Research classified by Journal of Economic Literature (JEL) codes

2000

• Ranjanendra Narayan Nag, 2000, "Stabilization Dynamics and Non Bank Financial Intermediaries," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 35, issue 2, pages 193-209, July.
• Mendoza, Enrique G., 2000, "On the Instability of Variance Decompositions of the Real Exchange Rate Across Exchange- Rate-Regimes: Evidence from Mexico and the United States," Working Papers, Duke University, Department of Economics, number 00-05.
• Detken, Carsten & Hartmann, Philipp, 2000, "The euro and international capital markets," Working Paper Series, European Central Bank, number 19, Apr.
• Christian Gourieroux & J. P. Laurent & Olivier Scaillet, 2000, "Sensitivity Analysis of Values at Risk," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0162, Aug.
• P. Jean-Jacques Herings & Felix Kubler, 2000, "The Robustness of the CAPM-A Computational Approach," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 0400, Aug.
• Peter Christoffersen & Eric Ghysels & Norman Swanson, 2000, "Let's Get "Real" About Using Economic Data," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1004, Aug.
• Annette Vissing-Jorgensen, 2000, "Towards an Explanation of Household Portfolio Choice Heterogeneity: Nonfinancial Income and Participation Cost Structures," Econometric Society World Congress 2000 Contributed Papers, Econometric Society, number 1102, Aug.
• Aliprantis, C. D. & Brown, D. J. & Werner, J., 2000, "Minimum-cost portfolio insurance," Journal of Economic Dynamics and Control, Elsevier, volume 24, issue 11-12, pages 1703-1719, October.
• Gourieroux, C. & Laurent, J. P. & Scaillet, O., 2000, "Sensitivity analysis of Values at Risk," Journal of Empirical Finance, Elsevier, volume 7, issue 3-4, pages 225-245, November.
• Garry J. Schinasi & R. Todd Smith, 2000, "Portfolio Diversification, Leverage, and Financial Contagion," IMF Staff Papers, Palgrave Macmillan, volume 47, issue 2, pages 1-1.
• Hirshleifer, David & Luo, Guo Ying, 2000, "On the Survival of Overconfident Traders in a Competitive Securities Market," MPRA Paper, University Library of Munich, Germany, number 15347.
• Gaivoronski, A & Stella, F, 2000, "Nonstationary Optimization Approach for Finding Universal Portfolios," MPRA Paper, University Library of Munich, Germany, number 21913.
• Magni, Carlo Alberto, 2000, "Systemic Value Added, Residual Income and Decomposition of a Cash Flow Stream," MPRA Paper, University Library of Munich, Germany, number 5900, Jul.
• Magni, Carlo Alberto, 2000, "Decomposition of a Certain Cash Flow Stream: Differential Systemic Value and Net Final Value," MPRA Paper, University Library of Munich, Germany, number 7308, May.
• Magni, Carlo Alberto, 2000, "Irr, Roe and Npv: Formal and Conceptual Convergences in a Systemic Approach," MPRA Paper, University Library of Munich, Germany, number 7600, Dec.
• Magni, Carlo Alberto, 2000, "Scomposizione di sovraprofitti: Economic Value Added e Valore Aggiunto Sistemico
  [Excess-profit decomposition: Economic Value Added and Systemic Value Added]," MPRA Paper, University Library of Munich, Germany, number 8935.
• Jean Berthon, 2000, "Indices et performances boursières dans l’investissement éthique," Revue d'Économie Financière, Programme National Persée, volume 56, issue 1, pages 137-143, DOI: 10.3406/ecofi.2000.3817.
• Dilip K. Das, 2000, "Gli investimenti di portafoglio nelle economie di mercato emergenti: tendenze, dimensioni e problemi," Moneta e Credito, Economia civile, volume 53, issue 211, pages 301-341.
• Marc-Andre Letendre & Gregor W. Smith, 2000, "Precautionary Saving And Portfolio Allocation: Dp By Gmm," Working Paper, Economics Department, Queen's University, number 1247, Aug.
• Geoffrey H. Kingston, 2000, "Efficient Timing of Retirement," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, volume 3, issue 4, pages 831-840, October, DOI: 10.1006/redy.2000.0097.
