Research classified by Journal of Economic Literature (JEL) codes

2011

• Sid Browne, 2011, "Survival And Growth With A Liability: Optimal Portfolio Strategies In Continuous Time," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 23, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• L. C. Maclean & W. T. Ziemba & G. Blazenko, 2011, "Growth Versus Security In Dynamic Investment Analysis," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 24, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Leonard C. MacLean & Rafael Sanegre & Yonggan Zhao & William T. Ziemba, 2011, "Capital growth with security," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 25, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Sid Browne, 2011, "Risk-Constrained Dynamic Active Portfolio Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 26, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Mark Davis & Sébastien Lleo, 2011, "Fractional Kelly Strategies for Benchmarked Asset Management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 27, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Eckhard Platen, 2011, "A Benchmark Approach to Investing and Pricing," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 28, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Michael A. H. Dempster & Igor V. Evstigneev & Klaus Reiner Schenk-Hoppé, 2011, "Growing Wealth with Fixed-Mix Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 29, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Paul A. Samuelson, 2011, "Lifetime Portfolio Selection by Dynamic Stochastic Programming," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 31, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• William T. Ziemba & Raymond G. Vickson, 2011, "Models of Optimal Capital Accumulation and Portfolio Selection and the Capital Growth Criterion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 32, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Paul A. Samuelson, 2011, "The “Fallacy” of Maximizing the Geometric Mean in Long Sequences of Investing or Gambling," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 33, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Paul A. Samuelson, 2011, "Why We Should Not Make Mean Log of Wealth Big Though Years to Act Are Long," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 34, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Harry M. Markowitz, 2011, "Investment for the Long Run: New Evidence for an Old Rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 35, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Edward O. Thorp, 2011, "Understanding the Kelly Criterion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 36, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• E. Thorp & R. Whitley, 2011, "Concave Utilities are Distinguished by their Optimal Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 37, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Leonard C. MacLean & Edward O. Thorp & Yonggan Zhao & William T. Ziemba, 2011, "Medium Term Simulations of The Full Kelly and Fractional Kelly Investment Strategies," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 38, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Leonard C. MacLean & Edward O. Thorp & William T. Ziemba, 2011, "Good and Bad Properties of the Kelly Criterion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 39, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Nils H. Hakansson & William T Ziemba, 2011, "Capital Growth Theory," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 41, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• David G. Luenberger, 2011, "A preference foundation for log mean–variance criteria in portfolio choice problems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 42, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Michael Stutzer, 2011, "Portfolio choice with endogenous utility: a large deviations approach," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 43, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Michael Stutzer, 2011, "On Growth-Optimality vs. Security Against Underperformance," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 44, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Donald B. Hausch & William T. Ziemba & Mark Rubinstein, 2011, "Efficiency of the Market for Racetrack Betting," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 46, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Donald B. Hausch & William T. Ziemba, 2011, "Transactions Costs, Extent of Inefficiencies, Entries and Multiple Wagers in a Racetrack Betting Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 47, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• William T. Ziemba & Donald B. Hausch, 2011, "The Dr.Z Betting System in England," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 48, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Robert R. Grauer & Nils H. Hakansson, 2011, "A Half Century of Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills, with and without Small Stocks," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 49, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• John M. Mulvey & Mehmet Bilgili & Taha M. Vural, 2011, "A Dynamic Portfolio of Investment Strategies: Applying Capital Growth with Drawdown Penalties," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 50, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Markus Rudolf & William T. Ziemba, 2011, "Intertemporal surplus management," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 51, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• William T. Ziemba, 2011, "The Symmetric Downside-Risk Sharpe Ratio," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 52, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• R. E. S. Ziemba & William T. Ziemba, 2011, "Postscript: The Renaissance Medallion Fund," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 53, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Edward O. Thorp, 2011, "The Kelly Criterion in Blackjack Sports Betting, and the Stock Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 54, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Hasan Candan & Alper Özün, 2011, "Bank Risk Management In Emerging Markets After The Enhanced Basel Rules," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Rituparna Das, 2011, "PRODUCT VaR MODELLING," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Wei Shen, 2011, "Is It All About Disclosure? Regulating Structured Financial Products After The Lehman Brothers Minibonds Saga," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Paul Latimer, 2011, "Regulation Of Over-The-Counter Derivatives In Australia," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• P. M. Vasudev, 2011, "Credit Derivatives: Understanding Their Characteristics And Risk Potential," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Mingyuan Zhang & Clark Abrahams, 2011, "A NEW FRAMEWORK FOR ASSET-BACKED SECURITIES (ABSs)," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Shwn Meei Lee, 2011, "Risk Management Of Collateralized Debt Obligations," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Tomasz S. Berent, 2011, "Financial Leverage Risk: New Definition And Empirical Illustration," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Matthew Dixon & Jike Chong & Kurt Keutzer, 2011, "Enabling Technology For More Pervasive And Responsive Market Risk Management Systems," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Maria Beitz & Matthias Ehrhardt, 2011, "A New Method Of Stress Testing Investment Products," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Michael CS Wong, "The Risk Of Investment Products From Product Innovation to Risk Compliance".
