16
H index
22
i10 index
1372
Citations
London Business School (LBS) (90% share) | 16 H index 22 i10 index 1372 Citations RESEARCH PRODUCTION: 31 Articles 64 Papers RESEARCH ACTIVITY:
MORE DETAILS IN: ABOUT THIS REPORT:
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Works with: Authors registered in RePEc who have co-authored more than one work in the last five years with Suleyman Basak. | Is cited by: | Cites to: |
Journals with more than one article published | # docs |
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Review of Financial Studies | 8 |
Journal of Financial Economics | 3 |
Journal of Finance | 3 |
Journal of Economic Dynamics and Control | 3 |
Economic Theory | 2 |
Journal of Banking & Finance | 2 |
Working Papers Series with more than one paper published | # docs |
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Working Papers / Center for Economic and Financial Research (CEFIR) | 3 |
Working Papers / New Economic School (NES) | 3 |
Year | Title of citing document | |
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2020 | Continuous time portfolio choice under monotone preferences with quadratic penalty - stochastic factor case. (2014). Zawisza, Dariusz ; Trybula, Jakub . In: Papers. RePEc:arx:papers:1403.3212. Full description at Econpapers || Download paper | |
2020 | Time-consistent feedback strategies with Volterra processes. (2019). Wong, Hoi Ying ; Han, Bingyan. In: Papers. RePEc:arx:papers:1907.11378. Full description at Econpapers || Download paper | |
2020 | Resolving asset pricing puzzles with price impact. (2019). Seppi, Duane J ; Larsen, Kasper ; Choi, Jin Hyuk ; Chen, Xiao. In: Papers. RePEc:arx:papers:1910.02466. Full description at Econpapers || Download paper | |
2020 | Asset Prices with Investor Protection in Approximate Fractional Economy. (2019). Huang, Nan-Jing ; Wang, Ming-Hui ; Yang, Ben-Zhang ; Yue, Jia. In: Papers. RePEc:arx:papers:1911.00281. Full description at Econpapers || Download paper | |
2020 | Personalized Robo-Advising: Enhancing Investment through Client Interaction. (2019). Zariphopoulou, Thaleia ; Olafsson, Sveinn ; Capponi, Agostino. In: Papers. RePEc:arx:papers:1911.01391. Full description at Econpapers || Download paper | |
2020 | On the equivalence between Value-at-Risk and Expected Shortfall in non-concave optimization. (2020). Zhang, Fangyuan ; Stadje, Mitja ; Chen, AN. In: Papers. RePEc:arx:papers:2002.02229. Full description at Econpapers || Download paper | |
2020 | Me, myself and I: a general theory of non-Markovian time-inconsistent stochastic control for sophisticated agents. (2020). Possamai, Dylan ; Hern, Camilo. In: Papers. RePEc:arx:papers:2002.12572. Full description at Econpapers || Download paper | |
2020 | Decomposition of Optimal Dynamic Portfolio Choice with Wealth-Dependent Utilities in Incomplete Markets. (2020). Scaillet, Olivier ; Shen, Yiwen. In: Papers. RePEc:arx:papers:2004.10096. Full description at Econpapers || Download paper | |
2020 | Regret Theory And Asset Pricing Anomalies In Incomplete Markets With Dynamic Un-Aggregated Preferences. (2020). Nwogugu, Michael. In: Papers. RePEc:arx:papers:2005.01709. Full description at Econpapers || Download paper | |
2020 | Continuous time mean-variance-utility portfolio problem and its equilibrium strategy. (2020). Zhu, Song-Ping ; He, Xin-Jiang ; Yang, Ben-Zhang. In: Papers. RePEc:arx:papers:2005.06782. Full description at Econpapers || Download paper | |
2021 | Non-Extensive Value-at-Risk Estimation During Times of Crisis. (2020). Tehrani, Reza ; Asadi, Nazanin ; Namaki, Ali ; Hajihasani, Ahmad. In: Papers. RePEc:arx:papers:2005.09036. Full description at Econpapers || Download paper | |
2020 | Non-concave expected utility optimization with uncertain time horizon: an application to participating life insurance contracts. (2020). Stadje, Mitja ; Nguyen, Thai ; Dehm, Christian. In: Papers. RePEc:arx:papers:2005.13831. Full description at Econpapers || Download paper | |
2020 | Optimal Asset Allocation For Outperforming A Stochastic Benchmark Target. (2020). Li, Yuying ; Ni, Chendi ; Carroll, Ray ; Forsyth, Peter. In: Papers. RePEc:arx:papers:2006.15384. Full description at Econpapers || Download paper | |
2020 | Mean-variance-utility portfolio selection with time and state dependent risk aversion. (2020). He, Xin-Jiang ; Yang, Ben-Zhang ; Zhu, Song-Ping. In: Papers. RePEc:arx:papers:2007.06510. Full description at Econpapers || Download paper | |
2020 | Relative wealth concerns with partial information and heterogeneous priors. (2020). Zhou, Chao ; Su, Xizhi ; Deng, Chao. In: Papers. RePEc:arx:papers:2007.11781. Full description at Econpapers || Download paper | |
2020 | Uniqueness in Cauchy problems for diffusive real-valued strict local martingales. (2020). Larsen, Kasper ; Cetin, Umut. In: Papers. RePEc:arx:papers:2007.15041. Full description at Econpapers || Download paper | |