• Georges Dionne, 2000, "The Empirical Measure of Information Problems with Emphasis on Insurance Fraud," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-4, Mar.
• Kais Dachraoui & Georges Dionne, 2000, "Optimal financial portfolio and dependence of risky assets," Working Papers, HEC Montreal, Canada Research Chair in Risk Management, number 00-12, Dec.
• Yousif Khalifa Al-Yousif, 2000, "Financial Markets: An Islamic Perspective," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 53, issue 3, pages 277-298.
• Zengjing Chen & Larry G. Epstein, 2000, "Ambiguity, risk and asset returns in continuous time," RCER Working Papers, University of Rochester - Center for Economic Research (RCER), number 474, Jul.
• Spyros Skouras, 2000, "Risk Neutral Forecasting," Computing in Economics and Finance 2000, Society for Computational Economics, number 117, Jul.
• Karl Schmedders, 2000, "Monopolistic Security Design In Finance Economies," Computing in Economics and Finance 2000, Society for Computational Economics, number 129, Jul.
• Michael Haliassos, Alexander Michaelides, 2000, "Portfolio Choice And Liquidity Constraints," Computing in Economics and Finance 2000, Society for Computational Economics, number 297, Jul.
• Stanley R. Pliska & Tomasz R. Bielecki, 2000, "Risk sensitive asset management with transaction costs," Finance and Stochastics, Springer, volume 4, issue 1, pages 1-33.
• Pedro J. F. de Lima & Michelle L. Barnes, 2000, "Modeling Financial Volatility: Extreme Observations, Nonlinearities and Nonstationarities," Adelaide Economics Working Papers, Adelaide University, School of Economics, number 2000-05.
• Petrick, Martin & Ditges, C. Markus, 2000, "Risk In Agriculture As Impediment To Rural Lending - The Case Of North-Western Kazakhstan," IAMO Discussion Papers, Institute of Agricultural Development in Transition Economies (IAMO), number 14939, DOI: 10.22004/ag.econ.14939.
• Letendre, Marc-Andre & Smith, Gregor, 2000, "Precautionary saving and portfolio allocation: DP by GMM," Queen's Economics Department Working Papers, Queen's University - Department of Economics, number 273746, Aug, DOI: 10.22004/ag.econ.273746.
• Lucas, Andre, 2000, "A Note on Optimal Estimation from a Risk-Management Perspective under Possibly Misspecified Tail Behavior," Journal of Business & Economic Statistics, American Statistical Association, volume 18, issue 1, pages 31-39, January.
• Carsten Detken & Philipp Hartmann, 2000, "The Euro and International Capital Markets," International Finance, Wiley Blackwell, volume 3, issue 1, pages 53-94, April, DOI: 10.1111/1468-2362.00042.
• Piotroski, JD, 2000, "Value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 1-41, DOI: http://hdl.handle.net/10.2307/26729.
• Guay, W, 2000, "Discussion of value investing: The use of historical financial statement information to separate winners from losers," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 38, issue , pages 43-51, DOI: http://hdl.handle.net/10.2307/26729.
• Jérôme Detemple & René Garcia & Marcel Rindisbacher, 2000, "A Monte-Carlo Method for Optimal Portfolios," CIRANO Working Papers, CIRANO, number 2000s-05, Jan.
• Ignacio Velez-Pareja, 2000, "Optimal Portfolio Selection: A Note," Proyecciones Financieras y Valoración, Master Consultores, number 3304, Aug.
• Hartmann, Philipp & Detken, Carsten, 2000, "The Euro and International Capital Markets," CEPR Discussion Papers, Centre for Economic Policy Research, number 2461, May.
• Christian Gourieroux & Jean-Paul Laurent & Olivier Scaillet, 2000, "Sensitivity Analysis of Values at Risk," Working Papers, Center for Research in Economics and Statistics, number 2000-05.
• Lafuente Luengo, Juan Ángel, 2000, "Optimal hedging under departures from the cost of carry valuation: evidence from the spanish stock index futures market," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number 9853, Jan.
