Research classified by Journal of Economic Literature (JEL) codes

2011

• Massimo Guidolin & Francesco Ravazzolo & Andrea Donato Tortora, 2011, "Myths and facts about the alleged over-pricing of U.S. real estate. Evidence from multi-factor asset pricing models of REIT returns," Working Paper, Norges Bank, number 2011/19, Dec.
• Alexandros E. Milionis & Dimitra K. Patsouri, 2011, "A conditional CAPM; implications for the estimation of systematic risk," Working Papers, Bank of Greece, number 131, May.
• M. Marzo & D. Ritelli & P. Zagaglia, 2011, "Optimal Trading Execution with Nonlinear Market Impact: An Alternative Solution Method," Working Papers, Dipartimento Scienze Economiche, Universita' di Bologna, number wp797, Nov.
• Pavel Bandarchuk & Jens Hilscher, 2011, "Sources of Momentum Profits: Evidence on the Irrelevance of Characteristics," Working Papers, Brandeis University, Department of Economics and International Business School, number 38, Sep.
• Walter Gonçalves Junior & Fábio Gallo Garcia & William Eid Junior & Luciana Ribeiro Chalela, 2011, "Short-Run Asset Selection using a Logistic Model," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 2, pages 227-256.
• Márcio André Veras Machado & Otávio Ribeiro de Medeiros, 2011, "Asset Pricing Model and the Liquidity Effect: Empirical Evidence in the Brazilian Stock Market," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 3, pages 383-412.
• Gustavo Passarelli Giroud Joaquim & Marcelo Leite Moura, 2011, "Performance and Persistence of Brazilian Hedge Funds During the Financial Crisis," Brazilian Review of Finance, Brazilian Society of Finance, volume 9, issue 4, pages 525-548.
• Werner Boente & Ute Filipiak, 2011, "Financial Investments, Information Flows, and Caste Affiliation - Empirical Evidence from India," Schumpeter Discussion Papers, Universitätsbibliothek Wuppertal, University Library, number sdp11014, Oct.
• Raphaëlle Bellando & Linh Tran-Dieu, 2011, "La relation entre flux d'entrées nets et performance des fonds. Une étude appliquée au cas des opcvm actions français," Revue économique, Presses de Sciences-Po, volume 62, issue 2, pages 255-275.
• Christian Walter, 2011, "Performation et surveillance du système financier," Revue d'économie financière, Association d'économie financière, volume 0, issue 1, pages 105-116.
• Marc Auberger, 2011, "Les difficultés de la valorisation des entreprises par les marchés financiers," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 209-216.
• Nathalie Oriol, 2011, "Investissement institutionnel et révision de la directive MIF," Revue d'économie financière, Association d'économie financière, volume 0, issue 4, pages 217-236.
• Ogilvie, S. & Küpker, M. & Maegraith, J., 2011, "Household Debt in Seventeenth-Century Württemberg: Evidence from Personal Inventories," Cambridge Working Papers in Economics, Faculty of Economics, University of Cambridge, number 1148, Jul.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/05, Jan.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/12, Feb.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Working Papers in Economics, University of Canterbury, Department of Economics and Finance, number 11/28, Jul.
• Friedman, Dan & Sunder, Shyam, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Santa Cruz Department of Economics, Working Paper Series, Department of Economics, UC Santa Cruz, number qt36q158jt, Jun.
• Rodolfo Apreda, 2011, "Multiplicative models of financial returns an what we fail to get when they are disregarded," CEMA Working Papers: Serie Documentos de Trabajo., Universidad del CEMA, number 454, May.
• Guy Mayraz, 2011, "Wishful Thinking," CEP Discussion Papers, Centre for Economic Performance, LSE, number dp1092, Nov.
• Gunther Capelle-Blancard & Stéphanie Monjon, 2011, "The Performance of Socially Responsible Funds: Does the Screening Process Matter?," Working Papers, CEPII research center, number 2011-12, May.
• Douglas James Hodgson & Aylin Seckin, 2011, "Dynamic Price Dependence of Canadian and International Art Markets: An Empirical Analysis," CIRANO Working Papers, CIRANO, number 2011s-14, Jan.
• Ke Pang, 2011, "Equity home bias, incomplete financial markets, and nominal rigidities," Canadian Journal of Economics, Canadian Economics Association, volume 44, issue 1, pages 340-363, February, DOI: 10.1111/j.1540-5982.2010.01635.x.