2020 | Portfolio Selection under Median and Quantile Maximization. (2020). Kou, Steven ; Jiang, Zhaoli ; He, Xue Dong. In: Papers. RePEc:arx:papers:2008.10257. Full description at Econpapers || Download paper | |
2020 | Competition in Fund Management and Forward Relative Performance Criteria. (2020). Anthropelos, Michail ; Geng, Tianran ; Zariphopoulou, Thaleia. In: Papers. RePEc:arx:papers:2011.00838. Full description at Econpapers || Download paper | |
2020 | The importance of dynamic risk constraints for limited liability operators. (2020). Brigo, Damiano ; Armstrong, John ; Lex, A ; Alex, . In: Papers. RePEc:arx:papers:2011.03314. Full description at Econpapers || Download paper | |
2020 | Implicit Incentives for Fund Managers with Partial Information. (2020). Colaneri, Katia ; Angelini, Flavio ; Nicolosi, Marco ; Herzel, Stefano. In: Papers. RePEc:arx:papers:2011.07871. Full description at Econpapers || Download paper | |
2021 | Mean-Variance Investment and Risk Control Strategies -- A Time-Consistent Approach via A Forward Auxiliary Process. (2021). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2101.03954. Full description at Econpapers || Download paper | |
2021 | A Framework of Multivariate Utility Optimization with General Benchmarks. (2021). Zhang, Litian ; Liang, Zongxia ; Liu, Yang. In: Papers. RePEc:arx:papers:2101.06675. Full description at Econpapers || Download paper | |
2020 | Financial frictions and the wealth distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: Working Papers. RePEc:bde:wpaper:2013. Full description at Econpapers || Download paper | |
2020 | Estimating portfolio risk for tail risk protection strategies. (2020). Lohre, Harald ; Happersberger, David ; Nolte, Ingmar. In: European Financial Management. RePEc:bla:eufman:v:26:y:2020:i:4:p:1107-1146. Full description at Econpapers || Download paper | |
2020 | Pricing schemes and market efficiency in private retirement systems. (2020). Flanders, Sam ; Nungsari, Melati ; Paradacontzen, Marcela. In: Journal of Public Economic Theory. RePEc:bla:jpbect:v:22:y:2020:i:4:p:1041-1068. Full description at Econpapers || Download paper | |
2020 | Financial Frictions and the Wealth Distribution. (2020). Nuño Barrau, Galo ; Hurtado, Samuel ; Fernandez-Villaverde, Jesus ; Nuo, Galo. In: CESifo Working Paper Series. RePEc:ces:ceswps:_8482. Full description at Econpapers || Download paper | |
2021 | Capital Flows and Emerging Markets Fluctuations. (2021). Lorca, Jorge. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:898. Full description at Econpapers || Download paper | |
2020 | The Choice Channel of Financial Innovation. (2020). Simsek, Alp ; Nenov, Plamen T ; Iachan, Felipe Saraiva. In: CEPR Discussion Papers. RePEc:cpr:ceprdp:14361. Full description at Econpapers || Download paper | |
2020 | Do commodity price volatilities impact currency misalignments in commodity-exporting countries?. (2020). Guillaumin, Cyriac ; Silanine, Alexandre ; Boubakri, Salem. In: Economics Bulletin. RePEc:ebl:ecbull:eb-20-00234. Full description at Econpapers || Download paper | |
2020 | Macroprudential policy and the role of institutional investors in housing markets. (2020). Muoz, Manuel A. In: Working Paper Series. RePEc:ecb:ecbwps:20202454. Full description at Econpapers || Download paper | |
2020 | Taxonomy of commodities assets via complexity-entropy causality plane. (2020). , Fernando ; Fernando, . In: Chaos, Solitons & Fractals. RePEc:eee:chsofr:v:137:y:2020:i:c:s096007792030309x. Full description at Econpapers || Download paper | |
2020 | Differences of opinion, institutional bids, and IPO underpricing. (2020). Gao, Shenghao ; Yan, Xuemin ; Meng, Qingbin ; Brockman, Paul. In: Journal of Corporate Finance. RePEc:eee:corfin:v:60:y:2020:i:c:s0929119918300282. Full description at Econpapers || Download paper | |
2020 | Investor ambiguity, systemic banking risk and economic activity: The case of too-big-to-fail. (2020). Trigeorgis, Lenos ; Driouchi, Tarik. In: Journal of Corporate Finance. RePEc:eee:corfin:v:62:y:2020:i:c:s0929119919309332. Full description at Econpapers || Download paper | |
2020 | A cost-benefit analysis of capital requirements adjusted for model risk. (2020). Tunaru, Radu ; Fringuellotti, Fulvia ; Farkas, Walter. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920301978. Full description at Econpapers || Download paper | |
2020 | Asset mispricing in peer-to-peer loan secondary markets. (2020). Talavera, Oleksandr ; Pham, Tho ; Caglayan, Mustafa ; Xiong, Xiong. In: Journal of Corporate Finance. RePEc:eee:corfin:v:65:y:2020:i:c:s0929119920302133. Full description at Econpapers || Download paper | |
2020 | Dynamic asset allocation with relative wealth concerns in incomplete markets. (2020). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:113:y:2020:i:c:s0165188920300270. Full description at Econpapers || Download paper | |