• Ernst Eberlein & Dilip B. Madan, 2011, "The Distribution of Returns at Longer Horizons," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 1, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Hiroaki Hata & Arturo Kohatsu-Higa, 2011, "Two Examples of an Insider with Medium/Long Term Effects on the Underlying," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Jean-Paul Laurent, 2011, "A Note on the Risk Management of CDOs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Emmanuel Denis, 2011, "Robust No Arbitrage Condition for Continuous-time Models with Transaction Costs," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Masaaki Fujii & Akihiko Takahashi, 2011, "Modeling of Interest-Rate Term Structures under Collateralization and its Implications," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Shoji Kamimura, 2011, "On the State Variables for Optimal Portfolio Strategies in the Japanese Market," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Satoshi Kawanishi, 2011, "The Diversity of Information Acquisition Strategies in a Noisy REE Model with a Common Signal and Independent Signals," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Chi Chung Siu, 2011, "Option Pricing with a Regime-Switching Lévy Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Yoshihiko Sugihara & Nobuyuki Oda, 2011, "An Empirical Analysis of Equity Market Expectations in the Financial Turmoil Using Implied Moments and Jump Diffusion Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Naoya Takezawa, 2011, "Investor Characteristics and Portfolio Value," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Yuji Yamada, 2011, "Optimal Hedging with Additive Models," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 11, in: Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide, "Recent Advances In Financial Engineering 2010".
• Carmen CORDUNEANU & Daniela Liliana TURCAS, 2011, "The Need for Market Regulations and Hedge Funds Performance," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 4(16), pages 193-204.
• Florentin SERBAN & Mihail BUSU, 2011, "Building an Optimal Portfolio Consisting of two Assets and Its Efficient Frontier," Timisoara Journal of Economics, West University of Timisoara, Romania, Faculty of Economics and Business Administration, volume 4, issue 4(16), pages 231-238.
• Marta Arespa, 2011, "A New Open Economy Macroeconomic Model with Endogenous Portfolio Diversifi cation and Firms Entry," Working Papers, Xarxa de Referència en Economia Aplicada (XREAP), number XREAP2011-15, Oct, revised Oct 2011.
• Rünger, Silke, 2011, "The effect of Germany's Tax Reform Act 2001 on corporate ownership: Insights from disposals of minority blocks," arqus Discussion Papers in Quantitative Tax Research, arqus - Arbeitskreis Quantitative Steuerlehre, number 114.
• Witte, Björn-Christopher, 2011, "Fund managers - why the best might be the worst: On the evolutionary vigor of risk-seeking behavior," BERG Working Paper Series, Bamberg University, Bamberg Economic Research Group, number 81.
• Fäßler, Robert & Kraus, Christina & Weiler, Sebastian M. & Abukadyrova, Kamila, 2011, "Portfolio-Management für Privatanleger auf Basis des State Preference Ansatzes," Bayreuth Working Papers on Finance, Accounting and Taxation (FAcT-Papers), University of Bayreuth, Chair of Finance and Banking, number 2011-03.
• Haavio, Markus & Kauppi, Heikki, 2011, "Owner-occupied housing as an investment, regional house price cycles and residential sorting," Bank of Finland Research Discussion Papers, Bank of Finland, number 24/2011.
• Jochem, Axel & Volz, Ute, 2011, "Portfolio holdings in the euro area - home bias and the role of international, domestic and sector-specific factors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,07.
• Le Blanc, Julia, 2011, "The third pillar in Europe: institutional factors and individual decisions," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,09.
• Baltzer, Markus & Stolper, Oscar & Walter, Andreas, 2011, "Home-field advantage or a matter of ambiguity aversion? Local bias among German individual investors," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,23.
