18
H index
26
i10 index
1946
Citations
London Business School (LBS) (90% share) | 18 H index 26 i10 index 1946 Citations RESEARCH PRODUCTION: 32 Articles 64 Papers 1 Chapters 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 Economic Dynamics and Control | 4 |
Journal of Financial Economics | 3 |
Journal of Finance | 3 |
Journal of Banking & Finance | 2 |
Economic Theory | 2 |
Working Papers Series with more than one paper published | # docs |
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CEPR Discussion Papers / C.E.P.R. Discussion Papers | 21 |
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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2022 | Carrot and Stick: A Role for Benchmark-Adjusted Compensation in Active Fund Management. (2022). Zapatero, Fernando ; Sotes-Paladino, Juan. In: Working Papers. RePEc:aoz:wpaper:133. Full description at Econpapers || Download paper | |
2022 | Sentiment, Mispricing and Excess Volatility in Presence of Institutional Investors. (2022). Sotes-Paladino, Juan ; Roche, Herve. In: Working Papers. RePEc:aoz:wpaper:205. Full description at Econpapers || Download paper | |
2022 | A Time-Varying Network for Cryptocurrencies. (2021). Tao, Yubo ; Hardle, Wolfgang Karl ; Guo, LI. In: Papers. RePEc:arx:papers:1802.03708. Full description at Econpapers || Download paper | |
2022 | 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 | |
2022 | 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 | |
2022 | Robust Portfolio Selection Problems: A Comprehensive Review. (2021). Ghasemi, Alireza ; Saif, Ahmed ; Ghahtarani, Alireza . In: Papers. RePEc:arx:papers:2103.13806. Full description at Econpapers || Download paper | |
2022 | Risk Concentration and the Mean-Expected Shortfall Criterion. (2021). Wu, Qinyu ; Wang, Ruodu ; Han, Xia. In: Papers. RePEc:arx:papers:2108.05066. Full description at Econpapers || Download paper | |
2022 | Policy Gradient and Actor-Critic Learning in Continuous Time and Space: Theory and Algorithms. (2021). Yu, Xun ; Jia, Yanwei. In: Papers. RePEc:arx:papers:2111.11232. Full description at Econpapers || Download paper | |
2023 | Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553. Full description at Econpapers || Download paper | |
2023 | Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409. Full description at Econpapers || Download paper | |
2023 | Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108. Full description at Econpapers || Download paper | |
2022 | Optimal brokerage contracts in Almgren-Chriss model with multiple clients. (2022). Webster, Kevin ; Nadtochiy, Sergey ; Alvarez, Guillermo Alonso. In: Papers. RePEc:arx:papers:2204.05403. Full description at Econpapers || Download paper | |
2022 | Cone-constrained Monotone Mean-Variance Portfolio Selection Under Diffusion Models. (2022). Zou, Bin ; Shen, Yang. In: Papers. RePEc:arx:papers:2205.15905. Full description at Econpapers || Download paper | |
2022 | Trading constraints in continuous-time Kyle models. (2022). Larsen, Kasper ; Kwon, Heeyoung ; Choi, Jin Hyuk. In: Papers. RePEc:arx:papers:2206.08117. Full description at Econpapers || Download paper | |
2022 | Existence of an equilibrium with limited participation. (2022). Weston, Kim. In: Papers. RePEc:arx:papers:2206.12399. Full description at Econpapers || Download paper | |
2022 | Constrained portfolios in incomplete markets: a dynamic programming approach to Hestons model. (2022). Zagst, Rudi ; Havrylenko, Yevhen ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2208.14152. Full description at Econpapers || Download paper | |
2022 | Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cram\er-Lundberg Model. (2022). Pang, Shunzhi ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2211.12168. Full description at Econpapers || Download paper | |
2023 | Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2212.04394. Full description at Econpapers || Download paper | |
2023 | Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808. Full description at Econpapers || Download paper | |
2023 | Robust portfolio selection under Recovery Average Value at Risk. (2023). Weber, Stefan ; Pluckebaum, Justin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2303.01167. Full description at Econpapers || Download paper | |
