Research classified by Journal of Economic Literature (JEL) codes

2010

• Manfred Gilli & Enrico Schumann, 2010, "Optimization in financial engineering - an essay on 'good' solutions and misplaced exactitude," Journal of Financial Transformation, Capco Institute, volume 28, pages 117-122.
• Christoph Kaserer & Henry Lahr & Valentin Liebhart & Alfred Mettler, 2010, "The time-varying risk of listed private equity," Journal of Financial Transformation, Capco Institute, volume 28, pages 87-93.
• Shahin Shojai & George Feiger & Rajesh Kumar, 2010, "Economists’ hubris — the case of equity asset management," Journal of Financial Transformation, Capco Institute, volume 29, pages 9-16.
• Brian Jacobsen, 2010, "Unwrapping Fund Expenses: What are You Paying For?," Journal of Financial Transformation, Capco Institute, volume 30, pages 83-88.
• Jerome Stein, 2010, "A critique of Alan Greenspan’s retrospective on the crisis," Journal of Financial Transformation, Capco Institute, volume 30, pages 9-21.
• Gheorghe ZAMAN & Marinela GEAMĂNU, 2010, "Foreign Direct Investments And Domestic Investments In Romania In The Economic Crisis Period," Annals of Spiru Haret University, Economic Series, Universitatea Spiru Haret, volume 1, issue 1, pages 107-112.
• Sinisa Bogdan & Suzana Baresa & Sasa Ivanovic, 2010, "Portfolio Analysis Based On The Example Of Zagreb Stock Exchange," UTMS Journal of Economics, University of Tourism and Management, Skopje, Macedonia, volume 1, issue 1, pages 39-52.
• Michalski, Grzegorz, 2010, "Planning Optimal From The Firm Value Creation Perspective. Levels Of Operating Cash Investments," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 1, pages 198-214, March.
• Necula, Ciprian, 2010, "Modeling the Dependency Structure of Stock Index Returns using a Copula Function Approach," Journal for Economic Forecasting, Institute for Economic Forecasting, volume 0, issue 3, pages 93-106, September.
• Mihai BOTEZATU, 2010, "Capital investments in the context of time factor," Economia. Seria Management, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 13, issue 1, pages 106-118, June.
• Cristian PAUN & Stefan UNGUREANU, 2010, "Managerial Approach of International Initial Public Offerings Valuation," REVISTA DE MANAGEMENT COMPARAT INTERNATIONAL/REVIEW OF INTERNATIONAL COMPARATIVE MANAGEMENT, Faculty of Management, Academy of Economic Studies, Bucharest, Romania, volume 11, issue 5, pages 905-915, December.
• Karl E. Case & John Cotter & Stuart A. Gabriel, 2010, "Housing risk and return : evidence from a housing asset-pricing model," Centre for Financial Markets Working Papers, Research Repository, University College Dublin, number 10197/2562, May.
• Marco Gambaro and Riccardo Puglisi, 2010, "What Do Ads Buy? Daily Coverage of Listed Companies on the Italian Press," RSCAS Working Papers, European University Institute, number 2010/26, Jan.
• Magdalena Mikolajek-Gocejna, 2010, "RYNKOWE MIARY TWORZENIA WARTOsCI PRZEDSIeBIORSTWA I WARTOsCI DLA AKCJONARIUSZY," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 46-63, December.
• Andrzej Cwynar, 2010, "PROBLEM INFORMACYJNEJ SPRAWNOsCI ZYSKU REZYDUALNEGO. KONCEPCJA RADARU RI(BV)," "e-Finanse", University of Information Technology and Management, Institute of Financial Research and Analysis, volume 6, issue special, pages 86-109, December.
• Geoffrey J. Warren, 2010, "Equity home bias in Australian superannuation funds," Australian Journal of Management, Australian School of Business, volume 35, issue 1, pages 69-93, April, DOI: 10.1177/0312896209354220.
• Ryan Bartens & Shakill Hassan, 2010, "Value, size and momentum portfolios in real time: the cross section of South African stocks," Australian Journal of Management, Australian School of Business, volume 35, issue 2, pages 181-202, August, DOI: 10.1177/0312896210370081.
• Sunil S. Poshakwale & Chandra Thapa, 2010, "Foreign Investors and Global Integration of Emerging Indian Equity Market," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 1, pages 1-24, April, DOI: 10.1177/097265271000900101.
• Mahfuzul Haque & Oscar Varela, 2010, "US-Thailand Bilateral Safety-first Portfolio Optimisation around the 1997 Asian Financial Crisis," Journal of Emerging Market Finance, Institute for Financial Management and Research, volume 9, issue 2, pages 171-197, August, DOI: 10.1177/097265271000900203.
• Sebastian Müller & Martin Weber, 2010, "Financial Literacy and Mutual Fund Investments: Who Buys Actively Managed Funds?," Schmalenbach Business Review (sbr), LMU Munich School of Management, volume 62, issue 2, pages 126-153, April.
• Claudio Raddatz & Sergio Schmukler, 2010, "Pension Funds And Capital Market Development: How Much Bang For The Buck?," Working Papers, Superintendencia de Pensiones, number 38, Feb, revised Feb 2010.