• Le Blanc, Julia & Scholl, Almuth, 2011, "Optimal savings for retirement: The role of individual accounts and disaster expectations," Discussion Paper Series 1: Economic Studies, Deutsche Bundesbank, number 2011,33.
• Hanauer, Matthias & Kaserer, Christoph & Rapp, Marc Steffen, 2011, "Risikofaktoren und Multifaktormodelle für den Deutschen Aktienmarkt (Risk Factors and Multi-Factor Models for the German Stock Market)," CEFS Working Paper Series, Technische Universität München (TUM), Center for Entrepreneurial and Financial Studies (CEFS), number 2011-01.
• Jank, Stephan, 2011, "Are there disadvantaged clienteles in mutual funds?," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-02.
• Agarwal, Vikas & Gay, Gerald D. & Ling, Leng, 2011, "Window dressing in mutual funds," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-07.
• Kempf, Alexander & Korn, Olaf & Saßning, Sven, 2011, "Portfolio optimization using forward-looking information," CFR Working Papers, University of Cologne, Centre for Financial Research (CFR), number 11-10.
• Achury, Carolina & Hubar, Sylwia & Koulovatianos, Christos, 2011, "Saving rates and portfolio choice with subsistence consumption," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/06.
• Chai, Jingjing & Maurer, Raimond H. & Mitchell, Olivia S. & Rogalla, Ralph, 2011, "Lifecycle impacts of the financial and economic crisis on household optimal consumption, portfolio choice, and labor supply," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/23.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/24.
• Christelis, Dimitris & Dobrescu, Loretti I. & Motta, Alberto, 2011, "Early life conditions and financial risk-taking in older age," CFS Working Paper Series, Center for Financial Studies (CFS), number 2011/28.
• Scholz, Peter & Walther, Ursula, 2011, "The trend is not your friend! Why empirical timing success is determined by the underlying's price characteristics and market efficiency is irrelevant," CPQF Working Paper Series, Frankfurt School of Finance and Management, Centre for Practical Quantitative Finance (CPQF), number 29.
• Roßbach, Peter & Karlow, Denis, 2011, "The stability of traditional measures of index tracking quality," Frankfurt School - Working Paper Series, Frankfurt School of Finance and Management, number 164.
• Caporin, Massimiliano & Lisi, Francesco, 2011, "Comparing and selecting performance measures using rank correlations," Economics Discussion Papers, Kiel Institute for the World Economy, number 2011-14.
• Caporin, Massimiliano & Lisi, Francesco, 2011, "Comparing and selecting performance measures using rank correlations," Economics - The Open-Access, Open-Assessment E-Journal (2007-2020), Kiel Institute for the World Economy, volume 5, pages 1-34, DOI: 10.5018/economics-ejournal.ja.2011-.
• Koulovatianos, Christos & Wieland, Volker, 2011, "Asset pricing under rational learning about rare disasters," IMFS Working Paper Series, Goethe University Frankfurt, Institute for Monetary and Financial Stability (IMFS), number 46.
• Dannenberg, Henry, 2011, "The Importance of Estimation Uncertainty in a Multi-Rating Class Loan Portfolio," IWH Discussion Papers, Halle Institute for Economic Research (IWH), number 11/2011.
• Stoyanov, Stoyan V. & Rachev, Svetlozar T. & Fabozzi, Frank J., 2011, "CVaR sensitivity with respect to tail thickness," Working Paper Series in Economics, Karlsruhe Institute of Technology (KIT), Department of Economics and Management, number 29, DOI: 10.5445/IR/1000023240.
• Hoffmann, Andreas, 2011, "Determinants of carry trades in Central and Eastern Europe," Working Papers, University of Leipzig, Faculty of Economics and Management Science, number 102.
• Singer, Nico, 2011, "A behavioral portfolio analysis of retirement portfolios," Thuenen-Series of Applied Economic Theory, University of Rostock, Institute of Economics, number 104.
• Kremer, Stephanie & Nautz, Dieter, 2011, "Short-term herding of institutional traders: New evidence from the German stock market," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-015.
• Naujokat, Felix & Horst, Ulrich, 2011, "When to cross the spread: Curve following with singular control," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-053.
• Kratz, Peter & Schöneborn, Torsten, 2011, "Optimal liquidation in dark pools," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-058.
• Hautsch, Nikolaus & Kyj, Lada M. & Malec, Peter, 2011, "The merit of high-frequency data in portfolio allocation," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-059.