2020 | Security design with status concerns. (2020). Subrahmanyam, Marti ; Shapiro, Alex ; Makarov, Dmitry ; Basak, Suleyman. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:118:y:2020:i:c:s0165188920301445. Full description at Econpapers || Download paper | |
2020 | Financialization of agricultural commodities: Evidence from China. (2020). Ouyang, Ruolan ; Zhang, Xuan. In: Economic Modelling. RePEc:eee:ecmode:v:85:y:2020:i:c:p:381-389. Full description at Econpapers || Download paper | |
2020 | Expectile CAPM. (2020). Zheng, Zhenlong ; Hu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:88:y:2020:i:c:p:386-397. Full description at Econpapers || Download paper | |
2020 | Unconventional monetary policy and financialization of commodities. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818304844. Full description at Econpapers || Download paper | |
2020 | Disagreements with noisy signals and asset pricing. (2020). Cheng, Fengchao ; Ma, Chaoqun ; Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940818305424. Full description at Econpapers || Download paper | |
2020 | Dynamic relations between oil and stock market returns: A multi-country study. (2020). Hirs-Garzon, Jorge ; Gomez-Gonzalez, Jose ; Gamboa-Arbelaez, Juliana. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302499. Full description at Econpapers || Download paper | |
2020 | Disagreement with procyclical beliefs and asset pricing. (2020). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302621. Full description at Econpapers || Download paper | |
2020 | The rise of passive investing and index-linked comovement. (2020). Gregoire, Vincent. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:51:y:2020:i:c:s1062940819302992. Full description at Econpapers || Download paper | |
2020 | Excess co-movement of agricultural futures prices: Perspective from contagious investor sentiment. (2020). Huang, Jialiang ; Zhou, Liyun. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:54:y:2020:i:c:s1062940820301649. Full description at Econpapers || Download paper | |
2020 | Optimal investment with S-shaped utility and trading and Value at Risk constraints: An application to defined contribution pension plan. (2020). Zheng, Harry ; Dong, Yinghui. In: European Journal of Operational Research. RePEc:eee:ejores:v:281:y:2020:i:2:p:341-356. Full description at Econpapers || Download paper | |
2020 | Does risk aversion affect bank output loss? The case of the Eurozone. (2020). mamatzakis, emmanuel ; Ongena, Steven ; Tsionas, Mike G. In: European Journal of Operational Research. RePEc:eee:ejores:v:282:y:2020:i:3:p:1127-1145. Full description at Econpapers || Download paper | |
2020 | Local Gaussian correlations in financial and commodity markets. (2020). Chevallier, Julien ; Nguyen, Quynh Nga ; Zhu, Bangzhu ; Zhang, Lyuyuan ; Aboura, Sofiane. In: European Journal of Operational Research. RePEc:eee:ejores:v:285:y:2020:i:1:p:306-323. Full description at Econpapers || Download paper | |
2021 | Time-consistent portfolio optimization. (2021). Kloeden, Peter E ; Peng, Ling. In: European Journal of Operational Research. RePEc:eee:ejores:v:288:y:2021:i:1:p:183-193. Full description at Econpapers || Download paper | |
2021 | The surprising robustness of dynamic Mean-Variance portfolio optimization to model misspecification errors. (2021). Forsyth, Peter A ; Dang, Duy-Minh ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:289:y:2021:i:2:p:774-792. Full description at Econpapers || Download paper | |
2020 | Mild explosivity in recent crude oil prices. (2020). Paraskevopoulos, Ioannis ; McCrorie, Roderick J ; Figuerola-Ferretti, Isabel. In: Energy Economics. RePEc:eee:eneeco:v:87:y:2020:i:c:s0140988319301471. Full description at Econpapers || Download paper | |
2020 | Economic determinants of oil futures volatility: A term structure perspective. (2020). Prokopczuk, Marcel ; Nikitopoulos-Sklibosios, Christina ; Kang, Boda. In: Energy Economics. RePEc:eee:eneeco:v:88:y:2020:i:c:s0140988320300827. Full description at Econpapers || Download paper | |
2020 | Have commodities become a financial asset? Evidence from ten years of Financialization. (2020). Kartsakli, Maria ; Collot, Solene ; Adams, Zeno. In: Energy Economics. RePEc:eee:eneeco:v:89:y:2020:i:c:s0140988320301092. Full description at Econpapers || Download paper | |
2020 | Modelling dynamic dependence and risk spillover between all oil price shocks and stock market returns in the BRICS. (2020). Fan, Ying ; Zhao, Wan-Li ; Liu, Bing-Yue ; Ji, Qiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521918304605. Full description at Econpapers || Download paper | |
2020 | Financialization and de-financialization of commodity futures: A quantile regression approach. (2020). Todorova, Neda ; Fan, John Hua ; Bianchi, Robert J. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919301164. Full description at Econpapers || Download paper | |
