Research classified by Journal of Economic Literature (JEL) codes

2012

• Scholz, Peter, 2012, "Size matters! How position sizing determines risk and return of technical timing strategies," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 31.
• Fischer, Thomas, 2012, "Passive investment strategies and financial bubbles," Darmstadt Discussion Papers in Economics, Darmstadt University of Technology, Department of Law and Economics, number 212.
• Barasinska, Nataliya & Schäfer, Dorothea & Stephan, Andreas, 2012, "Individual Risk Attitudes and the Composition of Financial Portfolios: Evidence from German Household Portfolios," EconStor Open Access Articles and Book Chapters, ZBW - Leibniz Information Centre for Economics, volume 52, issue 1, pages 1-14.
• Krones, Julia & Cremers, Heinz, 2012, "Eine Analyse des Credit Spreads und seiner Komponenten als Grundlage für Hedge Strategien mit Kreditderivaten," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 195.
• Fossen, Frank M., 2012, "Risk attitudes and private business equity," Discussion Papers, Free University Berlin, School of Business & Economics, number 2012/11.
• Lehmann, Sibylle H. & Hauber, Philipp & Opitz, Alexander, 2012, "Political rights, taxation, and firm valuation: Evidence from Saxony around 1900," FZID Discussion Papers, University of Hohenheim, Center for Research on Innovation and Services (FZID), number 59-2012.
• Candela, Guido & Castellani, Massimiliano & Mussoni, Maurizio, 2012, "Clashes and compromises: Investment policies in tourism destinations," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-11.
• Witte, Björn-Christopher, 2012, "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-20.
• Mili, Mehdi, 2012, "Fixed-income portfolio management in crisis period: Expected tail loss (ETL) approach," Economics Discussion Papers, Kiel Institute for the World Economy, number 2012-33.
• Candela, Guido & Castellani, Massimiliano & Mussoni, Maurizio, 2012, "Clashes and compromises: Investment policies in tourism destinations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-25, DOI: 10.5018/economics-ejournal.ja.2012-.
• Witte, Björn-Christopher, 2012, "Fund managers - Why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 6, pages 1-29, DOI: 10.5018/economics-ejournal.ja.2012-.
• Schmitz, Matthias & Voigtlänger, Michael, 2012, "Grenzüberschreitende Immobilien-Transaktionen: Umfang, Trends und Determinanten," IW-Trends – Vierteljahresschrift zur empirischen Wirtschaftsforschung, Institut der deutschen Wirtschaft (IW) / German Economic Institute, volume 39, issue 4, pages 75-87, DOI: 10.2373/1864-810X.12-04-05.
• Kim, Young Shin & Giacometti, Rosella & Rachev, Svetlozar T. & Fabozzi, Frank J. & Mignacca, Domenico, 2012, "Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 44, DOI: 10.5445/IR/1000029307.
• Schuster, Philipp & Uhrig-Homburg, Marliese, 2012, "The term structure of bond market liquidity conditional on the economic environment: An analysis of government guaranteed bonds," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 45, DOI: 10.5445/IR/1000030964.
• Neuberger, Doris & Rissi, Roger, 2012, "Macroprudential banking regulation: Does one size fit all?," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 124.
• Johansen, Kathrin & Singer, Nico, 2012, "Chasing rainbows: On the relationship between lottery tickets and common stocks," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 129.
• Belke, Ansgar & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? – The Impact of the Demographic Factor," Ruhr Economic Papers, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen, number 338, DOI: 10.4419/86788390.
• Adam, Tim R. & Fernando, Chitru S. & Golubeva, Evgenia, 2012, "Managerial overconfidence and corporate risk management," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-018.
• Adam, Tim R. & Fernando, Chitru S. & Salas, Jesus M., 2012, "Why do firms engage in selective hedging?," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-019.
• Cebiroğlu, Gökhan & Horst, Ulrich, 2012, "Hidden liquidity: Determinants and impact," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-023.
• Hirschberger, Markus & Steuer, Ralph E. & Utz, Sebastian & Wimmer, Maximilian, 2012, "Is socially responsible investing just screening? Evidence from mutual funds," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-025.
• Jurkatis, Simon & Kremer, Stephanie & Nautz, Dieter, 2012, "Correlated trades and herd behavior in the stock market," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-035.
• Mohr, Peter N. C. & Heekeren, Hauke R., 2012, "The aging investor: Insights from neuroeconomics," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2012-038.
• Franck, Alexander & Walter, Andreas, 2012, "Portfolio Complexity and Herd Behavior: Evidence from the German Mutual Fund Market," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62015.