• Tischer, Sven & Hildebrandt, Lutz, 2011, "Linking corporate reputation and shareholder value using the publication of reputation rankings," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-065.
• Heyne, Gregor & Kupper, Michael & Mainberger, Christoph, 2011, "Minimal supersolutions of BSDEs with lower semicontinuous generations," SFB 649 Discussion Papers, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk, number 2011-067.
• Rumpf, Dominik, 2011, "The dividends received deduction in the corporate income tax and cost of capital," Working Papers, German Council of Economic Experts / Sachverständigenrat zur Begutachtung der gesamtwirtschaftlichen Entwicklung, number 01/2011.
• Frahm, Gabriel & Wiechers, Christof, 2011, "On the diversification of portfolios of risky assets," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 2/11.
• Wiechers, Christof, 2011, "Construction of uncertainty sets for portfolio selection problems," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 4/11.
• Wickern, Tobias, 2011, "Confidence in prior knowledge: Calibration and impact on portfolio performance," Discussion Papers in Econometrics and Statistics, University of Cologne, Institute of Econometrics and Statistics, number 7/11.
• Ochmann, Richard, 2011, "Distributional and Welfare Effects of Germany's Year 2000 Tax Reform," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48686.
• Müller, Helge & Schumacher, Christoph & Feess, Eberhard, 2011, "Gender behavior in betting markets," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48697.
• Schindler, Felix & Kröncke, Tim-Alexander, 2011, "International Diversification with Securitized Real Estate and the Veiling Glare from Currency Risk," VfS Annual Conference 2011 (Frankfurt, Main): The Order of the World Economy - Lessons from the Crisis, Verein für Socialpolitik / German Economic Association, number 48705.
• Kroencke, Tim Alexander & Schindler, Felix, 2011, "International diversification with securitized real estate and the veiling glare from currency risk," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-012.
• Kroencke, Tim Alexander & Schindler, Felix & Schrimpf, Andreas, 2011, "International diversification benefits with foreign exchange investment styles," ZEW Discussion Papers, ZEW - Leibniz Centre for European Economic Research, number 11-028.
• Kourtidis, Dimitrios & Šević, Željko & Chatzoglou, Prodromos, 2011, "Investors’ trading activity: A behavioural perspective and empirical results," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 5, pages 548-557, DOI: 10.1016/j.socec.2011.04.008.
• Yao, Rui & Sharpe, Deanna L. & Wang, Feifei, 2011, "Decomposing the age effect on risk tolerance," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 879-887, DOI: 10.1016/j.socec.2011.08.023.
• Keef, Stephen P. & Khaled, Mohammed S., 2011, "A review of the seasonal affective disorder hypothesis," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, volume 40, issue 6, pages 959-967, DOI: 10.1016/j.socec.2011.08.012.
• Humberto Valencia Herrera, 2011, "Value at Risk and Return from the Use of Bayesian Methods for Stress Testing in a World Asset Allocation and the 2008-2009 Crisis," Revista de Administración, Finanzas y Economía (Journal of Management, Finance and Economics), Tecnológico de Monterrey, Campus Ciudad de México, volume 5, issue 1, pages 33-49.
• Ghosh, Anisha & Julliard, Christian & Taylor, Alex, 2011, "What is the Consumption-CAPM missing? An information-theoretic framework for the analysis of asset pricing models," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119061, Oct.
• Cohen, Lauren & Lou, Dong, 2011, "Complicated firms," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119066, Jun.
• Basak, Suleyman & Chabakauri, Georgy, 2011, "Dynamic hedging in incomplete markets: a simple solution," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 119068, May.
• Mayraz, Guy, 2011, "Wishful thinking," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 121942, Nov.
• Bustamante, Maria Cecilia, 2011, "Strategic investment, industry concentration and the cross section of returns," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 37454, Jun.
• Kang, Johnny & Pekkala, Tapio & Polk, Christopher & Ribeiro, Ruy, 2011, "Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year," LSE Research Online Documents on Economics, London School of Economics and Political Science, LSE Library, number 43096, Feb.
• Jose Faias & Miguel Ferreira & Pedro Santa-Clara & Pedro Matos, 2011, "Does Institutional Ownership Matter for International Stock Return Comovement?," EcoMod2011, EcoMod, number 3038, Jul.
• Reza Habibi, 2011, "A Simple Estimate of VAR under Garch Modelling," Ekonomia, Cyprus Economic Society and University of Cyprus, volume 14, issue 2, pages 127-136, Winter.