• Ledoit, Olivier & Wolf, Michael, 2000, "Improved estimation of the covariance matrix of stock returns with an application to portfolio selection," DES - Working Papers. Statistics and Econometrics. WS, Universidad Carlos III de Madrid. Departamento de Estadística, number 10089, Nov.
• Jia-an Yan & Qiang Zhang & Shuguang Zhang, 2000, "Growth Optimal Portfolio in a Market Driven by a Jump-Diffusion-Like Process or a Levy Process," Annals of Economics and Finance, Society for AEF, volume 1, issue 1, pages 101-116, May.
• Yunhong Yang, 2000, "Martingale and Relaxation-Projection Methods for Utility Maximization with Portfolio Constraints and Stochastic Income," Annals of Economics and Finance, Society for AEF, volume 1, issue 1, pages 117-146, May.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 2000, "Performance and Characteristics of Swedish Mutual Funds," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 35, issue 3, pages 409-423, September.
• Peter Diamond & John Geanakoplos, 2000, "Social Security Investment in Equities in an Economy with Short-Term Production and Land," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1259, Jun.

1999

• Frank P. Stafford & Ngina S. Chiteji, 1999, "Portfolio Choices of Parents and Their Children as Young Adults: Asset Accumulation by African-American Families," American Economic Review, American Economic Association, volume 89, issue 2, pages 377-380, May.
• Terrance Odean, 1999, "Do Investors Trade Too Much?," American Economic Review, American Economic Association, volume 89, issue 5, pages 1279-1298, December.
• Jonathan B. Berk, 1999, "A Simple Approach for Deciding When to Invest," American Economic Review, American Economic Association, volume 89, issue 5, pages 1319-1326, December.
• Karen K. Lewis, 1999, "Trying to Explain Home Bias in Equities and Consumption," Journal of Economic Literature, American Economic Association, volume 37, issue 2, pages 571-608, June, DOI: 10.1257/jel.37.2.571.
• Franklin R. Edward, 1999, "Hedge Funds and the Collapse of Long-Term Capital Management," Journal of Economic Perspectives, American Economic Association, volume 13, issue 2, pages 189-210, Spring.
• Fabio Panetta & Roberto Violi, 1999, "Is there an Equity Premium Puzzle in Italy? A Look at Asset Returns, Consumption and Financial Structure Data over the Last Century," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 353, Jun.
• Willenborg, M, 1999, "Empirical analysis of the economic demand for auditing in the initial public offerings market," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 37, issue 1, pages 225-238, DOI: http://hdl.handle.net/10.2307/24914.
• Atreya Chakraborty & Mark Kazarosian, 1999, "Portfolio Allocation of Precautionary Assets: Panel Evidence for the United States," Boston College Working Papers in Economics, Boston College Department of Economics, number 432, Aug.
• Sciubba, E., 1999, "The Evolution of Portfolio Rules and the Capital Asset Pricing Model," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9909, Jun.
• David Chaundy, 1999, "Can Domestic Liabilities Explain the Home Bias in UK Investment Portfolios?," Working Papers, Centre for Business Research, University of Cambridge, number wp116, Mar.
• Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999, "Flexible Multivariate GARCH Modeling With an Application to International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management, Anderson Graduate School of Management, UCLA, number qt93s6p8gb, Feb.
• Vachadze, G., 1999, "A Time Homogeneous Stationary Equilbrium Model of Asset Pricing with Heterogeneous Agents," CERGE-EI Working Papers, The Center for Economic Research and Graduate Education - Economics Institute, Prague, number wp148, Jun.
• Michel Normandin & Pascal St-Amour, 2005, "An Empirical Analysis of U.S. Aggregate Portfolio Allocations," CIRANO Working Papers, CIRANO, number 2005s-07, Mar.
• Alexis Derviz, 1999, "Generalized Asset Return Parity and the Exchange Rate in a Finnancially open Economy," Archive of Monetary Policy Division Working Papers, Czech National Bank, number 1999/12, Oct.
• Kaminsky Graciela, 1999, "Notas sobre crisis financieras," Revista Desarrollo y Sociedad, Universidad de los Andes,Facultad de Economía, CEDE.
• Ignacio V√©lez Pareja, 1999, "The Colombian Stock Market: 1930-1998," Proyecciones Financieras y Valoración, Master Consultores, number 3576, Jan.