• Thorsten Hock, 2010, "Tactical Size Rotation in Switzerland," Swiss Journal of Economics and Statistics (SJES), Swiss Society of Economics and Statistics (SSES), volume 146, issue III, pages 553-576, September.
• Schröder, Thomas & Dunbar, Kwamie, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working Papers, Sacred Heart University, John F. Welch College of Business, number 2010001, Mar.
• Mark Cullen & Liran Einav & Amy Finkelstein & Iuliana Pascu, 2010, "How General Are Risk Preferences? Choices Under Uncertainty in Different Domains," Discussion Papers, Stanford Institute for Economic Policy Research, number 09-005, Jan.
• Charlotte Christiansen & Angelo Ranaldo & Paul Söderlind, 2010, "The Time-Varying Systematic Risk of Carry Trade Strategies," Working Papers, Swiss National Bank, number 2010-01.
• Bastien Drut, 2010, "Social responsibility and mean-variance portfolio selection," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-002.RS.
• Gregor Dorfleitner & Michaela Leidl & Johannes Reeder, 2010, "Theory of Social Returns in Portfolio Choice with Application to Microfinance," Working Papers CEB, ULB -- Universite Libre de Bruxelles, number 10-014.RS.
• Peter Diesinger & Holger Kraft & Frank Seifried, 2010, "Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?," Finance and Stochastics, Springer, volume 14, issue 3, pages 343-374, September, DOI: 10.1007/s00780-008-0085-5.
• Michael Mania & Marina Santacroce, 2010, "Exponential utility maximization under partial information," Finance and Stochastics, Springer, volume 14, issue 3, pages 419-448, September, DOI: 10.1007/s00780-009-0114-z.
• Freddy Delbaen & Shige Peng & Emanuela Rosazza Gianin, 2010, "Representation of the penalty term of dynamic concave utilities," Finance and Stochastics, Springer, volume 14, issue 3, pages 449-472, September, DOI: 10.1007/s00780-009-0119-7.
• Georg Mainik & Ludger Rüschendorf, 2010, "On optimal portfolio diversification with respect to extreme risks," Finance and Stochastics, Springer, volume 14, issue 4, pages 593-623, December, DOI: 10.1007/s00780-010-0122-z.
• Emmanuel Denis & Yuri Kabanov, 2010, "Mean square error for the Leland–Lott hedging strategy: convex pay-offs," Finance and Stochastics, Springer, volume 14, issue 4, pages 625-667, December, DOI: 10.1007/s00780-010-0130-z.
• Kasper Larsen & Hang Yu, 2012, "Horizon dependence of utility optimizers in incomplete models," Finance and Stochastics, Springer, volume 16, issue 4, pages 779-801, October, DOI: 10.1007/s00780-012-0171-6.
• Ragnar Norberg, 2013, "Optimal hedging of demographic risk in life insurance," Finance and Stochastics, Springer, volume 17, issue 1, pages 197-222, January, DOI: 10.1007/s00780-012-0182-3.
• S. Gerhold & J. Muhle-Karbe & W. Schachermayer, 2013, "The dual optimizer for the growth-optimal portfolio under transaction costs," Finance and Stochastics, Springer, volume 17, issue 2, pages 325-354, April, DOI: 10.1007/s00780-011-0165-9.
• Stefan Gerhold & Paolo Guasoni & Johannes Muhle-Karbe & Walter Schachermayer, 2014, "Transaction costs, trading volume, and the liquidity premium," Finance and Stochastics, Springer, volume 18, issue 1, pages 1-37, January, DOI: 10.1007/s00780-013-0210-y.
• Walter Farkas & Pablo Koch-Medina & Cosimo Munari, 2014, "Beyond cash-additive risk measures: when changing the numéraire fails," Finance and Stochastics, Springer, volume 18, issue 1, pages 145-173, January, DOI: 10.1007/s00780-013-0220-9.
• Terrill Keasler & Chris McNeil, 2010, "Mad Money stock recommendations: market reaction and performance," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 1, pages 1-22, January, DOI: 10.1007/s12197-008-9033-7.
• Ying Zhang & Peggy Swanson, 2010, "Are day traders bias free?—evidence from internet stock message boards," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 1, pages 96-112, January, DOI: 10.1007/s12197-008-9063-1.
• Lan Liu & Hao Lin, 2010, "Covariance estimation: do new methods outperform old ones?," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 2, pages 187-195, April, DOI: 10.1007/s12197-009-9104-4.
• Anchor Lin & Peggy Swanson, 2010, "Contrarian strategies and investor overreaction under price limits," Journal of Economics and Finance, Springer;Academy of Economics and Finance, volume 34, issue 4, pages 430-454, October, DOI: 10.1007/s12197-009-9075-5.
• Bernard Cornet & Ramu Gopalan, 2010, "Arbitrage and equilibrium with portfolio constraints," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), volume 45, issue 1, pages 227-252, October, DOI: 10.1007/s00199-009-0506-5.
• Luis Alvarez, 2010, "Irreversible capital accumulation under interest rate uncertainty," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), volume 72, issue 2, pages 249-271, October, DOI: 10.1007/s00186-010-0319-0.
• Eli Amir & Yanling Guan & Dennis Oswald, 2010, "The effect of pension accounting on corporate pension asset allocation," Review of Accounting Studies, Springer, volume 15, issue 2, pages 345-366, June, DOI: 10.1007/s11142-009-9102-y.