• Gerard Caprio, 2011, "Safe and Sound Banking: A Role for Countercyclical Regulatory Requirements?," Chapters, Edward Elgar Publishing, chapter 14, in: Sylvester Eijffinger & Donato Masciandaro, "Handbook of Central Banking, Financial Regulation and Supervision".
• Fabrice Barthelemy & Jean-Luc Prigent, 2011, "Real Estate Portfolio Management : Optimization under Risk Aversion," Thema Working Papers, THEMA (Théorie Economique, Modélisation et Applications), CY Cergy-Paris University, ESSEC and CNRS, number 2011-12.
• Denis Conniffe & Donal O'Neill, 2011, "Efficient Probit Estimation with Partially Missing Covariates," Advances in Econometrics, Emerald Group Publishing Limited, "Missing Data Methods: Cross-sectional Methods and Applications", DOI: 10.1108/S0731-9053(2011)000027A011.
• Simone Varotto, 2011, "Liquidity risk, credit risk, market risk and bank capital," International Journal of Managerial Finance, Emerald Group Publishing Limited, volume 7, issue 2, pages 134-152, April, DOI: 10.1108/17439131111122139.
• Bruce Hearn, 2011, "Development strategy in offshore markets: evidence from the Channel Islands," Journal of Economic Studies, Emerald Group Publishing Limited, volume 38, issue 1, pages 30-51, January, DOI: 10.1108/01443581111096132.
• Craig A. Depken & Harris Hollans & Steve Swidler, 2011, "Flips, flops and foreclosures: anatomy of a real estate bubble," Journal of Financial Economic Policy, Emerald Group Publishing Limited, volume 3, issue 1, pages 49-65, April, DOI: 10.1108/17576381111116759.
• Joseph J. French & Nazneen Ahmad, 2011, "Returns or valuation? Foreign equity investment in the United States," Studies in Economics and Finance, Emerald Group Publishing Limited, volume 28, issue 3, pages 196-216, August, DOI: 10.1108/10867371111141963.
• McAleer, M.J. & Jiménez-Martín, J.A. & Pérez-Amaral, T., 2011, "International Evidence on GFC-robust Forecasts for Risk Management under te Basel Accord," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-04, Jan.
• Asai, M. & McAleer, M.J. & Medeiros, M., 2011, "Modelling and Forecasting Noisy Realized Volatility," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-05, Jan.
• Chang, C-L. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI 2011-11, Feb.
• Santos, P.A. & Jiménez-Martín, J.A. & McAleer, M.J. & Pérez-Amaral, T., 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Econometric Institute Research Papers, Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute, number EI2011-27, Jul.
• Nikolaos Theriou & George Mlekanis & Dimitrios Maditinos, 2011, "Herding the Mutual Fund Managers in the Athens Stock Exchange," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 131-154.
• Panayotis Artikis & Georgia Nifora, 2011, "Leverage and Returns in Three Countries of Southern European Region," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 3-26.
• Emmanouil Mavrakis, 2011, "Abnormal Returns on CEFs and in Pre-and-Post-Credit-Crunch Periods," European Research Studies Journal, European Research Studies Journal, volume 0, issue 4, pages 55-70.
• Aleksandr Alekseev & Mikhail Sokolov, 2011, "A Note on Indices of Return," EUSP Department of Economics Working Paper Series, European University at St. Petersburg, Department of Economics, number 2011/02, Feb, revised 21 Feb 2011.
• Di Clemente Annalisa, 2011, "The Credit Securitisation Process as a Tool of Portfolio Credit Risk Managing," STUDI ECONOMICI, FrancoAngeli Editore, volume 0, issue 104, pages 5-28.
• Borys, Magdalena Morgese Borys, 2011, "Testing Multi-Factor Asset Pricing Models in the Visegrad Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 118-139, June.
• Ayesha Afzal & Nawazish Mirza, 2011, "Size and Value Premium in International Portfolios: Evidence from 15 European Countries," Czech Journal of Economics and Finance (Finance a uver), Charles University Prague, Faculty of Social Sciences, volume 61, issue 2, pages 173-190, June.
• Karel Báta, 2011, "Equity Home Bias Among Czech Investors: Experimental Approach," Working Papers IES, Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies, number 2011/17, Aug, revised Aug 2011.
• Junjiang Li & Lei Hou & Jiarui Zhang, 2011, "Capital Endowment, Credit Constraint and FDI: Analysis Based on Heterogeneous Firms," Frontiers of Economics in China-Selected Publications from Chinese Universities, Higher Education Press, volume 6, issue 1, pages 55-75, March.