• Palomino, Frédéric & Prat, Andrea, 1999, "Risk Taking and Optimal Contracts for Money Managers," CEPR Discussion Papers, Centre for Economic Policy Research, number 2066, Feb.
• Sentana, Enrique, 1999, "Least Squares Predictions and Mean-Variance Analysis," CEPR Discussion Papers, Centre for Economic Policy Research, number 2088, Feb.
• Söderlind, Paul & Dahlquist, Magnus & Engström, Stefan, 1999, "Performance and Characteristics of Swedish Mutual Funds 1993-97," CEPR Discussion Papers, Centre for Economic Policy Research, number 2166, Jun.
• Vassalou, Maria & Liew, Jimmy, 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors That Predict Economic Growth," CEPR Discussion Papers, Centre for Economic Policy Research, number 2180, Jun.
• Michel Normandin & Pascal St-Amour, 1999, "Total Wealth, Consumption and Portfolio Shares: Evidence and Theory," Cahiers de recherche CREFE / CREFE Working Papers, CREFE, Université du Québec à Montréal, number 96, Dec.
• John Muellbauer & Janine Aron, 1999, "Estimates of personal sector wealth for South Africa," CSAE Working Paper Series, Centre for the Study of African Economies, University of Oxford, number 1999-17.
• Gouriéroux, Christian & Laurent, J.P. & Scaillet, Olivier, 1999, "Sensitivity Analysis of Values at Risk," LIDAM Discussion Papers IRES, Université catholique de Louvain, Institut de Recherches Economiques et Sociales (IRES), number 2000002, Jun, revised 00 Jan 2000.
• Goetzmann, William N. & Jorion, Philippe, 1999, "Re-Emerging Markets," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 34, issue 1, pages 1-32, March.
• Marcet, Albert & Singleton, Kenneth J., 1999, "Equilibrium Asset Prices And Savings Of Heterogeneous Agents In The Presence Of Incomplete Markets And Portfolio Constraints," Macroeconomic Dynamics, Cambridge University Press, volume 3, issue 2, pages 243-277, June.
• Vayanos, Dimitri, 1999, "Strategic trading and welfare in a dynamic market," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 449, Apr.
• S. Bhattacharya, 1999, "Delegated portfolio management, no churning, and relative performance-based incentive/sorting schemes," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 99-22.
• Berkelaar, A.B. & Dert, C.L. & Oldenkamp, K.P.B. & Zhang, S., 1999, "A primal-dual decomposition based interior point approach to two-stage stochastic linear programming," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 9918-/A, Apr.
• Bonomo, Marco Antônio Cesar & Garcia, René, 1999, "Tests of conditional asset pricing models in the brazilian stock market," FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE), EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil), number 350, Jul.
• Dominique Dupont & Brian P. Sack, 1999, "The Treasury Securities Market: Overview and Recent Developments," Federal Reserve Bulletin, Board of Governors of the Federal Reserve System (U.S.), volume 85, issue 12, pages .785-806, December, DOI: 10.17016/bulletin.1999.85-12.
• Daniel Aaronson, 1999, "A note on the benefits of homeownership," Working Paper Series, Federal Reserve Bank of Chicago, number WP-99-23.
• Kai Li & Asani Sarkar & Zhenyu Wang, 1999, "Assessing the impact of short-sale constraints on the gains from international diversification," Staff Reports, Federal Reserve Bank of New York, number 89, Oct.
• Enrique Sentana & Enrique Sentana, 1999, "Least Squares Predictions and Mean-Variance Analysis," FMG Discussion Papers, Financial Markets Group, number dp312, Jan.
• Chauveau, T. & Nalpas, N., 1999, "L'alteration prudente des probabilites comme solution a l'enigme de la prime de risque," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-04/fi.
• Artus, P., 1999, "Pourquoi le rendement moyen des actifs risques est-il trop faible? Le role de la concurrence entre les fonds d'investissement," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-05/fi.
• Artus, P., 1999, "Peut-on expliquer les rachats d'actions finances par emission de dette?," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-14/fi.