• Pelger, Ines, 2012, "Male vs. female business owners: Are there differences in investment behavior?," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62016.
• Wolff, Dominik & Bessler, Wolfgang & Opfer, Heiko, 2012, "Multi-Asset Portfolio Optimization and Out-of-Sample Performance: An Evaluation of Black-Litterman, Mean Variance and Naïve Diversification Approaches," VfS Annual Conference 2012 (Goettingen): New Approaches and Challenges for the Labor Market of the 21st Century, Verein für Socialpolitik / German Economic Association, number 62020.
• David R. Bell & Olivier Ledoit & Michael Wolf, 2012, "A new portfolio formation approach to mispricing of marketing performance indicators with an application to customer satisfaction," ECON - Working Papers, Department of Economics - University of Zurich, number 079, May, revised Dec 2013.
• Hatemi-J, Abdulnasser, 2012, "Is the UAE stock market integrated with the USA stock market? New evidence from asymmetric causality testing," Research in International Business and Finance, Elsevier, volume 26, issue 2, pages 273-280, DOI: 10.1016/j.ribaf.2012.01.002.
• Hedesström, Martin & Andersson, Maria & Gärling, Tommy & Biel, Anders, 2012, "Stock investors’ preference for short-term vs. long-term bonuses," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 2, pages 137-142, DOI: 10.1016/j.socec.2011.12.010.
• Kliger, Doron & Gilad, Dalia, 2012, "Red light, green light: Color priming in financial decisions," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 41, issue 5, pages 738-745, DOI: 10.1016/j.socec.2012.07.003.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," Journal of Economics and Econometrics, Economics and Econometrics Society, volume 55, issue 3, pages 78-99.
• Ana Paula Martins, 2012, "Portfolio Selection – A Technical Note," EERI Research Paper Series, Economics and Econometrics Research Institute (EERI), Brussels, number EERI_RP_2012_17, Nov.
• Melisso Boschi & Stefano d'Addona & Aditya Goenka, 2012, "Testing External Habits in an Asset Pricing Model," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-20, May.
• Mark Fedenia & Sherrill Shaffer & Hilla Skiba, 2012, "Information Immobility, Industry Concentration, and Institutional Investors' Performance," CAMA Working Papers, Centre for Applied Macroeconomic Analysis, Crawford School of Public Policy, The Australian National University, number 2012-24, Jun.
• Leo Dobes, 2012, "Adaptation to Climate Change: Formulating Policy under Uncertainty," CCEP Working Papers, Centre for Climate & Energy Policy, Crawford School of Public Policy, The Australian National University, number 1201, Jan.
• Arturo Lorenzo Valdés & Sara Barajas Cortés & Wulfrano Gómez Gallardo, 2012, "Valuación financiera de proyectos de inversión en la industria hotelera con opciones reales," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 6, issue 2, pages 51-62.
• Omer ISKENDEROGLU, 2012, "Beta Katsayilarinin Tahmini: Istanbul Menkul Kiymetler Borsasi Uzerine Bir Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 1, pages 69-78.
• Umut UYAR & Sinem Guler KANGALLI, 2012, "Markowitz Modeline Dayali Optimal Portfoy Seciminde Islem Hacmi Kisiti," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 2, pages 183-192.
• Gulfen TUNA, 2012, "Kovaryans Matrisi Tahmininin Portfoy Secimine Etkisi: IMKB’de Farkli Yatirim Ufuklari icin Uygulama," Ege Academic Review, Ege University Faculty of Economics and Administrative Sciences, volume 12, issue 3, pages 311-322.
• Vayanos, Dimitri & Wang, Jiang, 2012, "Market liquidity - theory and empirical evidence," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119044, Jul.
• Ellul, Andrew & Jotikasthira, Chotibhak & Lundblad, Christian & Wang, Yihui, 2012, "Is historical cost accounting a panacea? Market stress, incentive distortions, and gains trading," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119197, Feb.
• Bijapur, Mohan & Croci, Manuela & Zaidi, Rida, 2012, "Do asset regulations impede portfolio diversification? evidence from European life insurance funds," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 56618, Jun.
• Bracke, Philippe & Hilber, Christian A. L. & Silva, Olmo, 2012, "Homeownerhip and entrepreneurship," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 58436, Apr.
• Prado Román, Camilo & Coca Pérez, José Luis & García Estévez, Pablo, 2012, "Aplicación de la teoría de carteras con activos numismáticos y metales preciosos," Cuadernos de Gestión, Universidad del País Vasco - Instituto de Economía Aplicada a la Empresa (IEAE).