2020 | Impact of portfolio flows and heterogeneous expectations on FX jumps: Evidence from an emerging market. (2020). Sensoy, Ahmet ; Serdengeti, Suleyman. In: International Review of Financial Analysis. RePEc:eee:finana:v:68:y:2020:i:c:s1057521919305642. Full description at Econpapers || Download paper | |
2020 | Risk quantification for commodity ETFs: Backtesting value-at-risk and expected shortfall. (2020). Perote, Javier ; Mora-Valencia, Andrés ; del Brio, Esther B. In: International Review of Financial Analysis. RePEc:eee:finana:v:70:y:2020:i:c:s1057521917301801. Full description at Econpapers || Download paper | |
2020 | Theyre back! Post-financialization diversification benefits of commodities. (2020). Manseau, Guillaume ; Gagnon, Marie-Helene ; Power, Gabriel J. In: International Review of Financial Analysis. RePEc:eee:finana:v:71:y:2020:i:c:s1057521920301599. Full description at Econpapers || Download paper | |
2020 | The financialization of Chinese commodity markets. (2020). Su, Yunpeng ; Pu, Yingjian ; Yang, Baochen. In: Finance Research Letters. RePEc:eee:finlet:v:34:y:2020:i:c:s1544612319307512. Full description at Econpapers || Download paper | |
2020 | Too much of a good thing? Speculative effects on commodity futures curves. (2020). van Huellen, Sophie. In: Journal of Financial Markets. RePEc:eee:finmar:v:47:y:2020:i:c:s1386418118302295. Full description at Econpapers || Download paper | |
2020 | Bubbles and persuasion with uncertainty over market sentiment. (2020). Negrelli, Sara. In: Games and Economic Behavior. RePEc:eee:gamebe:v:120:y:2020:i:c:p:67-85. Full description at Econpapers || Download paper | |
2020 | Open-loop equilibrium reinsurance-investment strategy under mean–variance criterion with stochastic volatility. (2020). Wong, Hoi Ying ; Yan, Tingjin. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:90:y:2020:i:c:p:105-119. Full description at Econpapers || Download paper | |
2020 | Dynamic consumption and portfolio choice under prospect theory. (2020). Laeven, Roger ; van Bilsen, Servaas. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:91:y:2020:i:c:p:224-237. Full description at Econpapers || Download paper | |
2020 | Optimal reinsurance-investment strategy for a dynamic contagion claim model. (2020). Li, Bin ; Landriault, David ; Cao, Jingyi. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:93:y:2020:i:c:p:206-215. Full description at Econpapers || Download paper | |
2020 | Market risk-based capital requirements, trading activity, and bank risk. (2020). Torna, Gokhan ; Kitsul, Yuriy ; Holod, Dmytro. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:112:y:2020:i:c:s0378426617302054. Full description at Econpapers || Download paper | |
2020 | A mean-variance benchmark for household portfolios over the life cycle. (2020). Munk, Claus. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:116:y:2020:i:c:s037842662030100x. Full description at Econpapers || Download paper | |
2021 | Optimal collective investment: The impact of sharing rules, management fees and guarantees. (2021). Rach, Manuel ; Nguyen, Thai ; Chen, AN. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:123:y:2021:i:c:s0378426620302739. Full description at Econpapers || Download paper | |
2020 | Does news affect disagreement in global markets?. (2020). Chen, Tao. In: Journal of Business Research. RePEc:eee:jbrese:v:109:y:2020:i:c:p:174-183. Full description at Econpapers || Download paper | |
2020 | Institutionalization, delegation, and asset prices. (2020). Yang, Liyan ; Qiu, Zhigang ; Huang, Shiyang. In: Journal of Economic Theory. RePEc:eee:jetheo:v:186:y:2020:i:c:s0022053119301243. Full description at Econpapers || Download paper | |
2020 | Idea sharing and the performance of mutual funds. (2020). Cujean, Julien. In: Journal of Financial Economics. RePEc:eee:jfinec:v:135:y:2020:i:1:p:88-119. Full description at Econpapers || Download paper | |
2020 | What you see is not what you get: The costs of trading market anomalies. (2020). Weller, Brian M ; Patton, Andrew J. In: Journal of Financial Economics. RePEc:eee:jfinec:v:137:y:2020:i:2:p:515-549. Full description at Econpapers || Download paper | |
2020 | Collateral constraints and asset prices. (2020). Han, Brandon Yueyang ; Chabakauri, Georgy. In: Journal of Financial Economics. RePEc:eee:jfinec:v:138:y:2020:i:3:p:754-776. Full description at Econpapers || Download paper | |
2021 | Funding liquidity shocks in a quasi-experiment: Evidence from the CDS Big Bang. (2021). Zhong, Zhaodong ; Yan, Hongjun ; Wu, Yangru ; Wang, Xinjie. In: Journal of Financial Economics. RePEc:eee:jfinec:v:139:y:2021:i:2:p:545-560. Full description at Econpapers || Download paper | |
2020 | Bayesian inference of the multi-period optimal portfolio for an exponential utility. (2020). Schmid, Wolfgang ; Parolya, Nestor ; Bodnar, Taras ; Bauder, David. In: Journal of Multivariate Analysis. RePEc:eee:jmvana:v:175:y:2020:i:c:s0047259x1930123x. Full description at Econpapers || Download paper | |