• Artus, P., 1999, "Quels effets sur l'Europe d'une deformation des portefeuilles des investisseurs asiatiques en faveur de l'Euro et au detriment du Dollar? le role de la reaction de la Banque centrale europeenne," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-31/ei.
• Artus, P., 1999, "Equilibre financier entre les Etats-Unis et le Japon: la theorie est-elle confirmee par les faits?," Papers, Caisse des Depots et Consignations - Cahiers de recherche, number 1999-33/ei.
• Liew, J. & Vassalou, M., 1999, "Can Book-to-Market, Size and Momentum Be Risk Factors that Predict Economic Growth?," Papers, Columbia - Graduate School of Business, number 99-11.
• Crama, Y. & Schyns, M., 1999, "Simulated Annealing for Complex Portfolio Selection Problems," Liege - Groupe d'Etude des Mathematiques du Management et de l'Economie, UNIVERSITE DE LIEGE, Faculte d'economie, de gestion et de sciences sociales, Groupe d'Etude des Mathematiques du Management et de l'Economie, number 9911.
• Leslie A. Jeng & Andrew Metrick & Richard Zeckhauser, 1999, "The Profits to Insider Trading: A Performance-Evaluation Perspective," Harvard Institute of Economic Research Working Papers, Harvard - Institute of Economic Research, number 1858.
• Huang, K.X., 1999, "Valuation and Asset Pricing in Infinite Horizon Sequential Markets with Portfolio Constraints," Papers, Minnesota - Center for Economic Research, number 302.
• Elyès Jouini & Hédi Kallal & Clotilde Napp, 1999, "Arbitrage and Viability in Securities Markets with Fixed Trading Costs," New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business-, number 99-033, Jul.
• Touzi, N., 1999, "Direct Characterization of the Value of Super-Replication under Stochastic Volatility and Portfolio Constraints," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.111.
• Florenzano, M., 1999, "General Equilibrium of FDinancial Markets: An Introduction," Papiers d'Economie Mathématique et Applications, Université Panthéon-Sorbonne (Paris 1), number 1999.76.
• A. Craig MacKinlay & Lubos Pastor, undated, "Asset Pricing Models: Implications for Expected Returns and Portfolio Selection," Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research, number 13-99.
• Bhattacharya, S., 1999, "Delegated Portfolio Management, No Churning, and Relative Performance-Based Incentive/Sorting Schemes," Papers, Paris X - Nanterre, U.F.R. de Sc. Ec. Gest. Maths Infor., number 99-22.
• Hubner, G., 1999, "Horizon Risk and Asset Pricing," Papers, Southern California - School of Business Administration, number 99-57.
• Gaëlle Le Fol & Christian Gourieroux, 1999, "Intra-day market activity," Post-Print, HAL, number halshs-00536268.
• Flink, Helena & Gunnarsson, Jonas & Wahlund, Richard, 1999, "Svenska hushållens sparande och skuldsättning - ett konsumentbeteendeperspektiv," SSE/EFI Working Paper Series in Business Administration, Stockholm School of Economics, number 1999:3, Aug, revised 08 Sep 1999.
• Dahlquist, Magnus & Engström, Stefan & Söderlind, Paul, 1999, "Performance and Characteristics of Swedish Mutual Funds," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 312, Feb, revised 10 May 2000.
• Forsfält, Tomas, 1999, "The Effects of Risk Aversion and Age on Investments in New Firms," Research Papers in Economics, Stockholm University, Department of Economics, number 1999:18, Nov.
• Ieda, Akira & Ohba, Toshikazu, 1999, "Risk Management for Equity Portfolios of Japanese Banks," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, volume 17, issue 2, pages 91-117, August.
• T. Todd Smith & Mr. Garry J. Schinasi, 1999, "Portfolio Diversification, Leverage, and Financial Contagion," IMF Working Papers, International Monetary Fund, number 1999/136, Oct.
• John B. Shoven, 1999, "The Location and Allocation of Assets in Pension and Conventional Savings Accounts," NBER Working Papers, National Bureau of Economic Research, Inc, number 7007, Mar.
• Thomas E. MaCurdy & John B. Shoven, 1999, "Asset Allocation and Risk Allocation: Can Social Security Improve Its Future Solvency Problem by Investing in Private Securities?," NBER Working Papers, National Bureau of Economic Research, Inc, number 7015, Mar.