• Mansor H. Ibrahim, 2012, "Financial market risk and gold investment in an emerging market: the case of Malaysia," International Journal of Islamic and Middle Eastern Finance and Management, Emerald Group Publishing Limited, volume 5, issue 1, pages 25-34, March, DOI: 10.1108/17538391211216802.
• Yuri Khoroshilov, 2012, "Momentum trading strategy and investment horizon: an experimental study," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 1, pages 4-12, January, DOI: 10.1108/01443581211192071.
• Scott Hacker & Abdulnasser Hatemi‐J, 2012, "A bootstrap test for causality with endogenous lag length choice: theory and application in finance," Journal of Economic Studies, Emerald Group Publishing Limited, volume 39, issue 2, pages 144-160, May, DOI: 10.1108/01443581211222635.
• Min‐Hua Kuo & Shaw K. Chen, 2012, "Prospect theory and disposition patterns: evidence from Taiwan investors," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 29, issue 1, pages 43-51, March, DOI: 10.1108/10867371211203846.
• Hammoudeh, S.M. & McAleer, M.J., 2012, "Risk Management and Financial Derivatives: An Overview," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-14, Apr.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-29, Oct.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2012, "Has the Basel Accord Improved Risk Management During the Global Financial Crisis?," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2012-34, Oct.
• Franses, Ph.H.B.F. & Knecht, W., 2012, "The Late 1970's Bubble in Dutch Collectible Postage Stamps," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2013-02, Feb.
• de Groot, W.A. & Pang, J. & Swinkels, L.A.P., 2012, "The Cross-Section of Stock Returns in Frontier Emerging Markets," 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-2012-012-F&A, Aug.
• Bannouh, K. & Martens, M.P.E. & Oomen, R.C.A. & van Dijk, D.J.C., 2012, "Realized mixed-frequency factor models for vast dimensional covariance estimation," 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-2012-017-F&A, Oct.
• Reyyan Koc & Nikolaos K. Kazantzis & William J. Nuttall & Yi Hua Ma, 2012, "Economic Rationale for Safety Investment in Integrated Gasification Combined-Cycle Gas Turbine Membrane Reactor Modules," Working Papers, Energy Policy Research Group, Cambridge Judge Business School, University of Cambridge, number EPRG 1211, May.
• Alessandro Cardinali, 2012, "An Out-of-sample Analysis of Mean-Variance Portfolios with Orthogonal GARCH Factors," International Econometric Review (IER), Economic Research Association, volume 4, issue 1, pages 1-16, April.
• Bala Batavia & Nandakumar Parameswar & Cheick Wagué, 2012, "Portfolio Diversification in Extreme Environments: Are There Benefits from Adding Commodity Future Indices?," European Research Studies Journal, European Research Studies Journal, volume 0, issue 3, pages 33-48.
• Fernando de Llano Paz & Anxo Calvo Silvosa & Martín Portos García, 2012, "The Problem of Determining the Energy Mix: from the Portfolio Theory to the Reality of Energy Planning in the Spanish Case," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-30.
• Francisco López-Herrera. & Francisco Venegas-Martínez., 2012, "Integración Financiera México-Estados Unidos: Mercados Accionarios y de Derivados Accionarios," Economía: teoría y práctica, Universidad Autónoma Metropolitana, México, volume 36, issue 1, pages 179-196, Enero-Jun, DOI: 10.24275/ETYPUAM/NE/362012/Lopez.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," Economics Working Papers, European University Institute, number ECO2012/28.
• Tatiana Damjanovic & Vladislav Damjanovic & Charles Nolan, 2012, "Universal banking, competition and risk in a macro model," Discussion Papers, University of Exeter, Department of Economics, number 1201.
• n.d., 2012, "Book reviews," HISTORY OF ECONOMIC THOUGHT AND POLICY, FrancoAngeli Editore, volume 0, issue 1, pages 125-166.
• Martin Branda & Miloš Kopa, 2012, "DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 2, pages 106-124, May.
• Silvo Dajcman, 2012, "The Dynamics of Return Comovement and Spillovers Between the Czech and European Stock Markets in the Period 1997–2010," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 62, issue 4, pages 368-390, August.
• Tiago C. Berriel & Saroj Bhattarai, 2012, "Hedging against the government: a solution to the home asset bias puzzle," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 113.
• John V. Duca & Jason L. Saving, 2012, "Has income inequality or media fragmentation increased political polarization?," Working Papers, Federal Reserve Bank of Dallas, number 1206, DOI: 10.24149/wp1206.