• Kenneth Högholm1, Johan Knif, Seppo Pynnönen, 2011, "Fund Performance Robustness An Evaluation Using European Large-Cap Equity Funds," Frontiers in Finance and Economics, SKEMA Business School, volume 8, issue 2, pages 1-26, October.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes? Evidence from the foreclosure process," FRB Atlanta Working Paper, Federal Reserve Bank of Atlanta, number 2011-16.
• Kristopher Gerardi & Lauren Lambie-Hanson & Paul S. Willen, 2011, "Do borrower rights improve borrower outcomes?: evidence from the foreclosure process," Public Policy Discussion Paper, Federal Reserve Bank of Boston, number 11-9.
• Karen K. Lewis, 2011, "Global asset pricing," Globalization Institute Working Papers, Federal Reserve Bank of Dallas, number 88.
• Turan G. Bali & Hao Zhou, 2011, "Risk, uncertainty, and expected returns," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-45.
• Vasia Panousi & Dimitris Papanikolaou, 2011, "Investment, idiosyncratic risk, and ownership," Finance and Economics Discussion Series, Board of Governors of the Federal Reserve System (U.S.), number 2011-54.
• Viral V. Acharya & Nada Mora, 2011, "Are banks passive liquidity backstops? deposit rates and flows during the 2007-2009 crisis," Research Working Paper, Federal Reserve Bank of Kansas City, number RWP 11-06.
• Christopher J. Neely & Paul A. Weller, 2011, "Lessons from the evolution of foreign exchange trading strategies," Working Papers, Federal Reserve Bank of St. Louis, number 2011-021, DOI: 10.20955/wp.2011.021.
• Pierre-Andre Chiappori & Krislert Samphantharak & Sam Schulhofer-Wohl, 2011, "Heterogeneity and risk sharing in village economies," Working Papers, Federal Reserve Bank of Minneapolis, number 683.
• Rajnish Mehra & Facundo Piguillem & Edward C. Prescott, 2011, "Costly financial intermediation in neoclassical growth theory," Working Papers, Federal Reserve Bank of Minneapolis, number 685.
• Matteo Del Vigna, 2011, "Ambiguity made easier," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-07, Apr.
• Matteo Del Vigna, 2011, "Financial market equilibria with heterogeneous agents: CAPM and market segmentation," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-08, Sep.
• Matteo Del Vigna, 2011, "Market equilibrium with heterogeneous behavioural and classical investors' preferences," Working Papers - Mathematical Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number 2011-09, Apr.
• Stephane Guibaud & Yves NOsbusch & Dimitri Vayanos, 2011, "Bond Market Clienteles, the Yield Curve and the Optimal Maturity Structure of Government Debt," FMG Discussion Papers, Financial Markets Group, number dp669, Feb.
• JOhnny Kang & Tapio Pekkala & Christopher Polk & Ruy Ribeiro, 2011, "Stock prices under pressure; How tax and interest rates drive returns at the turn of the tax year," FMG Discussion Papers, Financial Markets Group, number dp671, Feb.
• Suleyman Basak & Georgy Chabakauri, 2011, "Dynamic Hedging in Incomplete Markets: A Simple Solution," FMG Discussion Papers, Financial Markets Group, number dp680, May.
• Andrea Caggese & Vincente Cunat, 2011, "Financing Constraints, Firm Dynamics, Export Decisions and Aggregate productivity," FMG Discussion Papers, Financial Markets Group, number dp685, Jun.
• Anisha Ghosh & Christian Julliard, 2011, "What is the Consumption-CAPM missing? An informative-Theoretic Framework for the Analysis of Asset Pricing Models," FMG Discussion Papers, Financial Markets Group, number dp691, Oct.
• Marcel Marekwica & Raimond Maurer, 2011, "How unobservable Bond Positions in Retirement Accounts affect Asset Allocation," Working Paper Series: Finance and Accounting, Department of Finance, Goethe University Frankfurt am Main, number 176.
• Isakov, Dusan & Marti, Didier, 2011, "Technical Analysis with a Long-Term Perspective: Trading Strategies and Market Timing Ability," FSES Working Papers, Faculty of Economics and Social Sciences, University of Freiburg/Fribourg Switzerland, number 421, Aug.
• Lyudmila Yu. Ryzhanovskaya & Vera E. Chistova, 2011, "Issues of the State Securities Market Liquidity," Finansovyj žhurnal — Financial Journal, Financial Research Institute, Moscow 125375, Russia, issue 3, pages 19-32, July.