• Louis K.C. Chan & Jason Karceski & Josef Lakonishok, 1999, "On Portfolio Optimization: Forecasting Covariances and Choosing the Risk Model," NBER Working Papers, National Bureau of Economic Research, Inc, number 7039, Mar.
• Klaas Baks & Andrew Metrick & Jessica Wachter, 1999, "Bayesian Performance Evaluation," NBER Working Papers, National Bureau of Economic Research, Inc, number 7069, Apr.
• John B. Shoven & Clemens Sialm, 1999, "Asset Location in Tax-Deferred and Conventional Savings Accounts," NBER Working Papers, National Bureau of Economic Research, Inc, number 7192, Jun.
• Louis K.C. Chan & Hsiu-Lang Chen & Josef Lakonishok, 1999, "On Mutual Fund Investment Styles," NBER Working Papers, National Bureau of Economic Research, Inc, number 7215, Jul.
• Lubos Pastor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers, National Bureau of Economic Research, Inc, number 7284, Aug.
• James M. Poterba & Andrew Samwick, 1999, "Taxation and Household Portfolio Composition: U.S. Evidence from the 1980s and 1990s," NBER Working Papers, National Bureau of Economic Research, Inc, number 7392, Oct.
• Luis M. Viceira, 1999, "Optimal Portfolio Choice for Long-Horizon Investors with Nontradable Labor Income," NBER Working Papers, National Bureau of Economic Research, Inc, number 7409, Oct.
• Masao Ogaki, 1999, "A Theory of Exchange Rates and the Term Structure of Interest Rates," Working Papers, Ohio State University, Department of Economics, number 99-19, Dec.
• Dimitri Vayanos, 1999, "Strategic Trading and Welfare in a Dynamic Market," The Review of Economic Studies, Review of Economic Studies Ltd, volume 66, issue 2, pages 219-254.
• Bryan Mase, 1999, "The Predictability of Short-Horizon Stock Returns," Review of Finance, European Finance Association, volume 3, issue 2, pages 161-173.
• Paul Söderlind, 1999, "An Interpretation of SDF Based Performance Measures," Review of Finance, European Finance Association, volume 3, issue 2, pages 233-237.
• Claus Munk, 1999, "The Valuation of Contingent Claims under Portfolio Constraints: Reservation Buying and Selling Prices," Review of Finance, European Finance Association, volume 3, issue 3, pages 347-388.
• Gourieroux, Christian & Jasiak, Joanna & Le Fol, Gaelle, 1999, "Intra-day market activity," Journal of Financial Markets, Elsevier, volume 2, issue 3, pages 193-226, August.
• Choe, Hyuk & Kho, Bong-Chan & Stulz, Rene M., 1999, "Do foreign investors destabilize stock markets? The Korean experience in 1997," Journal of Financial Economics, Elsevier, volume 54, issue 2, pages 227-264, October.
• Babbs, Simon H & Johnson, Andrew E, 1999, "Severe Loss Probabilities in Portfolio Credit Risk Models," MPRA Paper, University Library of Munich, Germany, number 22929, Dec, revised 14 Jan 2004.
• Luciano, elisa, 1999, "A note on loadings and deductibles: can a vicious circle arise?," MPRA Paper, University Library of Munich, Germany, number 59636.
• Weinrich, Gerd, 1999, "Nondegenerate Intervals of No-Trade Prices for Risk-averse Traders," MPRA Paper, University Library of Munich, Germany, number 6298.
• Bernardino Adão, 1999, "Iberian Financial Integration," Working Papers, Banco de Portugal, Economics and Research Department, number w199905.
• Giyas Gokkent, 1999, "Simultaneous Home Bias and Cross-Holding of Assets Under Information Asimmetry," Economia Internazionale / International Economics, Camera di Commercio Industria Artigianato Agricoltura di Genova, volume 52, issue 1, pages 15-44.
• Michael Haliassos & Christis Hassapis, 1999, "Borrowing Constraints, Portfolio Choice and Precautionary Motives: Theoretical Predictions and Empirical Complications," Computing in Economics and Finance 1999, Society for Computational Economics, number 1341, Mar.