2020 | Does foreign portfolio investment strengthen stock-commodity markets connection?. (2020). Soytas, Ugur ; Ordu-Akkaya, Beyza Mina. In: Resources Policy. RePEc:eee:jrpoli:v:65:y:2020:i:c:s0301420719303617. Full description at Econpapers || Download paper | |
2020 | Expected prices, futures prices and time-varying risk premiums: The case of copper. (2020). Cortazar, Gonzalo ; Cifuentes, Sebastian ; Schwartz, Eduardo S ; Ortega, Hector. In: Resources Policy. RePEc:eee:jrpoli:v:69:y:2020:i:c:s0301420720308576. Full description at Econpapers || Download paper | |
2020 | Nonrecursive separation of risk and time preferences. (2020). Steffensen, Mogens ; Jensen, Ninna Reitzel ; Fahrenwaldt, Matthias Albrecht. In: Journal of Mathematical Economics. RePEc:eee:mateco:v:90:y:2020:i:c:p:95-108. Full description at Econpapers || Download paper | |
2020 | Increasing the risk management effectiveness from higher accuracy: A novel non-parametric method. (2020). Lu, Dong ; Li, Yong ; Ding, Ashley ; Huang, Jinbo. In: Pacific-Basin Finance Journal. RePEc:eee:pacfin:v:62:y:2020:i:c:s0927538x20300263. Full description at Econpapers || Download paper | |
2020 | Two-stage mean-risk stochastic optimization model for port cold storage capacity under pelagic fishery yield uncertainty. (2020). Wu, Zhong ; Goh, Mark ; Qu, Shaojian ; Liu, Zhimin ; Ma, Gang ; Huang, Ripeng. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:541:y:2020:i:c:s0378437119318680. Full description at Econpapers || Download paper | |
2020 | Dynamic return connectedness across global commodity futures markets: Evidence from time and frequency domains. (2020). Chen, Xiaodan ; Li, Xiafei ; Zhang, Zeming ; Wang, Yilin ; Wei, YU. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:542:y:2020:i:c:s0378437119319326. Full description at Econpapers || Download paper | |
2020 | Time and frequency domain quantile coherence of emerging stock markets with gold and oil prices. (2020). Balli, Faruk ; Hussain, Syed Jawad ; Arif, Muhammad ; Hasan, Mudassar ; Naeem, Muhammad Abubakr. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:553:y:2020:i:c:s0378437120300583. Full description at Econpapers || Download paper | |
2020 | Commodity futures and a wavelet-based risk assessment. (2020). Czudaj, Robert ; Berger, Theo. In: Physica A: Statistical Mechanics and its Applications. RePEc:eee:phsmap:v:554:y:2020:i:c:s037843712030114x. Full description at Econpapers || Download paper | |
2020 | Household stock market participation during the great financial crisis. (2020). Zhou, Jie. In: The Quarterly Review of Economics and Finance. RePEc:eee:quaeco:v:75:y:2020:i:c:p:265-275. Full description at Econpapers || Download paper | |
2020 | Noise trading, institutional trading, and opinion divergence: Evidence on intraday data in the Chinese stock market. (2020). Zhang, Lin ; Zhao, Tiao ; Hu, Yingyi. In: International Review of Economics & Finance. RePEc:eee:reveco:v:68:y:2020:i:c:p:74-89. Full description at Econpapers || Download paper | |
2020 | Economic engagement and within emerging markets integration. (2020). Aaawaar, Godfred ; Akotey, Joseph Oscar ; Boamah, Nicholas Addai. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s0275531919301047. Full description at Econpapers || Download paper | |
2020 | Regime shift, speculation, and stock price. (2020). ZHANG, SHUOXUN ; Qin, Zhenjiang ; Fu, Yishu ; Du, KE. In: Research in International Business and Finance. RePEc:eee:riibaf:v:52:y:2020:i:c:s027553191931027x. Full description at Econpapers || Download paper | |
2020 | Does the tea market require a futures contract? Evidence from the Sri Lankan tea market. (2020). Biakowski, Jdrzej ; Perera, Devmali ; Bohl, Martin T. In: Research in International Business and Finance. RePEc:eee:riibaf:v:54:y:2020:i:c:s0275531920300714. Full description at Econpapers || Download paper | |
2020 | Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model. (2020). Angelopoulos, Jason ; Visvikis, Ilias D ; Sahoo, Satya. In: Transportation Research Part E: Logistics and Transportation Review. RePEc:eee:transe:v:133:y:2020:i:c:s1366554519311081. Full description at Econpapers || Download paper | |
2020 | Monetary Policy Expectations, Fund Managers, and Fund Returns: Evidence from China. (2020). Rogers, John ; Yu, Yang ; Wang, Gang ; Ammer, John. In: International Finance Discussion Papers. RePEc:fip:fedgif:1285. Full description at Econpapers || Download paper | |
2021 | Sugar Prices vs. Financial Market Uncertainty in the Time of Crisis: Does COVID-19 Induce Structural Changes in the Relationship?. (2021). Smutka, Luboš ; Kotyza, Pavel ; Prochazka, Petr ; Wielechowski, Micha ; Czech, Katarzyna. In: Agriculture. RePEc:gam:jagris:v:11:y:2021:i:2:p:93-:d:484771. Full description at Econpapers || Download paper | |