• Kristin J. Forbes & Marcel Fratzscher & Thomas Kostka & Roland Straub, None, "Bubble thy neighbor: portfolio effects and externalities from capital controls," Proceedings, Federal Reserve Bank of San Francisco.
• Eric T. Swanson, 2012, "Risk aversion, risk premia, and the labor margin with generalized recursive preferences," Working Paper Series, Federal Reserve Bank of San Francisco, number 2012-17.
• John Ammer & Sara B. Holland & David C. Smith & Francis E. Warnock, 2012, "U.S. international equity investment," International Finance Discussion Papers, Board of Governors of the Federal Reserve System (U.S.), number 1044.
• William Hardin & Sheng Guo, 2012, "Wealth, Composition, Housing, Income, and Consumption," Working Papers, Florida International University, Department of Economics, number 1201, Mar.
• Matteo Del Vigna, 2012, "A note on the existence of CAPM equilibria with homogeneous Cumulative Prospect Theory preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-01, Jan.
• Matteo Del Vigna, 2012, "Stochastic dominance for law invariant preferences: The happy story of elliptical distributions," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2012-08, Oct.
• Dimitri Vayanos & Jiang Wang, 2012, "Market Liquidity - Theory and Empirical Evidence," FMG Discussion Papers, Financial Markets Group, number dp709, Jul.
• Wallmeier, Martin, 2012, "Smile in Motion: An Intraday Analysis of Asymmetric Implied Volatility," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 427, Aug.
• Tommaso Trani, 2012, "Country Portfolios with Heterogeneous Pledgeability," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 02-2012, Feb, revised 12 Feb 2012.
• René Tapsoba, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," CERDI Working papers, HAL, number halshs-00667203, Feb.
• Rania Hentati & Jean-Luc Prigent, 2012, "Structured portfolio analysis under SharpeOmega ratio," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00657327, Jan.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Gunther Capelle-Blancard & S. Monjon, 2012, "Trends in the literature on socially responsible investment: Looking for the keys under the lamppost," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00733402, DOI: 10.1111/j.1467-8608.2012.01658.x.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-00820721, May, DOI: 10.3917/reco.633.0591.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number hal-01380667.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00721281, Jul.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00825337, Jan.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," Post-Print, HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," Post-Print, HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Christophe Spaenjers & Luc Renneboog, 2012, "Hard assets: The returns on rare diamonds and gems," Post-Print, HAL, number hal-00758542, Dec, DOI: 10.1016/j.frl.2012.07.003.
• O. Brandouy & Lin Ma & Hector Zenil & Jean-Paul Delahaye, 2012, "Algorithmic complexity of financial motions," Post-Print, HAL, number hal-00802537, DOI: 10.1016/j.ribaf.2012.08.001.
• O. Bouasker & J.L. Prigent, 2012, "Corporate investment choice and exchange option between production functions," Post-Print, HAL, number hal-00803200.
• Stefano Ugolini, 2012, "Foreign Exchange Reserve Management in the 19 th Century: The National Bank of Belgium in the 1850s," Post-Print, HAL, number hal-01293720.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une evaluation economique du risque de modele pour les investisseurs de long terme. (An Economic Evaluation of the Model Risk for Long-Term Investors. With English summary.)," Post-Print, HAL, number hal-01380667.
• Bertrand Candelon & Christophe Hurlin & Sessi Tokpavi, 2012, "Sampling Error and Double Shrinkage Estimation of Minimum Variance Portfolios," Post-Print, HAL, number hal-01385835, DOI: 10.1016/j.jempfin.2012.04.010.
• Christophe Boucher & Benjamin Hamidi & Patrick Kouontchou & Bertrand Maillet, 2012, "Une évaluation économique du risque de modèle pour les investisseurs de long-terme," Post-Print, HAL, number hal-01386007.
• Michel Aglietta & Marie Brière & Sandra Rigot & Ombretta Signori, 2012, "Rehabilitating the Role of Active Management for Pension Funds," Post-Print, HAL, number hal-01493326.
• Andrew Ang & Marie Brière & Ombretta Signori, 2012, "Inflation and Individual Equities," Post-Print, HAL, number hal-01494500, DOI: 10.2469/faj.v68.n4.3.
• Jules Sadefo-Kamdem, 2012, "VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors," Post-Print, HAL, number hal-02901914, Feb, DOI: 10.1007/s10436-009-0138-6.