• Luis García-Álvarez & Richard Luger, 2011, "Dynamic Correlations, Estimation Risk, and Porfolio Management During the Financial Crisis," Working Papers, CEMFI, number wp2011_1103, Apr, revised Sep 2011.
• Carlos Le�n & Daniel vela, 2011, "Foreign reserves� strategic asset allocation," Borradores de Economia, Banco de la Republica, number 8186, Mar.
• Cecilia Maya Ochoa & Catalina Mar�a Jaramillo Ospina & Lina Mar�a Montoya Madrigal, 2011, "¿Existen ganancias por la cobertura de riesgo cambiario en un portafolio de acciones global, desde la perspectiva de un inversionista colombiano?," Estudios Gerenciales, Universidad Icesi.
• César Corredor Velandia & Rafael de Jes�s Mej�a Pertuz, 2011, "Comportamiento sectorial del mercado de renta variable en Colombia: Una aplicación del modelo CAPM," Revista Economía y Región, Universidad Tecnológica de Bolívar, volume 5, issue 1, pages 109-144.
• Carlos Arturo Gómez Restrepo & Mario Garc�a Molina, 2011, "Supuestos implícitos en la utilización del capital Assets Pricing Model - Capm - para el cálculo del costo del capital propio - Equity-," Documentos Doctorado en Ciencias Económicas, Universidad Nacional de Colombia, FCE, CID, number 8905, Aug.
• Claudía María García Mazo & Jilmer Arley Moreno Martínez, 2011, "Optimización de portafolios de pensiones en Colombia: el esquema de multifondos, 2003-2010," Revista Ecos de Economía, Universidad EAFIT.
• Luís Ángel Meneses Cerón & Ronald Alejandro Macuac� Otero, 2011, "Valoración y riesgo crediticio en Colombia," Revista Finanzas y Politica Economica, Universidad Católica de Colombia, volume 3, issue 2, pages 65-82.
• Carlo Alberto Magni, 2011, "Addendum to "Average Internal Rate of Return and Investment Decisions: A New Perspective"," Proyecciones Financieras y Valoración, Master Consultores, number 8138, Mar.
• Carlo Alberto Magni & Flavio Pressacco & Patrizia Stucchi, 2011, "A Quasi-IRR for a Project Without IRR," Proyecciones Financieras y Valoración, Master Consultores, number 8249, Mar.
• Giovanni Reyes, 2011, "Participación de agentes en mercados financieros: aplicación de los modelos chakraborty-ray y dornbusch," Revista Tendencias, Universidad de Narino, volume 12, issue 1, pages 192-212.
• GAHUNGU, Joachim & SMEERS, Yves, 2011, "Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011034, Jul.
• GAHUNGU, Joachim & SMEERS, Yves, 2011, "Sufficient and necessary conditions for perpetual multi-assets exchange options," LIDAM Discussion Papers CORE, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE), number 2011035, Jul.
• Michiel Bijlsma & Sander Muns, 2011, "Systemic risk across sectors; Are banks different?," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 175, Apr.
• Jan Bonenkamp & Yvonne Adema & Lex Meijdam, 2011, "Retirement Flexibility and Portfolio Choice," CPB Discussion Paper, CPB Netherlands Bureau for Economic Policy Analysis, number 182, Jun.
• Miles, David & McCarthy, David, 2011, "Optimal portfolio allocation for corporate pension funds," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8198, Jan.
• Titman, Sheridan & Kaniel, Ron & Liu, Shuming & Saar, Gideon, 2011, "Individual Investor Trading and Return Patterns around Earnings Announcements," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8259, Feb.
• Kondor, Péter & Sadka, Ronnie & Kang, Namho, 2011, "Idiosyncratic Return Volatility in the Cross-Section of Stocks," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8307, Apr.
• Basak, Suleyman & Chabakauri, Georgy, 2011, "Dynamic Hedging in Incomplete Markets: A Simple Solution," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8402, May.
• Rydqvist, Kristian & Spizman, Joshua & Schwartz, Steven, 2011, "The Tax Benefit of Income Smoothing," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8425, Jun.
• Cukierman, Alex & Izhakian, Yehuda, 2011, "Bailout Uncertainty in a Microfounded General Equilibrium Model of the Financial System," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8453, Jun.
• Kondor, Péter, 2011, "The more we know on the fundamental, the less we agree on the price," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8455, Jun.
• Basak, Suleyman & Makarov, Dmitry, 2011, "Strategic Asset Allocation in Money Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8457, Jun.