2020 | Do commodity price volatilities impact currency misalignments in commodity-exporting countries ?. (2020). Guillaumin, Cyriac ; Silanine, Alexandre ; Boubakri, Salem. In: Post-Print. RePEc:hal:journl:halshs-02935658. Full description at Econpapers || Download paper | |
2020 | Commodity Prices in Empirical Research. (2020). Carpantier, Jean-Franois. In: Working Papers. RePEc:hal:wpaper:hal-02497404. Full description at Econpapers || Download paper | |
2021 | The Financialization of Storable Commodities. (2021). Baker, Steven D. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:1:p:471-499. Full description at Econpapers || Download paper | |
2021 | A Dynamic Mean-Variance Analysis for Log Returns. (2021). Jin, Hanqing ; Dai, Min ; Xu, Yuhong ; Kou, Steven. In: Management Science. RePEc:inm:ormnsc:v:67:y:2021:i:2:p:1093-1108. Full description at Econpapers || Download paper | |
2020 | The VaR comparison of the fresh investment toolBITCOIN with other conventional investment tools, gold, stock exchange (BIST100) and foreign currencies (EUR/USD VS TRL). (2020). Karahanoglu, Ilhami. In: Eastern Journal of European Studies. RePEc:jes:journl:y:2020:v:11:p:160-181. Full description at Econpapers || Download paper | |
2020 | Risk-Constrained Kelly Portfolios Under Alpha-Stable Laws. (2020). Härdle, Wolfgang ; Hardle, Wolfgang K ; Wesselhofft, Niels. In: Computational Economics. RePEc:kap:compec:v:55:y:2020:i:3:d:10.1007_s10614-019-09913-y. Full description at Econpapers || Download paper | |
2020 | Learning from prices: information aggregation and accumulation in an asset price model. (2020). Berardi, Michele. In: The School of Economics Discussion Paper Series. RePEc:man:sespap:2009. Full description at Econpapers || Download paper | |
2020 | The Implications of Heterogeneity and Inequality for Asset Pricing. (2020). Panageas, Stavros. In: NBER Working Papers. RePEc:nbr:nberwo:26974. Full description at Econpapers || Download paper | |
2020 | Winners and Losers from Sovereign Debt Inflows. (2020). Williams, Tomas ; Pandolfi, Lorenzo ; Martin, Alberto ; Broner, Fernando. In: NBER Working Papers. RePEc:nbr:nberwo:27772. Full description at Econpapers || Download paper | |
2020 | Corporate Governance in the Presence of Active and Passive Delegated Investment. (2020). Malenko, Nadya ; Corum, Adrian Aycan. In: OSF Preprints. RePEc:osf:osfxxx:8n6xj. Full description at Econpapers || Download paper | |
2020 | . Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
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2009 | Strategic Asset Allocation in Money Management In: Working Papers. [Full Text][Citation analysis] | paper | 29 |
2014 | Strategic Asset Allocation in Money Management.(2014) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | article | |
2009 | Strategic Asset Allocation in Money Management.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2011 | Strategic Asset Allocation in Money Management.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 29 | paper | |
2010 | Difference in Interim Performance and Risk Taking with Short-sale Constraints In: Working Papers. [Full Text][Citation analysis] | paper | 13 |
2010 | Difference in Interim Performance and Risk Taking with Short-sale Constraints.(2010) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2010 | Difference in Interim Performance and Risk Taking with Short-Sale Constraints.(2010) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | paper | |
2012 | Difference in interim performance and risk taking with short-sale constraints.(2012) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 13 | article | |
2013 | Competition among Portfolio Managers and Asset Specialization In: Working Papers. [Full Text][Citation analysis] | paper | 4 |
2013 | Competition among Portfolio Managers and Asset Specialization.(2013) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | paper | |
2013 | Asset Prices and Institutional Investors In: American Economic Review. [Full Text][Citation analysis] | article | 85 |
2012 | Asset Prices and Institutional Investors.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 85 | paper | |
2016 | A Model of Financialization of Commodities In: Journal of Finance. [Full Text][Citation analysis] | article | 100 |
2015 | A Model of Financialization of Commodities.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 100 | paper | |
2018 | Belief Dispersion in the Stock Market In: Journal of Finance. [Full Text][Citation analysis] | article | 9 |
2017 | Belief Dispersion in the Stock Market.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 9 | paper | |
1999 | Currency Prices, the Nominal Exchange Rate, and Security Prices in a Twoâ€Country Dynamic Monetary Equilibrium In: Mathematical Finance. [Full Text][Citation analysis] | article | 19 |
1998 | Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium.(1998) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