• Francesco Lisi & Edoardo Otranto, 2010, "Clustering mutual funds by return and risk levels," Springer Books, Springer, in: Marco Corazza & Claudio Pizzi, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-88-470-1481-7_19.
• Diana Barro & Elio Canestrelli, 2010, "Tracking error with minimum guarantee constraints," Springer Books, Springer, in: Marco Corazza & Claudio Pizzi, "Mathematical and Statistical Methods for Actuarial Sciences and Finance", DOI: 10.1007/978-88-470-1481-7_2.
• Maurizio Polato & Josanco Floreani, 2010, "Distribution of Illiquid Financial Products: The Case of Italy," Transition Studies Review, Springer;Central Eastern European University Network (CEEUN), volume 16, issue 4, pages 848-859, February, DOI: 10.1007/s11300-009-0114-x.
• Lieven Baele & Pilar Soriano, 2010, "The determinants of increasing equity market comovement: economic or financial integration?," Review of World Economics (Weltwirtschaftliches Archiv), Springer;Institut für Weltwirtschaft (Kiel Institute for the World Economy), volume 146, issue 3, pages 573-589, September, DOI: 10.1007/s10290-010-0060-z.
• Fernando ESTRADA, 2010, "Theory Of Argumentation In Financial Markets," Journal of Advanced Studies in Finance, ASERS Publishing, volume 1, issue 1, pages 18-22.
• Giulio Bottazzi & Pietro Dindo, 2010, "Evolution and market behavior with endogenous investment rules," LEM Papers Series, Laboratory of Economics and Management (LEM), Sant'Anna School of Advanced Studies, Pisa, Italy, number 2010/20, Nov.
• Daniel Buncic & Jon E. Eggins & Robert J. Hill, 2010, "Mutual Fund Style, Characteristic-Matched Performance Benchmarks and Activity Measures: A New Approach," Discussion Papers, School of Economics, The University of New South Wales, number 2010-12, Jun.
• M. Vermorken & A. Szafarz & H. Pirotte, 2010, "Sector classification through non-Gaussian similarity," Applied Financial Economics, Taylor & Francis Journals, volume 20, issue 11, pages 861-878, DOI: 10.1080/09603101003636238.
• Nicole Branger & Beate Breuer & Christian Schlag, 2010, "Discrete-time implementation of continuous-time portfolio strategies," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 2, pages 137-152, DOI: 10.1080/13518470903075854.
• Michail Koubouros & Dimitrios Malliaropulos & Ekaterini Panopoulou, 2010, "Long-run cash flow and discount-rate risks in the cross-section of US returns," The European Journal of Finance, Taylor & Francis Journals, volume 16, issue 3, pages 227-244, DOI: 10.1080/13518470903102419.
• Joseph Friedman & Herbert E Phillips, 2010, "The Portfolio Implications of Adding Social Security Private Account Options to Ongoing Investments," DETU Working Papers, Department of Economics, Temple University, number 1004, Mar.
• Andrey Lizyayev, 2010, "Stochastic Dominance Efficiency Analysis of Diversified Portfolios: Classification, Comparison and Refinements," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-084/2, Aug.
• Yvonne Adema, 2010, "Pensions, Debt and Inflation Risk in a Monetary Union," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-109/2, Oct.
• Cem Cakmakli & Dick van Dijk, 2010, "Getting the Most out of Macroeconomic Information for Predicting Stock Returns and Volatility," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-115/4, Nov.
• Mahmoud Botshekan & Roman Kraeussl & Andre Lucas, 2010, "Cash Flow and Discount Rate Risk in Up and Down Markets: What is actually priced?," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-116/2/DSF 3, Nov.
• Roman Kraeussl & Andre Lucas & Arjen Siegmann, 2010, "Risk Aversion under Preference Uncertainty," Tinbergen Institute Discussion Papers, Tinbergen Institute, number 10-117/2/DSF 4, Nov.
• Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010, "Optimal Annuitization with Incomplete Annuity Markets and Background Risk During Retirement," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-11.
• Takano, Y. & Sotirov, R., 2010, "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-114.
• Corradin, S. & Gropp, R. & Huizinga, H.P. & Laeven, L., 2010, "Who Invests in Home Equity to Exempt Wealth from Bankruptcy?," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-118.
• van Dalen, H.P. & Henkens, K. & Koedijk, C.G. & Slager, A.M.H., 2010, "Decision Making in the Pension Fund Board Room : An Experiment with Dutch Pension Fund Trustees," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-18.
• Allen, F. & Babus, A. & Carletti, E., 2010, "Financial Connections and Systemic Risk," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-88S.
• Peijnenburg, J.M.J. & Nijman, T.E. & Werker, B.J.M., 2010, "Health Cost Risk and Optimal Retirement Provision : A Simple Rule for Annuity Demand," Discussion Paper, Tilburg University, Center for Economic Research, number 2010-14.
• Corradin, S. & Gropp, R. & Huizinga, H.P. & Laeven, L., 2010, "Who Invests in Home Equity to Exempt Wealth from Bankruptcy?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 1af9bcc0-1fae-4575-8bad-8.
• Takano, Y. & Sotirov, R., 2010, "A Polynomial Optimization Approach to Constant Rebalanced Portfolio Selection," Other publications TiSEM, Tilburg University, School of Economics and Management, number 50bcc54f-7451-4e27-88a5-3.