• Patton, Andrew, 2011, "On the High-Frequency Dynamics of Hedge Fund Risk Exposures," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8479, Jul.
• Timmermann, Allan & Ang, Andrew, 2011, "Regime Changes and Financial Markets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8480, Jul.
• Fratzscher, Marcel, 2011, "Capital Flows, Push versus Pull Factors and the Global Financial Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8496, Jul.
• Wieland, Volker & Koulovatianos, Christos, 2011, "Asset Pricing under Rational Learning about Rare Disasters," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8514, Aug.
• Peress, Joël, 2011, "Learning From Stock Prices and Economic Growth," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8569, Sep.
• Kaniel, Ron & Kondor, Péter, 2011, "The delegated Lucas tree," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8578, Sep.
• Krueger, Dirk & Jeske, Karsten & Mitman, Kurt, 2011, "Housing and the Macroeconomy: The Role of Bailout Guarantees for Government Sponsored Enterprises," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8624, Oct.
• Gourinchas, Pierre-Olivier & Coeurdacier, Nicolas, 2011, "When Bonds Matter: Home Bias in Goods and Assets," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8649, Nov.
• Acharya, Viral & Mora, Nada, 2011, "Are Banks Passive Liquidity Backstops? Deposit Rates and Flows during the 2007-2009 Crisis," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8706, Dec.
• Beber, Alessandro & Driessen, Joost & Tuijp, Patrick, 2011, "Pricing Liquidity Risk with Heterogeneous Investment Horizons," CEPR Discussion Papers, C.E.P.R. Discussion Papers, number 8710, Dec.
• Jang Schiltz & Marc Boissaux, 2011, "Practical weight-constrained conditioned portfolio optimization using risk aversion indicator signals," LSF Research Working Paper Series, Luxembourg School of Finance, University of Luxembourg, number 11-12.
• Rob Alessie & Maarten van Rooij & Annamaria Lusardi, 2011, "Financial Literacy, Retirement Preparation and Pension Expectations in the Netherlands," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 110, Mar.
• Leora Klapper & Georgios A. Panos, 2011, "Financial Literacy and Retirement Planning in View of a Growing Youth Demographic: The Russian Case," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 114, Mar.
• Riccardo Calcagno & Chiara Monticone, 2011, "Financial Literacy and the Demand for Financial Advice," CeRP Working Papers, Center for Research on Pensions and Welfare Policies, Turin (Italy), number 117, Apr.
• Balbás, Beatriz & Balbás, Raquel, 2011, "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," IC3JM - Estudios = Working Papers, Instituto Mixto Carlos III - Juan March de Ciencias Sociales (IC3JM), number id-11-04.
• Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2011, "Good deals in markets with frictions," DEE - Working Papers. Business Economics. WB, Universidad Carlos III de Madrid. Departamento de Economía de la Empresa, number wb110302, Feb.
• Cabrales, Antonio & Gossner, Olivier & Serrano, Roberto, 2011, "Entropy and the value of information for investors," UC3M Working papers. Economics, Universidad Carlos III de Madrid. Departamento de Economía, number we1104, Mar.
• Marina Yesica Recalde, 2011, "Determinantes de la inversión en exploración de hidrocarburos: un análisis del caso argentino," Cuadernos de Economía - Spanish Journal of Economics and Finance, Asociación Cuadernos de Economía, volume 34, issue 94, pages 40-52, Enero-Abr.
• Jizheng Huang & Heng-fu Zou, 2011, "Asset pricing and the Modigliani-Miller theorem with the spirit of capitalism," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 456.
• Liutang Gong & William Smith & Heng-fu Zou, 2011, "Asset Prices and Hyperbolic Discounting," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 486.
• Jun Tu & Guofu Zhou, 2011, "Markowitz meets Talmud: A combination of sophisticated and naive diversification strategies," CEMA Working Papers, China Economics and Management Academy, Central University of Finance and Economics, number 715.
• Kuhnen, Camelia M. & Knutson, Brian, 2011, "The Influence of Affect on Beliefs, Preferences, and Financial Decisions," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 3, pages 605-626, June.
• Christiansen, Charlotte & Ranaldo, Angelo & Söderlind, Paul, 2011, "The Time-Varying Systematic Risk of Carry Trade Strategies," Journal of Financial and Quantitative Analysis, Cambridge University Press, volume 46, issue 4, pages 1107-1125, August.
• Pennacchi, George & Rastad, Mahdi, 2011, "Portfolio allocation for public pension funds," Journal of Pension Economics and Finance, Cambridge University Press, volume 10, issue 2, pages 221-245, April.