1998 | Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium.(1998) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
1998 | Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium.(1998) In: Weiss Center Working Papers. [Citation analysis] This paper has another version. Agregated cites: 19 | paper | |
Capital Market Equilibrium with Differential Taxation In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 7 | |
1998 | Capital Market Equilibrium with Differential Taxation.(1998) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 7 | paper | |
2003 | Capital Market Equilibrium with Differential Taxation.(2003) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2018 | Option Prices and Costly Short-Selling In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2019 | Option prices and costly short-selling.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | article | |
2019 | Investor Protection and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 1 |
2019 | Investor Protection and Asset Prices.(2019) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 1 | article | |
2002 | A Model of Credit Risk, Optimal Policies and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 6 |
2005 | A Model of Credit Risk, Optimal Policies, and Asset Prices.(2005) In: The Journal of Business. [Full Text][Citation analysis] This paper has another version. Agregated cites: 6 | article | |
2002 | A Dynamic Model with Import Quota Constraints In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2003 | A DYNAMIC MODEL WITH IMPORT QUOTA CONSTRAINTS.(2003) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2004 | A Dynamic Model with Import Quota Constraints.(2004) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2002 | Monopoly Power and the Firms Valuation: A Dynamic Analysis of Short versus Long-Term Policies In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2003 | MONOPOLY POWER AND THE FIRMS VALUATION: A DYNAMIC ANALYSIS OF SHORT VERSUS LONG-TERM POLICIES.(2003) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2004 | Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies.(2004) In: Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2003 | International Good Market Segmentation and Financial Market Structure In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | Asset Prices with Heterogenous Beliefs In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 0 |
2004 | On the Role of Arbitrageurs in Rational Markets In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 20 |
2006 | On the role of arbitrageurs in rational markets.(2006) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 20 | article | |
2005 | Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 16 |
2004 | Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management.(2004) In: Econometric Society 2004 North American Winter Meetings. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2003 | Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management.(2003) In: Working papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 16 | paper | |
2005 | Risk Management with Benchmarking In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 28 |
2006 | Risk Management with Benchmarking.(2006) In: Management Science. [Full Text][Citation analysis] This paper has another version. Agregated cites: 28 | article | |
2006 | Optimal Asset Allocation and Risk Shifting in Money Management In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 67 |
2007 | Optimal Asset Allocation and Risk Shifting in Money Management.(2007) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 67 | article | |
2006 | Multiplicity in General Financial Equilibrium with Portfolio Constraints In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 7 |
2008 | Multiplicity in general financial equilibrium with portfolio constraints.(2008) In: Journal of Economic Theory. [Full Text][Citation analysis] This paper has another version. Agregated cites: 7 | article | |
2009 | Dynamic Mean-Variance Asset Allocation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 128 |
2010 | Dynamic Mean-Variance Asset Allocation.(2010) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 128 | article | |
2009 | Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 22 |
2010 | Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion.(2010) In: Review of Economic Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | article | |
2009 | Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion.(2009) In: Yale School of Management Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 22 | paper | |
2011 | Dynamic Hedging in Incomplete Markets: A Simple Solution In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
2011 | Dynamic Hedging in Incomplete Markets: A Simple Solution.(2011) In: FMG Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
2012 | Dynamic Hedging in Incomplete Markets: A Simple Solution.(2012) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | article | |