• Allen, F. & Babus, A. & Carletti, E., 2010, "Financial Connections and Systemic Risk," Other publications TiSEM, Tilburg University, School of Economics and Management, number 76c1df26-9a76-424a-82b6-e.
• Corradin, S. & Gropp, R. & Huizinga, H.P. & Laeven, L., 2010, "Who Invests in Home Equity to Exempt Wealth from Bankruptcy?," Other publications TiSEM, Tilburg University, School of Economics and Management, number 876e53a4-bd96-4516-8f9f-1.
• Allen, F. & Babus, A. & Carletti, E., 2010, "Financial Connections and Systemic Risk," Other publications TiSEM, Tilburg University, School of Economics and Management, number a0b338ca-5b3b-48f9-964f-d.
• Elias Oikarinen, 2010, "Momentum and mean reversion in regional housing markets: Evidence from variance ratio tests," Discussion Papers, Aboa Centre for Economics, number 61, Dec.
• Roengchai Tansuchat & Chia-Lin Chang & Michael McAleer, 2010, "Crude Oil Hedging Strategies Using Dynamic Multivariate GARCH," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-704, Jan.
• Massimiliano Caporin & Michael McAleer, 2010, "Do We Really Need Both BEKK and DCC? A Tale of Two Multivariate GARCH Models," CIRJE F-Series, CIRJE, Faculty of Economics, University of Tokyo, number CIRJE-F-713, Feb.
• Wioletta Dziuda & Jordi Mondria, 2010, "Asymmetric Information, Portfolio Managers, and Home Bias," Working Papers, University of Toronto, Department of Economics, number tecipa-393, Feb.
• Denis Gromb & Dimitri Vayanos, 2010, "A Model of Financial Market Liquidity Based on Intermediary Capital," Journal of the European Economic Association, MIT Press, volume 8, issue 2-3, pages 456-466, 04-05.
• Bonomo, Marco & Garcia, René & Meddahi, Nour & Tédongap, Roméo, 2010, "Generalized Disappointment Aversion, Long Run Volatility Risk and Asset Prices," TSE Working Papers, Toulouse School of Economics (TSE), number 10-187, Jun.
• Karl Case & John Cotter & Stuart Gabriel, 2010, "Housing Risk and Return: Evidence From a Housing Asset-Pricing Model," Working Papers, Geary Institute, University College Dublin, number 201005, Jan.
• Michael McAleer & Juan-Ángel Jiménez-Martín & Teodosio Pérez-Amaral, 2010, "GFC-Robust Risk Management Strategies 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 1001.
• Thomas Schroeder & Kwamie Dunbar, 2010, "Effectively Hedging the Interest Rate Risk of Wide Floating Rate Coupon Spreads," Working papers, University of Connecticut, Department of Economics, number 2010-05, Feb.
• Gino Loyola & Yolanda Portilla, 2010, "Esquemas de Incentivos y Carteras de Inversión Innovadoras," Estudios de Economia, University of Chile, Department of Economics, volume 37, issue 1 Year 20, pages 43-66, June.
• Marie Briere & Alexandre Burgues & Ombretta Signori, 2010, "Volatility exposure for strategic asset allocation," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/169642, Mar.
• Lieven de Moor & Piet Sercu, 2010, "Country v sector effects in equity returns and the roles of geographical and firm-size coverage," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/191025, Nov.
• Bastien Drut, 2010, "Sovereign bonds and socially responsible investment," ULB Institutional Repository, ULB -- Universite Libre de Bruxelles, number 2013/192788.
• Oleg Badunenko & Nataliya Barasinska & Dorothea Schäfer, 2010, "Investments: Women Are More Cautious than Men because They Have Less Financial Resources at Their Disposal," Weekly Report, DIW Berlin, German Institute for Economic Research, volume 6, issue 1, pages 1-4.
• Patrice Fontaine & Cuong Le Van, 2011, "Equilibrium on International Financial Assets and Goods Markets," Working Papers, Development and Policies Research Center (DEPOCEN), Vietnam, number 109.
• Georges Prat, 2010, "Equity Risk Premium and Time Horizon : What do the U.S. Secular Data Say ?," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-22.
• Bastien Drut, 2010, "Social responsibility and mean-variance portfolio selection," EconomiX Working Papers, University of Paris Nanterre, EconomiX, number 2010-3.
• Edward Tower & Wei Zheng, 2010, "Ranking Mutual Fund Families: Minimum Expenses and Maximum Loads as Markers for Moral Turpitude," Working Papers, Duke University, Department of Economics, number 10-12.
• Cosmin L. Ilut, 2010, "Ambiguity Aversion: Implications for the Uncovered Interest Rate Parity Puzzle," Working Papers, Duke University, Department of Economics, number 10-53.
• Mariko Fujii, 2010, "Securitized Products, Financial Regulation, and Systemic Risk," Finance Working Papers, East Asian Bureau of Economic Research, number 23010, Jan.
• Crifo, Patricia & Mottis, Nicolas, 2010, "SRI Analysis and Asset Management: Independent or Convergent? A Field Study on the French Market," ESSEC Working Papers, ESSEC Research Center, ESSEC Business School, number DR 10006, Apr.