• Ana Fostel & John Geanakoplos, 2011, "Endogenous Leverage: VaR and Beyond," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1800, May.
• Daniel Friedman & Shyam Sunder, 2011, "Risky Curves: From Unobservable Utility to Observable Opportunity Sets," Cowles Foundation Discussion Papers, Cowles Foundation for Research in Economics, Yale University, number 1819, Aug.
• Keppler, Jan Horst (ed.), 2011, "Rôle du signal prix du carbone sur les décisions d'investissement des entreprises," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/8200.
• Alexis Cellier & Pierre Chollet & Jean-François Gajewski, 2011, "Les annonces de notations extrafinancières véhiculent-elles une information au marché?," Revue Finance Contrôle Stratégie, revues.org, volume 14, issue 3, pages 5-38, September.
• Christos Grose, 2011, "The Determinants of Cash Flows in Greek Bond Mutual Funds," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 55-77, March.
• Antonios Athanassiadis, 2011, "Economic Returns and Risks to Investment in Education: An Application of the Multifactor CAPM," International Journal of Business and Economic Sciences Applied Research (IJBESAR), Democritus University of Thrace (DUTH), Kavala Campus, Greece, volume 4, issue 1, pages 95-120, March.
• Marcin Wojtowicz, 2011, "CDOs and the Financial Crisis: Credit Ratings and Fair Premia," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-022/2/DSF 8, Feb.
• Redouane Elkamhia & Denitsa Stefanova, 2011, "Dynamic Correlation or Tail Dependence Hedging for Portfolio Selection," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-028/2/DSF10, Feb.
• Yvonne Adema & Jan Bonenkamp & Lex Meijdam, 2011, "Retirement Flexibility and Portfolio Choice in General Equilibrium," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-038/2/DSF13, Feb.
• Zhen Shi & Bas J.M. Werker, 2011, "Economic Costs and Benefits of Imposing Short-Horizon Value-at-Risk Type Regulation," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 11-053/2/DSF17, Mar.
• Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011, "Retirement Flexibility and Portfolio Choice," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-077.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-056.
• Willems, Bert & Morbee, J., 2011, "Risk Spillovers and Hedging : Why Do Firms Invest Too Much in Systemic Risk?," Discussion Paper, Tilburg University, Center for Economic Research, number 2011-057.
• Adema, Y. & Bonenkamp, J. & Meijdam, A.C., 2011, "Retirement Flexibility and Portfolio Choice," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1c3af8c2-1351-4249-b296-9.
• Renneboog, L.D.R. & Spaenjers, C., 2011, "Hard Assets : The Returns on Rare Diamonds and Gems," Other publications TiSEM, Tilburg University, School of Economics and Management, number 2312b4fe-233c-44a4-82a1-5.
• Willems, Bert & Morbee, J., 2011, "Risk Spillovers and Hedging : Why Do Firms Invest Too Much in Systemic Risk?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 6b549d1a-062f-4595-bdb3-d.
• Mihir A Desai & Dhammika Dharmapala, 2011, "Dividend Taxes and International Portfolio Choice," The Review of Economics and Statistics, MIT Press, volume 93, issue 1, pages 266-284, February.
• John S. Greenlees & Robert McClelland, 2011, "New Evidence on Outlet Substitution Effects in Consumer Price Index Data," The Review of Economics and Statistics, MIT Press, volume 93, issue 2, pages 632-646, May.
• Krüger, Philipp & Landier, Augustin & Thesmar, David, 2011, "The WACC Fallacy: The Real Effects of Using a Unique Discount Rate," TSE Working Papers, Toulouse School of Economics (TSE), number 11-222, Feb.
• John Cotter & Stuart Gabriel & Richard Roll, 2011, "Integration and Contagion in US Housing Markets," Working Papers, Geary Institute, University College Dublin, number 201131, Nov.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2011, "International Evidence on GFC-robust Forecasts for Risk Management under the Basel Accord," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-01.
• Chia-Lin Chang & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez-Amaral, 2011, "Risk Management of Risk under the Basel Accord: Forecasting Value-at-Risk of VIX Futures," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-02.
• Manabu Asai & Michael McAleer & Marcelo C. Medeiros, 2011, "Modelling and Forecasting Noisy Realized Volatility," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-09.