• Jaksa Cvitanic & Elyès Jouini & Semyon Malamud & Clotilde Napp, 2012, "Financial Markets Equilibrium with Heterogeneous Agents," Post-Print, HAL, number halshs-00488537, Jan, DOI: 10.1093/rof/rfr018.
• Elyès Jouini & Clotilde Napp, 2012, "Behavioral biases and representative agent," Post-Print, HAL, number halshs-00550229, Jul, DOI: 10.1007/s11238-011-9274-3.
• Serge Darolles & Mathieu Vaissié, 2012, "The alpha and omega of fund of hedge fund added value," Post-Print, HAL, number halshs-00677718, Apr, DOI: 10.1016/j.jbankfin.2011.10.021.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," Post-Print, HAL, number halshs-00721281, Jul.
• Hippolyte d'Albis & Emmanuel Thibault, 2012, "Optimal annuitization, uncertain survival probabilities, and maxmin preferences," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00670320, May, DOI: 10.1016/j.econlet.2011.12.045.
• Florin Bilbiie & Roland Straub, 2012, "Changes in the Output Euler Equation and Asset Markets Participation," PSE-Ecole d'économie de Paris (Postprint), HAL, number hal-00680647, Aug, DOI: 10.1016/j.jedc.2012.03.018.
• Rania Hentati & Jean-Luc Prigent, 2012, "Structured portfolio analysis under SharpeOmega ratio," Working Papers, HAL, number hal-00657327, Jan.
• Ulrich Hege & Dirk Bergemann & Liang Peng, 2012, "Venture Capital and Sequential Investments," Working Papers, HAL, number hal-00759784, Dec.
• Johan Hombert & David Thesmar, 2012, "Limits of Limits of Arbitrage: Theory and Evidence," Working Papers, HAL, number hal-00760761, Dec.
• René Tapsoba, 2012, "Does Inflation Targeting Matter for Attracting Foreign Direct Investment into Developing Countries?," Working Papers, HAL, number halshs-00667203, Feb.
• R. Khalfaoui & M. Boutahar, 2012, "Portfolio Risk Evaluation: An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," Working Papers, HAL, number halshs-00793068, Mar.
• Holmberg, Ulf & Sjögren, Tomas & Hellström, Jörgen, 2012, "Comparing Centralized and Decentralized Banking: A Study of the Risk-Return Profiles of Banks," Umeå Economic Studies, Umeå University, Department of Economics, number 838, Feb.
• Holmberg, Ulf & Lönnbark, Carl & Lundström, Christian, 2012, "Assessing the profitability of intraday opening range breakout strategies," Umeå Economic Studies, Umeå University, Department of Economics, number 845, Aug.
• Hara, Chiaki, 2012, "Asset prices, trading volumes, and investor welfare in markets with transaction costs," CIS Discussion paper series, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University, number 556, May.
• Warren Bailey & Lin Zheng & Yinggang Zhou, 2012, "What Makes the VIX Tick?," Working Papers, Hong Kong Institute for Monetary Research, number 222012, Sep.
• Beshears, John Leonard & Choi, James J. & Laibson, David I. & Madrian, Brigitte C., 2012, "Simplification and Saving," Scholarly Articles, Harvard University Department of Economics, number 9925399, Nov.
• Peter Reinhard Hansen & Asger Lunde & Valeri Voev, 2012, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and Covolatility," Global COE Hi-Stat Discussion Paper Series, Institute of Economic Research, Hitotsubashi University, number gd12-269, Dec.
• Karen C. Castro-González, 2012, "Portrait Of A Company: Defined Benefit Pension Plan Sponsors," Accounting & Taxation, The Institute for Business and Finance Research, volume 4, issue 1, pages 43-52.
• Santosh Kumar & Tavishi & Raju G & Ashish Khatua, 2012, "Behavioral Modeling Of Foreign Institutional Investor’S In Indian Equity Market," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 1-8.
• Po-Cheng Wu & Cheng-Kun Kuo & Chih-Wei Lee, 2012, "Evaluation Of Multi-Asset Value At Risk: Evidence From Taiwan," Global Journal of Business Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 23-34.
• Kangrong Tan & Meifen Chu, 2012, "Estimation Of Portfolio Return And Value At Risk Using A Class Of Gaussian Mixture Distributions," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 1, pages 97-107.
• Deqing Diane Li & YingChou Lin & John Jin, 2012, "International Volatility Transmission Of Reit Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 3, pages 41-51.
• William J. Trainor, 2012, "Volatility and Compounding Effects on Beta and Returns," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 1-11.