• Lieser, Karsten & Groh, Alexander P., 2010, "The attractiveness of 66 countries for institutional real estate investments: A composite index approach," IESE Research Papers, IESE Business School, number D/868, Jul.
• Roxana Halbleib & Valerie Voev, 2010, "Forecasting Multivariate Volatility Using the VARFIMA Model on Realized Covariance Cholesky Factors," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-041, Dec.
• Thiago de Oliveira Souza, 2010, "Strategic Asset Allocation with Heterogeneous Beliefs," Working Papers ECARES, ULB -- Universite Libre de Bruxelles, number ECARES 2010-042, Dec.
• Allen, Franklin & Babus, Ana & Carletti, Elena, 2010, "Financial Connections and Systemic Risk," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-20, Jul.
• Bailey, Warren & Kumar, Alok & Ng, David, 2010, "Behavioral Biases of Mutual Fund Investors," Working Papers, University of Pennsylvania, Wharton School, Weiss Center, number 10-23, Jul.
• Ibanez, Marcela & Carlsson, Fredrik, 2010, "A survey-based choice experiment on coca cultivation," Journal of Development Economics, Elsevier, volume 93, issue 2, pages 249-263, November.
• Briec, Walter & Kerstens, Kristiaan, 2010, "Portfolio selection in multidimensional general and partial moment space," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 4, pages 636-656, April.
• Palczewski, Jan & Schenk-Hoppé, Klaus Reiner, 2010, "From discrete to continuous time evolutionary finance models," Journal of Economic Dynamics and Control, Elsevier, volume 34, issue 5, pages 913-931, May.
• Pesaran, Bahram & Pesaran, M. Hashem, 2010, "Conditional volatility and correlations of weekly returns and the VaR analysis of 2008 stock market crash," Economic Modelling, Elsevier, volume 27, issue 6, pages 1398-1416, November.
• Fajardo, José & Lacerda, Ana, 2010, "Statistical arbitrage with default and collateral," Economics Letters, Elsevier, volume 108, issue 1, pages 81-84, July.
• Amengual, Dante & Sentana, Enrique, 2010, "A comparison of mean-variance efficiency tests," Journal of Econometrics, Elsevier, volume 154, issue 1, pages 16-34, January.
• Frahm, Gabriel & Memmel, Christoph, 2010, "Dominating estimators for minimum-variance portfolios," Journal of Econometrics, Elsevier, volume 159, issue 2, pages 289-302, December.
• Josa-Fombellida, Ricardo & Rincón-Zapatero, Juan Pablo, 2010, "Optimal asset allocation for aggregated defined benefit pension funds with stochastic interest rates," European Journal of Operational Research, Elsevier, volume 201, issue 1, pages 211-221, February.
• Magni, Carlo Alberto, 2010, "Residual income and value creation: An investigation into the lost-capital paradigm," European Journal of Operational Research, Elsevier, volume 201, issue 2, pages 505-519, March.
• Galvani, Valentina & Plourde, André, 2010, "Portfolio diversification in energy markets," Energy Economics, Elsevier, volume 32, issue 2, pages 257-268, March.
• Cifarelli, Giulio & Paladino, Giovanna, 2010, "Oil price dynamics and speculation: A multivariate financial approach," Energy Economics, Elsevier, volume 32, issue 2, pages 363-372, March.
• Westner, Günther & Madlener, Reinhard, 2010, "The benefit of regional diversification of cogeneration investments in Europe: A mean-variance portfolio analysis," Energy Policy, Elsevier, volume 38, issue 12, pages 7911-7920, December.
• Balvers, Ronald & Wu, Yangru, 2010, "Optimal transaction filters under transitory trading opportunities: Theory and empirical illustration," Journal of Financial Markets, Elsevier, volume 13, issue 1, pages 129-156, February.
• Olaf Posch & Timo Trimborn, 2010, "Numerical solution of continuous-time DSGE models under Poisson uncertainty," Economics Working Papers, Department of Economics and Business Economics, Aarhus University, number 2010-08, Jun.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Smooth Transition Patterns in the Realized Stock Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-15, Apr.
• Thomas Q. Pedersen, 2010, "Predictable return distributions," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-38, Jul.
• Rasmus Tangsgaard Varneskov & Valeri Voev, 2010, "The Role of Realized Ex-post Covariance Measures and Dynamic Model Choice on the Quality of Covariance Forecasts," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-45, Aug.
• Nektarios Aslanidis & Charlotte Christiansen, 2010, "Sign and Quantiles of the Realized Stock-Bond Correlation," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-55, Aug.
• Charlotte Christiansen & Juanna Schröter Joensen & Jesper Rangvid, 2010, "The Effects of Marriage and Divorce on Financial Investments: Learning to Love or Hate Risk?," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-57, Sep.
• Peter R. Hansen & Asger Lunde & Valeri Voev, 2010, "Realized Beta GARCH: A Multivariate GARCH Model with Realized Measures of Volatility and CoVolatility," CREATES Research Papers, Department of Economics and Business Economics, Aarhus University, number 2010-74, Nov.
• Suleyman Basak & Dmitry Makarov, 2010, "Difference in Interim Performance and Risk Taking with Short-sale Constraints," Working Papers, New Economic School (NES), number w0159, Oct.