• Giulio Cifarelli, 2011, "Nonlinear Regime Shifts in Oil Price Hedging Dynamics," Working Papers - Economics, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa, number wp2011_13.rdf.
• Richard Ruble, 2011, "Comparative risk aversion of different preferences," Working Papers, Groupe d'Analyse et de Théorie Economique Lyon St-Etienne (GATE Lyon St-Etienne), Université de Lyon, number 1119.
• Philippe Bacchetta & Cédric Tille & Eric van Wincoop, 2011, "Regulating Asset Price Risk," IHEID Working Papers, Economics Section, The Graduate Institute of International Studies, number 02-2011, Jan.
• João Amaro de Matos & Nuno Silva, 2012, "Consuming durable goods when stock markets jump: a strategic asset allocation approach," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-01, Jan.
• Ana Rita Gonzaga & Helder Sebastião, 2012, "As Ações Portuguesas Seguem um Random Walk? Implicações para a Eficiência de Mercado e para a Definição de Estratégias de Transação," GEMF Working Papers, GEMF, Faculty of Economics, University of Coimbra, number 2012-02, Jan.
• Ainulashikin Marzuki & Andrew C. Worthington, 2011, "Comparative fund flows for Malaysian Islamic and conventional domestic managed equity funds," Discussion Papers in Finance, Griffith University, Department of Accounting, Finance and Economics, number finance:201118.
• Christophe Boucher & Bertrand Maillet, 2011, "The Riskiness of Risk Models," Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers), HAL, number halshs-00587779, Mar.
• Emmanuel Denis & Yuri Kabanov, 2011, "Consistent price systems and arbitrage opportunities of the second kind in models with transaction costs," Post-Print, HAL, number hal-00488288, DOI: 10.1007/s00780-010-0144-6.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577880, Mar.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577892, Jan.
• Ulrich Hege, 2011, "Venture Capital and Sequential Investments," Post-Print, HAL, number hal-00577896, Jan.
• David Thesmar & P. Kruger & Augustin Landier, 2011, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," Post-Print, HAL, number hal-00578326, Feb.
• Thierry Foucault & David Sraer & David Thesmar, 2011, "Individual Investors and Volatility," Post-Print, HAL, number hal-00630297, Aug, DOI: 10.1111/j.1540-6261.2011.01668.x.
• Mogens Steffensen, 2011, "Optimal consumption and investment under time-varying relative risk aversion," Post-Print, HAL, number hal-00796302, Mar, DOI: 10.1016/j.jedc.2010.12.007.
• Olaf Posch, 2011, "Risk premia in general equilibrium," Post-Print, HAL, number hal-00851860, Aug, DOI: 10.1016/j.jedc.2010.12.017.
• Eric Benhamou & Beatrice Guez, 2018, "Incremental Sharpe and other performance ratios," Post-Print, HAL, number hal-02012443.
• Jules Sadefo-Kamdem, 2011, "Businesses Risks Aggregation with Copula," Post-Print, HAL, number hal-02942988, Jul.
• Nicolas Coeurdacier & Stéphane Guibaud, 2011, "International portfolio diversification is better than you think," Post-Print, HAL, number hal-03602483, Mar, DOI: 10.1016/j.jimonfin.2010.10.003.
• Nathalie Oriol, 2011, "Investissement institutionnel et révision de la directive MIF," Post-Print, HAL, number hal-05506345, Dec, DOI: 10.3917/ecofi.104.0217.
• Richard Ruble, 2011, "Comparative risk aversion of different preferences," Post-Print, HAL, number halshs-00585615.
• Salem Boubakri & Cyriac Guillaumin, 2011, "Financial integration and currency risk premium in CEECs : evidence from the ICAPM," Post-Print, HAL, number halshs-00639224.
• M. Merli & T. Roger, 2011, "What drives the herding behavior of individual investors?," Post-Print, HAL, number halshs-00650943, Sep.
• Vladimir Borgy & Luc Arrondel & Frédérique Savignac, 2011, "Épargne et choix de portefeuille des ménages : approches micro et macroéconomiques," Post-Print, HAL, number halshs-00654461.
• Maxime Merli & Tristan Roger, 2011, "What drives the herding behavior of individual investors?," Post-Print, HAL, number halshs-00658723.
• Thomas Rapp & Nicolas Aubert, 2011, "Bank Employee Incentives and Stock Purchase Plans Participation," Post-Print, HAL, number halshs-01256781, DOI: 10.1007/s10693-011-0104-0.