• Jones, R.A., 1999, "Estimating Correlated Diffusions," Discussion Papers, Department of Economics, Simon Fraser University, number dp99-12.
• HuyËn Pham & Nizar Touzi & Jaksa Cvitanic, 1999, "A closed-form solution to the problem of super-replication under transaction costs," Finance and Stochastics, Springer, volume 3, issue 1, pages 35-54.
• HuyËn Pham & Jean Paul Laurent, 1999, "Dynamic programming and mean-variance hedging," Finance and Stochastics, Springer, volume 3, issue 1, pages 83-110.
• Sid Browne, 1999, "Beating a moving target: Optimal portfolio strategies for outperforming a stochastic benchmark," Finance and Stochastics, Springer, volume 3, issue 3, pages 275-294.
• Ioannis Karatzas & Jaksa Cvitanic, 1999, "On dynamic measures of risk," Finance and Stochastics, Springer, volume 3, issue 4, pages 451-482.
• Elisa Luciano, 1999, "A Note on Loadings and Deductibles: Can a Vicious Circle Arise?," Scandinavian Actuarial Journal, Taylor & Francis Journals, volume 1999, issue 2, pages 157-169, DOI: 10.1080/03461239950132633.
• Winfried G. Hallerbach, 1999, "Decomposing Portfolio Value-at-Risk: A General Analysis," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 99-034/2, May.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-54.
• Palomino, F.A. & Uhlig, H.F.H.V.S., 1999, "Should smart investors buy funds with high returns in the past," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-69.
• Roorda, B. & Engwerda, J.C. & Schumacher, J.M., 1999, "Performance of Delta-hedging strategies in interval models - A robustness study," Discussion Paper, Tilburg University, Center for Economic Research, number 1999-05.
• Herings, P.J.J. & Kubler, F., 1999, "The Robustness of the CAPM - A Computational Approach," Other publications TiSEM, Tilburg University, School of Economics and Management, number 06a4e5b2-f380-4d5b-a96f-8.
• Dahlquist, Magnus & Soderlind, Paul, 1999, "Evaluating Portfolio Performance with Stochastic Discount Factors," The Journal of Business, University of Chicago Press, volume 72, issue 3, pages 347-383, July, DOI: 10.1086/209618.
• Michael Haliassos & Alexandros Michaelides, 1999, "Portfolio Choice and Liquidity Constraints," University of Cyprus Working Papers in Economics, University of Cyprus Department of Economics, number 9918, Jun.
• Elvio Accinelli & Daniel Vaz, 1999, "Inversión bajo incertidumbre," Documentos de Trabajo (working papers), Department of Economics - dECON, number 1299.
• Ravikumar, B. & Ray, Surajit & Savin, N.E., 1999, "CAPM Reconsidered: A Robust Finite Sample Evaluation," Working Papers, University of Iowa, Department of Economics, number 99-04, May.
• Miller, Edward M., 1999, "Equilibrium with divergence of opinion," Working Papers, University of New Orleans, Department of Economics and Finance, number 1999-17.
• Berkelaar, Arjan & Dert, Cees & Oldenkamp, Bart, 1999, "A primal-dual decompsition-based interior point approach to two-stage stochastic linear programming," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0026.
• Lucas, André & Straetmans, Stefan & Klaassen, Pieter, 1999, "Tail behavior of credit loss distributions," Serie Research Memoranda, VU University Amsterdam, Faculty of Economics, Business Administration and Econometrics, number 0060.
• Luboš Pástor & Robert F. Stambaugh, 1999, "Comparing Asset Pricing Models: An Investment Perspective," CRSP working papers, Center for Research in Security Prices, Graduate School of Business, University of Chicago, number 497, Jul.
• Andrew Winton, 1999, "Don’t Put All Your Eggs in One Basket? Diversification and Specialization in Lending," Center for Financial Institutions Working Papers, Wharton School Center for Financial Institutions, University of Pennsylvania, number 00-16, Sep.
• Erik Taflin, 1999, "Equity Allocation and Portfolio Selection in Insurance: A simplified Portfolio Model," GE, Growth, Math methods, University Library of Munich, Germany, number 9906002, Jun, revised 23 Jul 1999.