• Gulser Meric & Christine Lentz & Wayne Smeltz & Ilhan Meric, 2012, "International Evidence on Market Linkages After the 2008 Stock Market Crash," The International Journal of Business and Finance Research, The Institute for Business and Finance Research, volume 6, issue 4, pages 45-57.
• Márcio Laurini, 2012, "Generalized Tests of Investment Fund Performance," IBMEC RJ Economics Discussion Papers, Economics Research Group, IBMEC Business School - Rio de Janeiro, number 2012-03, Mar.
• D'Albis, Hippolyte & Thibault, Emmanuel, 2012, "Ambiguous Life Expectancy and the Demand for Annuities," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 731, Jul.
• Gollier, Christian, 2012, "Asset pricing with uncertain betas: A long-term perspective," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 752, Nov.
• Gollier, Christian, 2012, "Evaluation of long-dated investments under uncertain growth trend, volatility and catastrophes," IDEI Working Papers, Institut d'Économie Industrielle (IDEI), Toulouse, number 754, Nov, revised Sep 2015.
• Baixauli-Soler, J. Samuel & Alfaro-Cid, Eva & Fernández-Blanco, Matilde O., 2012, "A Naïve Approach To Speed Up Portfolio Optimization Problem Using A Multiobjective Genetic Algorithm / Una Aproximación Ingenua Para Acelerar El Programa De Optimización De Carteras Usando Un Algoritmo Genético Multiobjetivo," Investigaciones Europeas de Dirección y Economía de la Empresa (IEDEE), Academia Europea de Dirección y Economía de la Empresa (AEDEM), volume 18, issue 2, pages 126-131.
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• Roberto A. De Santis & Carlo A. Favero & Barbara Roffia, 2012, "Euro Area Money Demand and International Portfolio Allocation: A Contribution to Assessing Risks to Price Stability," Working Papers, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University, number 432.
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• Ulaş ÜNLÜ, 2012, "Dört faktörlü varlık fiyatlama modelinin İMKB’de test edilmesi," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 313, pages 57-83.
• Orhan ERDEM & Belma ÖZTÜRKKAL, 2012, "A tournament analysis of mutual funds in Turkey," Iktisat Isletme ve Finans, Bilgesel Yayincilik, volume 27, issue 321, pages 39-56.
• Hugo Eduardo Ramirez J. & Liliana Blanco Castañeda, 2012, "Optimización de Portafolios con Capital en Riesgo Acotado," Remef - Revista Mexicana de Economía y Finanzas Nueva Época REMEF (The Mexican Journal of Economics and Finance), Instituto Mexicano de Ejecutivos de Finanzas, IMEF, volume 7, issue 2, pages 211-231, Julio-Dic.
• Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012, "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, volume 58, issue 2, pages 253-272, February, DOI: 10.1287/mnsc.1110.1349.
• David Hirshleifer & Kewei Hou & Siew Hong Teoh, 2012, "The Accrual Anomaly: Risk or Mispricing?," Management Science, INFORMS, volume 58, issue 2, pages 320-335, February, DOI: 10.1287/mnsc.1100.1289.
• Teresa Simões & Margarida Abreu, 2012, "O Efeito Disposição nos Investidores Individuais Portugueses," Working Papers Department of Economics, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa, number 2012/40, Nov.
• Unal H. Ozden & Ozlem Deniz Basar & Seda Bagdatli Kalkan, 2012, "Imkb’de Islem Goren Cimento Sektorundeki Sirketlerin Finansal Performanslarinin VIKOR Yontemi Ile Siralanmasi," Istanbul University Econometrics and Statistics e-Journal, Department of Econometrics, Faculty of Economics, Istanbul University, volume 17, issue 1, pages 23-44, November.
• Neal Detert & Koji Kotani, 2012, "Real options approach to renewable energy investments in Mongolia," Working Papers, Research Institute, International University of Japan, number EMS_2012_10, Aug.
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• Belke, Ansgar H. & Dreger, Christian & Ochmann, Richard, 2012, "Do Wealthier Households Save More? The Impact of the Demographic Factor," IZA Discussion Papers, IZA Network @ LISER, number 6567, May.
• Bertocchi, Graziella & Brunetti, Marianna & Torricelli, Costanza, 2012, "Is It Money or Brains? The Determinants of Intra-Family Decision Power," IZA Discussion Papers, IZA Network @ LISER, number 6648, Jun.
• Conniffe, Denis & O'Neill, Donal, 2012, "An Alternative Explanation for the Variation in Reported Estimates of Risk Aversion," IZA Discussion Papers, IZA Network @ LISER, number 6877, Sep.