• Paulo Araújo Santos & Juan-Ángel Jiménez-Martín & Michael McAleer & Teodosio Pérez Amaral, 2011, "GFC-Robust Risk Management Under the Basel Accord Using Extreme Value Methodologies," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-27.
• Chia-Lin Chang & Lydia González-Serrano & Juan-Ángel Jiménez-Martín, 2011, "Currency Hedging Strategies Using Dynamic Multivariate GARCH," Documentos de Trabajo del ICAE, Universidad Complutense de Madrid, Facultad de Ciencias Económicas y Empresariales, Instituto Complutense de Análisis Económico, number 2011-33.
• Isaac Ehrlich & Jong Kook Shin & Yong Yin, 2011, "Private Information, Human Capital, and Optimal "Home Bias" in Financial Markets," Journal of Human Capital, University of Chicago Press, volume 5, issue 3, pages 255-301, DOI: 10.1086/662546.
• Roxana Halbleib & Valeri Voev, 2011, "Forecasting multivariate volatility using the VARFIMA model on realized covariance cholesky factors," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/195065, Feb.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," Working Papers, Political Economy Research Institute, University of Massachusetts at Amherst, number wp255.
• James Crotty, 2011, "The Realism of Assumptions Does Matter: Why Keynes-Minsky Theory Must Replace Efficient Market Theory as the Guide to Financial Regulation Policy," UMASS Amherst Economics Working Papers, University of Massachusetts Amherst, Department of Economics, number 2011-05, Mar.
• Candelon, B. & Hurlin, C. & Tokpavi, S., 2011, "Sampling error and double shrinkage estimation of minimum variance portfolios," Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR), number 002, Jan, DOI: 10.26481/umamet.2011002.
• Nancy Mohan & Ting Zhang, 2011, "An Analysis of Risk-Taking Behavior for Public Defined Benefit Pension Plans," Upjohn Working Papers, W.E. Upjohn Institute for Employment Research, number 12-179, Nov.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Quantiles of the Realized Stock-Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/151809.
• Aslanidis, Nektarios & Christiansen, Charlotte, 2011, "Smooth Transition Patterns in the Realized Stock- Bond Correlation," Working Papers, Universitat Rovira i Virgili, Department of Economics, number 2072/152138.
• Jack Gray & Ron Bird, 2011, "A Brief Critical Review of Australia's Retirement Savings System," Published Paper Series, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 2011-4, Jan.
• Ron Bird & Paolo Pellizzari & Danny Yeung, 2011, "Performance Implications of Active Management of Institutional Mutual Funds," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 13, Sep.
• Ron Bird & Krishna Reddy & Danny Yeung, 2011, "The Relationship Between Uncertainty and the Market Reaction to Information: How is it Influenced by Market and Stock-Specific Characteristics?," Working Paper Series, The Paul Woolley Centre for Capital Market Dysfunctionality, University of Technology, Sydney, number 14, Sep.
• Eylem Ersal Kiziler, 2011, "Growth Shocks and Portfolio Flows," Working Papers, UW-Whitewater, Department of Economics, number 11-02, May.
• Carmen LIPARA, 2011, "Investment Recommendations Made by Financial Analysts and Their Impact upon the Price Evolution of the Shares Listed on the Bucharest Stock Exchange," The Valuation Journal, The National Association of Authorized Romanian Valuers, volume 6, issue 2, pages 100-123.
• Marco Corazza & Giovanni Fasano & Riccardo Gusso, 2011, "Particle Swarm Optimization with non-smooth penalty reformulation for a complex portfolio selection problem," Working Papers, Department of Economics, University of Venice "Ca' Foscari", number 2011_10.
• Alessandro Bucciol & Raffaele Miniaci, 2011, "Household Portfolios and Risk Bearing over Age and Time," Working Papers, University of Verona, Department of Economics, number 15/2011, Oct.
• Manolescu, Gheorghe, 2011, "Appetite For Risk Of The Bank (I)," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 15, issue 2, pages 209-223.
• Manolescu, Gheorghe, 2011, "Appetite For Risk Of The Bank (Ii)," Studii Financiare (Financial Studies), Centre of Financial and Monetary Research "Victor Slavescu", volume 15, issue 3, pages 140-155.
• Didier, Tatiana & Rigobon, Roberto & Schmukler, Sergio L., 2011, "Unexploited gains from international diversification : patterns of portfolio holdings around the world," Policy Research Working Paper Series, The World Bank, number 5524, Jan.
• Raddatz, Claudio & Schmukler, Sergio L., 2011, "Deconstructing herding : evidence from pension fund investment behavior," Policy Research Working Paper Series, The World Bank, number 5700, Jun.