• Alok Kumar, 1999, "Behavior Of Momentum Following And Contrarian Market Timers," Yale School of Management Working Papers, Yale School of Management, number ysm113, Jan.
• Adam-Müller, Axel F. A., 1999, "Hedging Price Risk When Real Wealth Matters," CoFE Discussion Papers, University of Konstanz, Center of Finance and Econometrics (CoFE), number 99/12.
• Reiss, Ariane, 1999, "Discrete and continuous time dynamic mean-variance analysis," Tübinger Diskussionsbeiträge, University of Tübingen, School of Business and Economics, number 168.
• Dornau, Robert & Szczesny, Andrea, 1999, "250 Analysten, 1 Portfolio? Eine ökonometrische Analyse von Empfehlungen zur Gestaltung eines Vermögensportfolios zur Altersvorsorge," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 99-17.
• Köke, Jens, 1999, "Institutional investment in Central and Eastern Europe: investment criteria of Western portfolio managers," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 99-37.

1998

• Rajanendra Narayan Nag & Mallinath Mukhopadhyay, 1998, "Macro-Economic Effects of Stabilisation under Financial Repression," Indian Economic Review, Department of Economics, Delhi School of Economics, volume 33, issue 1, pages 1-17, January.
• Willem H. Buiter & Ricardo Lago & Hélène Rey, 1998, "Financing transition: investing in enterprises during macroeconomic transition," Working Papers, European Bank for Reconstruction and Development, Office of the Chief Economist, number 35, Dec.
• Patricio Arrau & Rómulo Chumacero, 1998, "Tamaño de los Fondos de Pensiones en Chile y su Desempeño Financiero," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., volume 35, issue 105, pages 205-236.
• Bhar, Ramaprasad & Malliaris, A G, 1998, "Volume and Volatility in Foreign Currency Futures Markets," Review of Quantitative Finance and Accounting, Springer, volume 10, issue 3, pages 285-302, May.
• Urban J. Jermann, 1998, "International Portfolio Diversification and Labor/Leisure Choice," NBER Working Papers, National Bureau of Economic Research, Inc, number 6382, Jan.
• Hyuk Choe & Bong-Chan Kho & Rene M. Stulz, 1998, "Do Foreign Investors Destabilize Stock Markets? The Korean Experience in 1997," NBER Working Papers, National Bureau of Economic Research, Inc, number 6661, Jul.
• Patrick F. Rowland & Linda L. Tesar, 1998, "Multinationals and the Gains from International Diversification," NBER Working Papers, National Bureau of Economic Research, Inc, number 6733, Sep.
• Kanodia, C & Lee, DH, 1998, "Investment and disclosure: The disciplinary role of periodic performance reports," Journal of Accounting Research, John Wiley & Sons, Ltd., volume 36, issue 1, pages 33-55, DOI: http://hdl.handle.net/10.2307/24913.
• Pedersen, Christian C & Satchell, Stephen E, 1998, "Utility Functions with Parameters Depending on Initial Wealth," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9819, Oct.
• Bond, Shaun A & Satchell, Stephen E, 1998, "Statistical Properties of the Sample Semi-variance, with Applications to Emerging Markets' Data," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 9821, Oct.
• Sullivan, Ryan & Timmermann, Allan & White, Halbert, 1998, "Dangers of Data-Driven Inference: The Case of Calendar Effects in Stock Returns," University of California at San Diego, Economics Working Paper Series, Department of Economics, UC San Diego, number qt2z02z6d9, Jun.
• Carolyn Pitchik, 1998, "Irreversible, Unobservable, Costly Investment in the Presence of Rivals," Canadian Journal of Economics, Canadian Economics Association, volume 31, issue 1, pages 77-91, February.
• Lettau, Martin, 1998, "Idiosyncratic Risk and Volatility Bounds, or, Can Models with Idiosyncratic Risk Solve the Equity Premium Puzzle?," CEPR Discussion Papers, Centre for Economic Policy Research, number 1795, Jan.
• Nielsen, Lars Tyge & Vassalou, Maria, 1998, "Performance Measures for Dynamic Portfolio Management," CEPR Discussion Papers, Centre for Economic Policy Research, number 1885, May.