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• Zhenjiang Qin, 2012, "Heterogeneous Beliefs, Public Information, and Option Markets," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-23, 04.
• Zhenjiang Qin, 2012, "Continuous Trading Dynamically Effectively Complete Market with Heterogeneous Beliefs," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-24, 04.
• Nektarios Aslanidis & Charlotte Christiansen, 2012, "Quantiles of the Realized Stock-Bond Correlation and Links to the Macroeconomy," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2012-34, Jul.
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• Fernando Alvarez & Luigi Guiso & Francesco Lippi, 2012, "Durable Consumption and Asset Management with Transaction and Observation Costs," American Economic Review, American Economic Association, volume 102, issue 5, pages 2272-2300, August.
• Liran Einav & Amy Finkelstein & Iuliana Pascu & Mark R. Cullen, 2012, "How General Are Risk Preferences? Choices under Uncertainty in Different Domains," American Economic Review, American Economic Association, volume 102, issue 6, pages 2606-2638, October.
• Pierpaolo Benigno & Salvatore Nisticò, 2012, "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, volume 4, issue 1, pages 144-189, January.
• Sarbapriya Ray, 2012, "Evaluating the Impact of Working Capital Management Components on Corporate Profitability: Evidence from Indian Manufacturing Firms," International Journal of Economic Practices and Theories, Academy of Economic Studies - Bucharest, Romania, volume 2, issue 3, pages 127-136, July.
• Derya TURFAN & Cagdas Hakan ALADAG & Ozgur YENIAY, 2012, "A New Genetic Algorithm To Solve Knapsack Problems," Journal of Social and Economic Statistics, Bucharest University of Economic Studies, volume 1, issue 2, pages 40-47, DECEMBER.
• Georges Prat, 2012, "Equity risk premium and time horizon: what do the U.S. secular data say?," Working Papers, Association Française de Cliométrie (AFC), number 12-06.
• Mandal, Maitreyi & Lagerkvist, Carl Johan, 2012, "A Comparison of Traditional and Copula based VaR with Agricultural portfolio," 2012 Annual Meeting, August 12-14, 2012, Seattle, Washington, Agricultural and Applied Economics Association, number 124387, DOI: 10.22004/ag.econ.124387.
• Dobes, Leo, 2012, "Adaptation to Climate Change: Formulating Policy under Uncertainty," Working Papers, Australian National University, Centre for Climate Economics & Policy, number 249390, Jan, DOI: 10.22004/ag.econ.249390.
• Ritter, Matthias & Musshoff, Oliver & Odening, Martin, , "Minimizing geographical basis risk of weather derivatives using a multi-site rainfall model," 123rd Seminar, February 23-24, 2012, Dublin, Ireland, European Association of Agricultural Economists, number 122527, DOI: 10.22004/ag.econ.122527.
• Kocsis, Márió & Zakár, Tivadar, 2012, "Pénz- És Tőkepiaci Stratégiák Rendszerezése, És A Kiválasztási Szempontok Közötti Összefüggések Feltárása," Acta Carolus Robertus, Karoly Robert University College, volume 2, issue 01, pages 1-10, DOI: 10.22004/ag.econ.173632.
• Kriszt, Katalin & Zakár, Tivadar, 2012, "A Vállalatok Pénzügyi Típusjelenségeinek Többváltozós Analízise," Acta Carolus Robertus, Karoly Robert University College, volume 2, issue 01, pages 1-10, DOI: 10.22004/ag.econ.173634.
• Zapata, Hector O. & Detre, Joshua D. & Hanabuchi, Tatsuya, 2012, "Historical Performance of Commodity and Stock Markets," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, volume 44, issue 3, pages 1-19, August, DOI: 10.22004/ag.econ.130273.
• Arthur, Bruno R. & Katchova, Ani L., 2012, "Accruals Anomaly in Agriculture Financial Economics," 2012 Annual Meeting, February 4-7, 2012, Birmingham, Alabama, Southern Agricultural Economics Association, number 119822, Feb, DOI: 10.22004/ag.econ.119822.
• Kusdhianto SETIAWAN, 2012, "Reexamination Of Dynamic Betainternational Capm: A Sur With Garch Approach," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 10, pages 105-127, December.
• Rabeh Khalfaoui & Mohammed Boutahar, 2012, "Portfolio Risk Evaluation An Approach Based on Dynamic Conditional Correlations Models and Wavelet Multi-Resolution Analysis," AMSE Working Papers, Aix-Marseille School of Economics, France, number 1208, Mar.