2009 | Dynamic Hedging in Incomplete Markets: A Simple Solution.(2009) In: 2009 Meeting Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 10 | paper | |
1996 | An Intertemporal Model of International Capital Market Segmentation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 16 |
1999 | On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 15 |
1998 | On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis.(1998) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 15 | paper | |
2000 | A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 74 |
2002 | A comparative study of portfolio insurance In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 18 |
2007 | International good market segmentation and financial innovation In: Journal of International Economics. [Full Text][Citation analysis] | article | 1 |
2005 | Asset pricing with heterogeneous beliefs In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 101 |
2008 | Offsetting the implicit incentives: Benefits of benchmarking in money management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 10 |
2001 | Non-linear taxation, tax-arbitrage and equilibrium asset prices In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 3 |
1999 | Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1999 | Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
1999 | Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices In: New York University, Leonard N. Stern School Finance Department Working Paper Seires. [Full Text][Citation analysis] | paper | 226 |
1999 | Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 226 | paper | |
1999 | Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 226 | paper | |
2001 | Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices..(2001) In: Review of Financial Studies. [Citation analysis] This paper has another version. Agregated cites: 226 | article | |
2001 | A General Equilibrium Model of Portfolio Insurance (Reprint 053) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1993 | A General Equilibrium Model of Portfolio Insurance..(1993) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
2001 | An Equilibrium Model with Restricted Stock Market Participation (Reprint 066) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 2 |
1997 | An Equilibrium Model with Restricted Stock Market Participation (Reprint 066).(1997) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 2 | paper | |
1997 | A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk. In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1997 | A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk.(1997) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1998 | Capital Market Equilibrium with Mispricing and Arbitrage Activity In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1998 | Capital Market Equilibrium with Mispricing and Arbitrage Activity.(1998) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1995 | Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1995 | Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062).(1995) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1994 | Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1994 | Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95).(1994) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1995 | An Intertemporal Model of Segmentation (Reprint 056) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] | paper | 0 |
1995 | An Intertemporal Model of Segmentation (Reprint 056).(1995) In: Rodney L. White Center for Financial Research Working Papers. [Citation analysis] This paper has another version. Agregated cites: 0 | paper | |
1999 | Equilibrium Mispricing in a Capital Market with Portfolio Constraints In: Rodney L. White Center for Financial Research Working Papers. [Full Text][Citation analysis] | paper | 45 |
2000 | Equilibrium Mispricing in a Capital Market with Portfolio Constraints..(2000) In: Review of Financial Studies. [Citation analysis] This paper has another version. Agregated cites: 45 | article | |
2004 | Monopoly Power and the Firm€ٳ Valuation: In: Working papers. [Full Text][Citation analysis] | paper | 0 |
1998 | An Equilibrium Model with Restricted Stock Market Participation. In: Review of Financial Studies. [Citation analysis] | article | 214 |
1995 | A General Equilibrium Model of Portfolio Insurance. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 63 |
2006 | Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 2 |
2006 | Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version In: PIER Working Paper Archive. [Full Text][Citation analysis] | paper | 0 |
2016 | A Theory of Operational Risk In: 2016 Meeting Papers. [Full Text][Citation analysis] | paper | 2 |
1997 | Consumption choice and asset pricing with a non-price-taking agent In: Economic Theory. [Full Text][Citation analysis] | article | 6 |
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