• Isaac Ehrlich & Jong Kook Shin, 2010, "Human Capital and Imperfectly Informed Financial Markets," American Economic Review, American Economic Association, volume 100, issue 2, pages 244-249, May, DOI: 10.1257/aer.100.2.244.
• Giuseppe Moscarini & Fabien Postel-Vinay, 2010, "Unemployment and Small Cap Returns: The Nexus," American Economic Review, American Economic Association, volume 100, issue 2, pages 333-337, May, DOI: 10.1257/aer.100.2.333.
• Oliver Faltin-Traeger & Kathleen W. Johnson & Christopher Mayer, 2010, "Issuer Credit Quality and the Price of Asset Backed Securities," American Economic Review, American Economic Association, volume 100, issue 2, pages 501-505, May, DOI: 10.1257/aer.100.2.501.
• Riccardo Colacito & Mariano M. Croce, 2010, "The Short and Long Run Benefits of Financial Integration," American Economic Review, American Economic Association, volume 100, issue 2, pages 527-531, May, DOI: 10.1257/aer.100.2.527.
• Philippe Bacchetta & Eric van Wincoop, 2010, "Infrequent Portfolio Decisions: A Solution to the Forward Discount Puzzle," American Economic Review, American Economic Association, volume 100, issue 3, pages 870-904, June.
• Sergei Izmalkov & Muhamet Yildiz, 2010, "Investor Sentiments," American Economic Journal: Microeconomics, American Economic Association, volume 2, issue 1, pages 21-38, February.
• Sunil Bundoo & Boopen Seetanah & Zaineh Pooloo, 2010, "An Analysis of Mutual Fund Performance on the Stock Exchange of Mauritius," The African Finance Journal, Africagrowth Institute, volume 12, issue Conferenc, pages 27-43.
• Chandan Prayag & David du Toit & Kristin Kenmuir & Alastair Morrison & Chimwala Tembo, 2010, "Do Frontier Market Equities have a Role to Play in a Diversified International Equity Portfolio?," The African Finance Journal, Africagrowth Institute, volume 12, issue Conferenc, pages 75-97.
• Adjemian, Michael K. & Kuethe, Todd H. & Kunda, Eugene L., 2010, "The Inconvenience Cost: A Portfolio Approach to Non-Convergence Between Cash and Futures Prices," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association, number 61040, DOI: 10.22004/ag.econ.61040.
• Galarza, Francisco B. & Carter, Michael R., 2010, "Risk Preferences and Demand for Insurance in Peru: A Field Experiment," 2010 Annual Meeting, July 25-27, 2010, Denver, Colorado, Agricultural and Applied Economics Association, number 61871, Jul, DOI: 10.22004/ag.econ.61871.
• Gennaioli, Nicola & Shleifer, Andrei & Vishny, Robert, 2010, "Financial Innovation and Financial Fragility," Institutions and Markets Papers, Fondazione Eni Enrico Mattei (FEEM), number 96496, Nov, DOI: 10.22004/ag.econ.96496.
• Silveira, Rodrigo Lanna Franco da & Barros, Geraldo Sant'Ana de Camargo, None, "Uma análise da alocação de contratos futuros sobre commodities em portfólios diversificados," Brazilian Journal of Rural Economy and Sociology (Revista de Economia e Sociologia Rural-RESR), Sociedade Brasileira de Economia e Sociologia Rural, volume 48, issue 01, pages 1-28, DOI: 10.22004/ag.econ.150216.
• Alexandra Horobet & Sorin Dumitrescu & Dan Gabriel Dumitrescu & Iulia Tintea, 2010, "The Impact Of Eu Integration On The Risk-Return Trade-Off Of European Diversified Portfolios," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2010, pages 121-134, july.
• Claudiu Tiberiu Albulescu & Lucian Briciu & Sorina Ioana Coroiu, 2010, "Determinants Of Foreign Direct Investment In Ceecs: The Role Of Financial Stability," Analele Stiintifice ale Universitatii "Alexandru Ioan Cuza" din Iasi - Stiinte Economice (1954-2015), Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, volume 2010, pages 85-96, july.
• Radu Criveanu & Loredana Iordache, 2010, "The European Standard For Quality In Education And Proffesional Training," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 3, issue 38, pages 514-519, May.
• Lect. Aurora Murgea Ph. D, 2010, "Classical Lassical And Behavioural Finance In Investor Decision," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 38, pages 1-12, May.
• Roxana Hetes Ph. D & oana Miru Ph. D Candidate & Assist. Oana Lobont PhD & Assist. Cristina Nicolescu PhD, 2010, "Operational Risk And Fdi In The Banking Sector," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 38, pages 1-6, May.
• Prof. Carmen Corduneanu Ph. D & Assist. Laura Raisa Miloș Ph. D, 2010, "A Model Of Construction Of A Minimum Risk Portfolio Based On Markowitz Portfolio Theory. Application On Bucharest Stock Exchange," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 38, pages 1-8, May.
• Assoc. Prof. Dalia Simion Ph. D & Lect. Roxana Ispas Ph. D, 2010, "Aspects Regarding The Influence Of Volatility On The Option’S Price," Annals of University of Craiova - Economic Sciences Series, University of Craiova, Faculty of Economics and Business Administration, volume 2, issue 38, pages 1-9, May.