• Anginer, Deniz & Demirguc-Kunt, Asli, 2011, "Has the global banking system become more fragile over time ?," Policy Research Working Paper Series, The World Bank, number 5849, Oct.
• Orazio P. Attanasio & Monica Paiella, 2011, "Intertemporal consumption choices, transaction costs and limited participation in financial markets: reconciling data and theory," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 2, pages 322-343, March.
• Michael Hurd & Maarten Van Rooij & Joachim Winter, 2011, "Stock market expectations of Dutch households," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 416-436, April.
• Adeline Delavande & Susann Rohwedder, 2011, "Individuals' uncertainty about future social security benefits and portfolio choice," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 3, pages 498-519, April.
• Roxana Chiriac & Valeri Voev, 2011, "Modelling and forecasting multivariate realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., volume 26, issue 6, pages 922-947, September.
• D. E. Allen & R. J. Powell & A. K. Singh, 2011, "Quantile Regression As A Tool For Portfolio Investment Decisions During Times Of Financial Distress," Annals of Financial Economics (AFE), World Scientific Publishing Co. Pte. Ltd., volume 6, issue 01, pages 1-19, DOI: 10.1142/S2010495211500035.
• Leonard C MacLean & Edward O Thorp & William T Ziemba (ed.), 2011, "The Kelly Capital Growth Investment Criterion:Theory and Practice," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 7598, ISBN: ARRAY(0x64a71410).
• Michael CS Wong (ed.), 2011, "The Risk of Investment Products:From Product Innovation to Risk Compliance," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8170, ISBN: ARRAY(0x65cfd7c8).
• Masaaki Kijima & Chiaki Hara & Yukio Muromachi & Hidetaka Nakaoka & Katsumasa Nishide (ed.), 2011, "Recent Advances in Financial Engineering 2010," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 8236, ISBN: ARRAY(0x64927a68).
• Daniel Bernoulli, 2011, "Exposition Of A New Theory On The Measurement Of Risk," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 2, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• J. L. Kelly Jr., 2011, "A New Interpretation of Information Rate," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 3, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Henry Allen Latané, 2011, "Criteria For Choice Among Risky Ventures," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 4, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• L. Breiman, 2011, "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 5, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• E. O. Thorp, 2011, "Optimal Gambling Systems For Favorable Games," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 6, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Edward. O. Thorp, 2011, "Portfolio Choice And The Kelly Criterion," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 7, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Nils H. Hakansson, 2011, "Optimal Investment And Consumption Strategies Under Risk For A Class Of Utility Functions," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 8, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Nils H. Hakansson, 2011, "On Optimal Myopic Portfolio Policies, With And Without Serial Correlation Of Yields," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 9, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Richard Roll, 2011, "Evidence On The “Growth-Optimum” Model," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 10, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Robert M. Bell & Thomas M. Cover, 2011, "Competitive Optimality Of Logarithmic Investment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 12, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• ANDREW R. BARRON & Thomas M. Cover, 2011, "A Bound on the Financial Value of Information," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 13, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Paul H. Algoet & Thomas M. Cover, 2011, "Asymptotic Optimality And Asymptotic Equipartition Properties Of Log-Optimum Investment," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 14, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Thomas M. Cover, 2011, "Universal Portfolios," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 15, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Erik Ordentlich & Thomas M. Cover, 2011, "The Cost Of Achieving The Best Portfolio In Hindsight," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 16, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Mark Finkelstein & Robert Whitley, 2011, "Optimal Strategies For Repeated Games," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 17, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Vijay K. Chopra & William T. Ziemba, 2011, "The Effect of Errors in Means, Variances, and Covariances on Optimal Portfolio Choice," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 18, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Leonard C. Maclean & William T. Ziemba & Yuming Li, 2011, "Time to wealth goals in capital accumulation," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 19, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Igor V. Evstigneev & Thorsten Hens & Klaus Reiner Schenk-Hoppé, 2011, "Survival and Evolutionary Stability of the Kelly Rule," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 20, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• Yingdong Lv & Bernhard K. Meister, 2011, "Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes," World Scientific Book Chapters, World Scientific Publishing Co. Pte. Ltd., chapter 21, in: Leonard C MacLean & Edward O Thorp & William T Ziemba, "THE KELLY CAPITAL GROWTH INVESTMENT CRITERION THEORY and PRACTICE".
• 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".