.1007/BF02744454.
• Arjen Siegmann & André Lucas, 2002, "Explaining Hedge Fund Investment Styles by Loss Aversion," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 02-046/2, May.
• Baquero, G. & Ter Horst, J.R. & Verbeek, M.J.C.M., 2002, "Survival, Look-Ahead Bias and the Persistence in Hedge Fund Performance," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-111.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-9.
• Goriaev, A.P. & Nijman, T.E. & Werker, B.J.M., 2002, "The Dynamics of the Impact of Past Performance on Mutual Fund Flows," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-2.
• Lutgens, F. & Sturm, J.F., 2002, "Robust One Period Option Modelling," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-114.
• Kapteyn, A. & Teppa, F., 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Discussion Paper, Tilburg University, Center for Economic Research, number 2002-11.
• Nijman, T.E. & Swinkels, L.A.P. & Verbeek, M.J.C.M., 2002, "Do Countries or Industries Explain Momentum in Europe?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 8cea7ebd-d3f6-493c-bf65-3.
• Kapteyn, A. & Teppa, F., 2002, "Subjective Measures of Risk Aversion and Portfolio Choice," Other publications TiSEM, Tilburg University, School of Economics and Management, number c2d00e7e-f351-41d1-be09-4.
• Jaroslava Hlouskova & Kurt Schmidheiny & Martin Wagner, 2002, "Multistep Predictions from Multivariate ARMA-GARCH: Models and their Value for Portfolio Management," Diskussionsschriften, Universitaet Bern, Departement Volkswirtschaft, number dp0212, Nov.
• Alfonso Novales & J.A. Lafuente, 2002, "Optimal hedging under departures from the cost-of-carry valuation: evidence from the Spanish stock index futures market," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 0223.
• WenShwo Fang & Stephen M. Miller, 2002, "Dynamic Effects of Currency Depreciation on Stock Market Returns during the Asian Financial Crisis," Working papers, University of Connecticut, Department of Economics, number 2002-31, Oct.
• Pablo Marshall & Eduardo Walker, 2002, "Volumen, tamaño y ajuste a nueva información en el mercado accionario chileno," Estudios de Economia, University of Chile, Department of Economics, volume 29, issue 2 Year 20, pages 247-268, December.
• Graciela Sanromán, 2002, "A Discrete Choice Analysis of the Household Shares of Risky Assets," Documentos de Trabajo (working papers), Department of Economics - dECON, number 0702, Dec.
• Michel Normandin & Pascal St–Amour, 2002, "Canadian consumption and portfolio shares," Canadian Journal of Economics/Revue canadienne d'économique, John Wiley & Sons, volume 35, issue 4, pages 737-756, November, DOI: 10.1111/1540-5982.00152.
• Alexei Gretchikha, 2002, "Optimization of Risk Exposure," Finance, University Library of Munich, Germany, number 0207006, Aug.
• Ralph de Haas, 2002, "Het integraal kwantificeren van valutarisico’s," Finance, University Library of Munich, Germany, number 0209004, Sep.
• V.-P. Heikkinen & & Timo Kuosmanen, 2002, "Stochastic Dominance Portfolio Analysis of Forestry Assets," Finance, University Library of Munich, Germany, number 0210002, Oct.
• Rafiqul Bhuyan, 2002, "Information, Alternative Markets, and Security Price Processes: A Survey of Literature," Finance, University Library of Munich, Germany, number 0211002, Nov.
• Pietro Rossi & Massimo Tavoni & Flavio Cocco & Robert Marschinski, 2002, "Portfolio Selection with Probabilistic Utility, Bayesian Statistics, and Markov Chain Monte Carlo," Finance, University Library of Munich, Germany, number 0211003, Nov, revised 28 Nov 2002.
• Kari Heimonen, 2002, "Substituting a Substitute Currency – The Case of Estonia," International Finance, University Library of Munich, Germany, number 0209003, Sep.
• Enrico De Giorgi, 2002, "An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios," Risk and Insurance, University Library of Munich, Germany, number 0209001, Sep, revised 09 Sep 2002.
• Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2002, "From Rags To Riches: On Constant Proportions Investment Strategies," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., volume 5, issue 06, pages 563-573, DOI: 10.1142/S0219024902001547.