• Vladimir Borgy & Luc Arrondel & Frédérique Savignac, 2011, "Épargne et choix de portefeuille des ménages : approches micro et macroéconomiques," PSE-Ecole d'économie de Paris (Postprint), HAL, number halshs-00654461.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011, "Entropy and the value of information for investors," PSE Working Papers, HAL, number halshs-00648884, Dec.
• Nicolas Coeurdacier & Stéphane Guibaud, 2011, "International portfolio diversification is better than you think," Sciences Po Economics Publications (main), HAL, number hal-03602483, Mar, DOI: 10.1016/j.jimonfin.2010.10.003.
• Laurent-Emmanuel Calvet & Paolo Sodini, 2011, "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Working Papers, HAL, number hal-00625504, Sep.
• Marie Brière & Bastien Drut & Valérie Mignon & Kim Oosterlinck & Ariane Szafarz, 2011, "Is the Market Portfolio Efficient? A New Test to Revisit the Roll (1977) versus Levy and Roll (2010) Controversy," Working Papers, HAL, number hal-04140988.
• Antonio Cabrales & Olivier Gossner & Roberto Serrano, 2011, "Entropy and the value of information for investors," Working Papers, HAL, number halshs-00648884, Dec.
• Jakub W. Jurek & Erik Stafford, 2011, "The Cost of Capital for Alternative Investments," Harvard Business School Working Papers, Harvard Business School, number 12-013, Aug.
• Bielecki, Tomasz R. & Cousin, Areski & Crépey, Stéphane & Herbertsson, Alexander, 2011, "Dynamic Hedging of Portfolio Credit Risk in a Markov Copula Model (Previous title: Dynamic Modeling of Portfolio Credit Risk with Common Shocks)," Working Papers in Economics, University of Gothenburg, Department of Economics, number 502, May, revised 12 Oct 2012.
• Almenberg, Johan & Dreber, Anna, 2011, "Gender, Stock Market Participation and Financial Literacy," SSE/EFI Working Paper Series in Economics and Finance, Stockholm School of Economics, number 737, Aug, revised 18 Jun 2012.
• Hagströmer, Björn & Nilsson, Birger & Hansson, Björn, 2011, "The components of the illiquidity premium: An empirical analysis of U.S. stocks 1927-2010," Working Papers, Lund University, Department of Economics, number 2011:24, Aug.
• Nielsen, Caren Yinxia, 2011, "Hidden in the Factors? The Effect of Credit Risk on the Cross-section of Equity Returns," Working Papers, Lund University, Department of Economics, number 2011:38, Nov, revised 01 Oct 2016.
• Haug, Jørgen & Hens, Thorsten & Wöhrmann, Peter, 2011, "Risk Aversion in the Large and in the Small," Discussion Papers, Norwegian School of Economics, Department of Business and Management Science, number 2011/12, Jun.
• Christian Framstad, Nils, 2011, "Portfolio Separation Properties of the Skew-Elliptical Distributions," Memorandum, Oslo University, Department of Economics, number 02/2011, Feb.
• Chr. Framstad, Nils, 2011, "Portfolio Separation with -symmetric and Psuedo-isotropic Distributions," Memorandum, Oslo University, Department of Economics, number 12/2011, Apr.
• Chr. Framstad, Nils, 2011, "On free lunches in random walk markets with short-sale constraints and small transaction costs, and weak convergence to Gaussian continuous-time processes," Memorandum, Oslo University, Department of Economics, number 20/2011, Sep.
• Betermier, Sebastien & Jansson, Thomas & Parlour, Christine A. & Walden, Johan, 2011, "Hedging Labor Income Risk," Working Paper Series, Sveriges Riksbank (Central Bank of Sweden), number 255, Nov.
• Suzuki, Masataka, 2011, "A Model of Equity Prices with Heterogeneous Beliefs," Hitotsubashi Journal of Economics, Hitotsubashi University, volume 52, issue 1, pages 41-54, June, DOI: 10.15057/19220.
• Zeckhauser, Richard Jay & Trautmann, Stefan T, 2011, "Shunning Uncertainty: The Neglect of Learning Opportunities," Scholarly Articles, Harvard Kennedy School of Government, number 5347068.
• Giuseppe Galloppo, 2011, "Higher Order Moments Resampling," Accounting & Taxation, The Institute for Business and Finance Research, volume 3, issue 1, pages 1-14.