• Dorel BERCEANU & Marian SIMINICA & Daniel CIRCIUMARU, 2010, "The market value added and the return on invested capital for industrial Romanian firms," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 11, pages 155-161, May.
• Mircea Gabriel CIOLPAN, 2010, "Developments of credit default swap contracts under the influence of global crisis," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 11, pages 254-259, May.
• Ioan TRENCA & Eva DEZSI, 2010, "The integration of capital markets: correlation analysis," Finante - provocarile viitorului (Finance - Challenges of the Future), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 12, pages 44-53, December.
• Lect. Ph.D Brikena Leka & Lect. Ph.D Rezarta Shkurti, 2010, "Characteristics Of Family Businesses In Albania – A Statistical Study," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 14, pages 168-177, April.
• Prof. Popescu Jenica Ph.D, 2010, "Mutations In The Investments’ Structure Of The Bank Of Romania In The Years 2009-2010: New Ways Of Action," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 15, pages 17-27, November.
• Ec. Simona Moldovan, 2010, "Investors Psychology And The Herd Effect On The Financial Markets," Revista Tinerilor Economisti (The Young Economists Journal), University of Craiova, Faculty of Economics and Business Administration, volume 1, issue 15S, pages 21-26, November.
• Adina Elena DănuleÅ£iu, 2010, "Working Capital Management And Profitability: A Case Of Alba County Companies," Annales Universitatis Apulensis Series Oeconomica, Faculty of Sciences, "1 Decembrie 1918" University, Alba Iulia, volume 1, issue 12, pages 1-36.
• Luca RICCETTI, 2010, "Minimum Tracking Error Volatility," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 340, Apr.
• Luca RICCETTI, 2010, "From Moments, Co-Moments and Mean-Variance weights to Copula Portfolio Allocation," Working Papers, Universita' Politecnica delle Marche (I), Dipartimento di Scienze Economiche e Sociali, number 351, Nov.
• Harry M. Markowitz, 2010, "Portfolio Theory: As I Still See It," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 1-23, December.
• Jessica A. Wachter, 2010, "Asset Allocation," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 175-206, December.
• Wayne E. Ferson, 2010, "Investment Performance Evaluation," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 207-234, December.
• Doron Avramov & Guofu Zhou, 2010, "Bayesian Portfolio Analysis," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 25-47, December.
• Larry G. Epstein & Martin Schneider, 2010, "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, volume 2, issue 1, pages 315-346, December.
• Jiro Akahori & Andrea Macrina, 2010, "Heat Kernel Interest Rate Models with Time-Inhomogeneous Markov Processes," Papers, arXiv.org, number 1012.1878, Dec.
• Daniel ARMEANU & Cristina Andreea DOIA & Andreea NEGRU & Natalita HURDUC, 2010, "Using The Market Model On Romanian Stock Exchange," Internal Auditing and Risk Management, Athenaeum University of Bucharest, volume 4, issue 20, pages 9-16, December.
• Chrétien, Stéphane & Coggins, Frank & Trudel, Yves, 2010, "Performance of monthly multivariate filtered historical simulation value-at-risk," Journal of Risk Management in Financial Institutions, Henry Stewart Publications, volume 3, issue 3, pages 259-277, June.
• Sílvia Bou & Magda Cayón, 2010, "Behavioral Aspects of Investment Fund's Markets: Are Good Managers Lucky or Skilled?," Working Papers, Departament Empresa, Universitat Autònoma de Barcelona, number 1101, Dec, revised Dec 2010.
• Yuliya Romanyuk, 2010, "Asset-Liability Management: An Overview," Discussion Papers, Bank of Canada, number 10-10, DOI: 10.34989/sdp-2010-10.
• Yuliya Romanyuk, 2010, "Liquidity, Risk, and Return: Specifying an Objective Function for the Management of Foreign Reserves," Discussion Papers, Bank of Canada, number 10-13, DOI: 10.34989/sdp-2010-13.
• Fousseni Chabi-Yo & Jun Yang, 2010, "Idiosyncratic Coskewness and Equity Return Anomalies," Staff Working Papers, Bank of Canada, number 10-11, DOI: 10.34989/swp-2010-11.
• Jesus Sierra, 2010, "International Capital Flows and Bond Risk Premia," Staff Working Papers, Bank of Canada, number 10-14, DOI: 10.34989/swp-2010-14.
• Koralai Kirabaeva, 2010, "Adverse Selection, Liquidity, and Market Breakdown," Staff Working Papers, Bank of Canada, number 10-32, DOI: 10.34989/swp-2010-32.
• Sermin Gungor & Richard Luger, 2010, "Bank Testing Linear Factor Pricing Models with Large Cross-Sections: A Distribution-Free Approach," Staff Working Papers, Bank of Canada, number 10-36, DOI: 10.34989/swp-2010-36.
• Paolo Fegatelli, 2010, "The misconception of the option value of deposit insurance and the efficacy of non-risk-based capital requirements in the literature on bank capital regulation," BCL working papers, Central Bank of Luxembourg, number 46, Jul.
• Andrés Schneider, 2010, "Gross Substitutability of Financial Assets: Effects on Monetary Policy," Ensayos Económicos, Central Bank of Argentina, Economic Research Department, volume 1, issue 60, pages 105-136, October -.