• Glaser, Markus & Weber, Martin, 2002, "Momentum and Turnover: Evidence from the German Stock Market," Sonderforschungsbereich 504 Publications, Sonderforschungsbereich 504, Universität Mannheim;Sonderforschungsbereich 504, University of Mannheim, number 02-43, May.
• Vicente Pascual Pons-Sanz & Alok Kumar, 2002, "Behavior and Performance of Investment Newsletters Analysts," Yale School of Management Working Papers, Yale School of Management, number ysm275, Mar.
• Stephen Brown & William Goetzmann & Bing Liang, 2002, "Fees on Fees in Funds of Funds," Yale School of Management Working Papers, Yale School of Management, number ysm309, Oct, revised 01 Sep 2009.
• Thierbach, Frank, 2002, "Mean-Variance Hedging under Additional Market Information," Bonn Econ Discussion Papers, University of Bonn, Bonn Graduate School of Economics (BGSE), number 11/2002.
• Maurer, Raimond H. & Schlag, Christian, 2002, "Money-back guarantees in individual pension accounts: Evidence from the German pension reform," CFS Working Paper Series, Center for Financial Studies (CFS), number 2002/03.
• Adam-Müller, Axel F. A. & Wong, Kit Pong, 2002, "The impact of delivery risk on optimal production and futures hedging," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/08.
• Schindler, Dirk & Hilgers, Bodo, 2002, "Shall We Tax the Risk Premium?," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 02/17.
• Lahusen, Reinhard, 2002, "Asset allocation for pension provision," Research Notes, Deutsche Bank Research, number 1.
• Mann, Catherine L. & Meade, Ellen E., 2002, "Home bias, transactions costs, and prospects for the Euro: A more detailed analysis," Research Notes, Deutsche Bank Research, number 6.
• Antzoulatos, Angelos A., 2002, "Benchmark yield undershooting in the E.M.U," HWWA Discussion Papers, Hamburg Institute of International Economics (HWWA), number 191.
• Palomino, Frederic & Uhlig, Harald, 2002, "Should smart investors buy funds with high returns in the past?," SFB 373 Discussion Papers, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes, number 2002,28.
• Breuer, Wolfgang & Gürtler, Marc, 2002, "Performance evaluation, portfolio selection, and HARA utility," Working Papers, Technische Universität Braunschweig, Institute of Finance, number FW01V4.
• Walther, Ursula, 2002, "Strategische Asset-Allokation aus Sicht des privaten Kapitalanlegers," Freiberg Working Papers, TU Bergakademie Freiberg, Faculty of Economics and Business Administration, number 2002/12.
• Reinker, Kenneth S. & Tower, Edward, 2002, "Predicting Equity Returns for 37 Countries: Tweaking the Gordon Formula," Working Papers, Duke University, Department of Economics, number 02-22.
• HENROTTE, Philippe, 2002, "Pricing kernels and dynamic portfolios," HEC Research Papers Series, HEC Paris, number 768, Aug.
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• Jermann, Urban J., 2002, "International portfolio diversification and endogenous labor supply choice," European Economic Review, Elsevier, volume 46, issue 3, pages 507-522, March.
• Christoffersen, Peter & Ghysels, Eric & Swanson, Norman R., 2002, "Let's get "real" about using economic data," Journal of Empirical Finance, Elsevier, volume 9, issue 3, pages 343-360, August.
• Gloria M. Soto Pacheco & Mª Asunción Prats Albentosa, 2002, "La Inmunización Financiera: Evaluación De Diferentes Estructuras De Cartera," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-03, Feb.
• Gloria M. Soto Pacheco, 2002, "Modelos De Duración Y Gestión Del Riesgo De Interés: ¿Un Problema De Dimensión?," Working Papers. Serie EC, Instituto Valenciano de Investigaciones Económicas, S.A. (Ivie), number 2002-13, Jun.
• Cobb-Clark, Deborah A. & Hildebrand, Vincent A., 2002, "The Wealth and Asset Holdings of U.S.- Born and Foreign-Born Households: Evidence from SIPP Data," IZA Discussion Papers, IZA Network @ LISER, number 674, Dec.
• Gollier, Christian & Zeckhauser, Richard J, 2002, "Horizon Length and Portfolio Risk," Journal of Risk and Uncertainty, Springer, volume 24, issue 3, pages 195-212, May.
• Janecskó, Balázs, 2002, "Portfóliószemléletű hitelkockázat szimulációs meghatározása
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