• Henry T.C. Hu, 2012, "Efficient Markets and the Law: A Predictable Past and an Uncertain Future," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 179-214, October.
• Andrew Ang & Allan Timmermann, 2012, "Regime Changes and Financial Markets," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 313-337, October.
• Rajnish Mehra, 2012, "Consumption-Based Asset Pricing Models," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 385-409, October.
• Robert M. Dammon & Chester S. Spatt, 2012, "Taxes and Investment Choice," Annual Review of Financial Economics, Annual Reviews, volume 4, issue 1, pages 411-429, October.
• Jon Danielsson & Hyun Song Shin & Jean-Pierre Zigrand, 2012, "Endogenous Extreme Events and the Dual Role of Prices," Annual Review of Economics, Annual Reviews, volume 4, issue 1, pages 111-129, July.
• Fred Espen Benth & Jukka Lempa, 2012, "Optimal portfolios in commodity futures markets," Papers, arXiv.org, number 1204.2667, Apr.
• St'ephane Goutte & Nadia Oudjane & Francesco Russo, 2012, "Variance Optimal Hedging for discrete time processes with independent increments. Application to Electricity Markets," Papers, arXiv.org, number 1205.4089, May.
• Nils Chr. Framstad, 2012, "On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes," Papers, arXiv.org, number 1206.5756, Jun, revised Jun 2012.
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• Wen-Jie Xie & Zhi-Qiang Jiang & Wei-Xing Zhou, 2012, "Extreme value statistics and recurrence intervals of NYMEX energy futures volatility," Papers, arXiv.org, number 1211.5502, Nov.
• Dominic Ho & Michael Sherris, 2012, "Portfolio Selection for Insurance Linked Securities: An Application of Multiple Criteria Decision Making," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201203, May.
• Loretti Dobrescu & Dimitris Christelis & Alberto Motta, 2012, "Early Life Conditions and Financial Risk-taking in Older Age," Working Papers, ARC Centre of Excellence in Population Ageing Research (CEPAR), Australian School of Business, University of New South Wales, number 201208, Mar.
• Ekaterini Panopoulou & Sarantis Kalyvitis, 2012, "Estimating C-CAPM and the Equity Premium over the Frequency Domain," DEOS Working Papers, Athens University of Economics and Business, number 1216, Jun.
• Alen Host & Igor Cvecic & Vinko Zaninovic, 2012, "Credit Rating Agencies And Their Impact On Spreading The Financial Crisis On The Eurozone," Economic Thought and Practice, Department of Economics and Business, University of Dubrovnik, volume 21, issue 2, pages 639-662, december.
• Caterina Lucarelli & Simona Maggi, 2012, "Wealth and individual behaviors among financial need, bias and misbelief," BANCARIA, Bancaria Editrice, volume 4, pages 21-34, April.
• Caterina Lucarelli & Simona Maggi, 2012, "Wealth management industry in search of new demand-driven models," BANCARIA, Bancaria Editrice, volume 6, pages 22-33, June.
• Vittorio Conti, 2012, "Consumer protection and investment services: towards a new regulatory approach," BANCARIA, Bancaria Editrice, volume 9, pages 14-22, September.
• Alberto Burchi & Maria Debora Braga, 2012, "Italian Hedge funds’ performance and contractual arrangements," BANCARIA, Bancaria Editrice, volume 11, pages 54-63, November.
• ?enol Emir & Hasan Din?er & Mehpare Timor, 2012, "A Stock Selection Model Based on Fundamental and Technical Analysis Variables by Using Artificial Neural Networks and Support Vector Machines," Review of Economics & Finance, Better Advances Press, Canada, volume 2, pages 106-122, August.
• Jordi Esteve Comas & Manuel Fernandez Lopez, 2012, "The mean-variance model from the inverse of the variance-covariance matrix," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 271.
• Albert de-Paz & Jesus Marin-Solano & Jorge Navas & Oriol Roch, 2012, "Consumption, investment and life insurance strategies with heterogeneous discounting," Working Papers in Economics, Universitat de Barcelona. Espai de Recerca en Economia, number 277.
• Cornelia Pop & Dragos Bozdog & Adina Calugaru, 2012, "A Frontier Market Case: Does Bucharest Stock Exchange Have A Leading Domestic Index?," JOURNAL STUDIA UNIVERSITATIS BABES-BOLYAI NEGOTIA, Babes-Bolyai University, Faculty of Business.
• Amela Hubic, 2012, "A Financial Social Accounting Matrix (SAM) for Luxembourg," BCL working papers, Central Bank of Luxembourg, number 72, Mar.