• Güven Sayilgan & Arma Deger Mut, 2010, "Uses of Variance and Lower Partial Moment Measures for Portfolio Optimization," Journal of BRSA Banking and Financial Markets, Banking Regulation and Supervision Agency, volume 4, issue 1, pages 47-73.
• Javier Mencía, 2010, "Testing non-linear dependence in the hedge fund industry," Working Papers, Banco de España, number 1007, Mar.
• Olympia Bover, 2010, "Housing purchases and the dynamics of housing wealth," Working Papers, Banco de España, number 1036, Dec.
• Paolo Angelini & Giovanni Guazzarotti, 2010, "Information uncertainty and the reaction of stock prices to news," Temi di discussione (Economic working papers), Bank of Italy, Economic Research and International Relations Area, number 765, Jul.
• Gómez-Pineda, Javier G., 2010, "El mercado de bonos," Chapters, Banco de la Republica de Colombia, chapter 8, in: Gómez-Pineda, Javier G., "Dinero, banca y mercados financieros. Los países emergentes en la economía global", DOI: 10.32468/Ebook.682-773-7.
• Gómez-Pineda, Javier G., 2010, "El mercado de acciones," Chapters, Banco de la Republica de Colombia, chapter 9, in: Gómez-Pineda, Javier G., "Dinero, banca y mercados financieros. Los países emergentes en la economía global", DOI: 10.32468/Ebook.682-773-7.
• Gómez-Pineda, Javier G., 2010, "El mercado de derivados," Chapters, Banco de la Republica de Colombia, chapter 10, in: Gómez-Pineda, Javier G., "Dinero, banca y mercados financieros. Los países emergentes en la economía global", DOI: 10.32468/Ebook.682-773-7.
• Goran Andjelic & Ivana Milosev & Vladimir Djakovic, 2010, "Extreme Value Theory In Emerging Markets," Economic Annals, Faculty of Economics and Business, University of Belgrade, volume 55, issue 185, pages 63-106, April - J.
• Scaillet, Olivier & Topaloglou, Nikolas, 2010, "Testing for Stochastic Dominance Efficiency," Journal of Business & Economic Statistics, American Statistical Association, volume 28, issue 1, pages 169-180.
• Durant, D. & Frey, L., 2010, "Une premi re comparaison des droits de pension des m nages fran ais et am ricains," Working papers, Banque de France, number 280.
• Francisco Peñaranda & Enrique Sentana, 2015, "A Unifying Approach to the Empirical Evaluation of Asset Pricing Models," Working Papers, Barcelona School of Economics, number 488, Sep.
• Haim Shalit, 2010, "Portfolio Risk Management Using The Lorenz Curve," Working Papers, Ben-Gurion University of the Negev, Department of Economics, number 1011.
• Riedel, Frank, 2010, "Optimal Stopping under Ambiguity in Continuous Time," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 429, Dec.
• Herzberg, Frederik, 2015, "Social choice of convex risk measures through Arrovian aggregation of variational preferences," Center for Mathematical Economics Working Papers, Center for Mathematical Economics, Bielefeld University, number 432, Dec.
• J L Ford & Zahid Muhammad, 2010, "Safety-First and Portfolio Selection: An Econometric Study for Pakistan's Banking Sector," Discussion Papers, Department of Economics, University of Birmingham, number 10-18, Jun.
• Conrado Brum & Elizabeth Bucacos & Patricia Carballo, 2010, "La demanda de dinero en una economía dolarizada. Una estimación para Uruguay," Documentos de trabajo, Banco Central del Uruguay, number 2010013, Sep.
• Gary Charness & Uri Gneezy, 2010, "Portfolio Choice And Risk Attitudes: An Experiment," Economic Inquiry, Western Economic Association International, volume 48, issue 1, pages 133-146, January, DOI: 10.1111/j.1465-7295.2009.00219.x.
• Kathleen Arano & Carl Parker & Rory Terry, 2010, "Gender‐Based Risk Aversion And Retirement Asset Allocation," Economic Inquiry, Western Economic Association International, volume 48, issue 1, pages 147-155, January, DOI: 10.1111/j.1465-7295.2008.00201.x.
• Urvi Neelakantan, 2010, "Estimation And Impact Of Gender Differences In Risk Tolerance," Economic Inquiry, Western Economic Association International, volume 48, issue 1, pages 228-233, January, DOI: 10.1111/j.1465-7295.2009.00251.x.
• Ronald Bosman & Frans Van Winden, 2010, "Global Risk, Investment and Emotions," Economica, London School of Economics and Political Science, volume 77, issue 307, pages 451-471, July, DOI: 10.1111/j.1468-0335.2008.00752.x.
• Markus Knell, 2010, "The Optimal Mix Between Funded and Unfunded Pension Systems When People Care About Relative Consumption," Economica, London School of Economics and Political Science, volume 77, issue 308, pages 710-733, October, DOI: 10.1111/j.1468-0335.2009.00797.x.
• Georges Dionne & Geneviève Gauthier & Khemais Hammami & Mathieu Maurice & Jean‐Guy Simonato, 2010, "Default Risk in Corporate Yield Spreads," Financial Management, Financial Management Association International, volume 39, issue 2, pages 707-731, June, DOI: 10.1111/j.1755-053X.2010.01089.x.