2023 | A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968. Full description at Econpapers || Download paper | |
2023 | Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830. Full description at Econpapers || Download paper | |
2023 | Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network. (2023). Liu, Bin ; Wei, LU ; Wang, Yixuan ; Hu, Min ; Tan, Zhizhong. In: Papers. RePEc:arx:papers:2303.16532. Full description at Econpapers || Download paper | |
2023 | Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297. Full description at Econpapers || Download paper | |
2023 | The optimal reinsurance strategy with price-competition between two reinsurers. (2023). Abd, Jingzhen Liu ; Liu, Fangda ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2305.00509. Full description at Econpapers || Download paper | |
2023 | Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166. Full description at Econpapers || Download paper | |
2023 | Time-Consistent Asset Allocation for Risk Measures in a L\evy Market. (2023). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2305.09471. Full description at Econpapers || Download paper | |
2023 | Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539. Full description at Econpapers || Download paper | |
2023 | Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach. (2023). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Papers. RePEc:arx:papers:2306.16982. Full description at Econpapers || Download paper | |
2023 | On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type. (2023). Pun, Chi Seng ; Lei, Qian. In: Papers. RePEc:arx:papers:2307.01986. Full description at Econpapers || Download paper | |
2023 | Non-Concave Utility Maximization with Transaction Costs. (2023). Yang, Chen ; Qian, Shuaijie. In: Papers. RePEc:arx:papers:2307.02178. Full description at Econpapers || Download paper | |
2023 | D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556. Full description at Econpapers || Download paper | |
2022 | The Financial Origins of Non-fundamental Risk. (2022). Singh, Sanjay ; Dogra, Keshav ; Acharya, Sushant. In: Staff Working Papers. RePEc:bca:bocawp:22-4. Full description at Econpapers || Download paper | |
2022 | Do Heterogeneous Beliefs Matter to Post?announcement Informed Trading?. (2022). Chen, Tao ; Karathanasopoulos, Andreas. In: Abacus. RePEc:bla:abacus:v:58:y:2022:i:4:p:714-741. Full description at Econpapers || Download paper | |
2022 | Investor learning and mutual fund flows. (2022). Yan, Hong ; Wei, Kelsey D ; Huang, Jennifer. In: Financial Management. RePEc:bla:finmgt:v:51:y:2022:i:3:p:739-765. Full description at Econpapers || Download paper | |
2023 | Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342. Full description at Econpapers || Download paper | |
2022 | Financial investments and commodity prices. (2022). Xu, David Xiaoyu ; Qiu, Zhigang ; Liu, Peng. In: International Review of Finance. RePEc:bla:irvfin:v:22:y:2022:i:4:p:637-661. Full description at Econpapers || Download paper | |
2023 | Linkages between natural gas, fertiliser and cereal prices: A note. (2023). Baek, Jungho ; Miljkovic, Dragan ; Vatsa, Puneet. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:3:p:935-940. Full description at Econpapers || Download paper | |
2022 | Commodity Financialization and Information Transmission. (2022). Yang, Liyan ; Goldstein, Itay. In: Journal of Finance. RePEc:bla:jfinan:v:77:y:2022:i:5:p:2613-2667. Full description at Econpapers || Download paper | |
2023 | Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486. Full description at Econpapers || Download paper | |
2022 | Optimal fund menus. (2022). Hugonnier, Julien ; Cvitani, Jaka. In: Mathematical Finance. RePEc:bla:mathfi:v:32:y:2022:i:2:p:455-516. Full description at Econpapers || Download paper | |
2022 | Real estate as a new equity market sector: Market responses and return comovement. (2022). Xu, Xiaoqing Eleanor ; Xie, Kangzhen ; Tang, Hongfei . In: Real Estate Economics. RePEc:bla:reesec:v:50:y:2022:i:2:p:431-467. Full description at Econpapers || Download paper | |
2022 | Nonlinear spillover and portfolio allocation characteristics of energy equity sectors: Evidence from the United States and Canada. (2022). Yoon, Seong-Min ; Kang, Sang Hoon ; Hernandez, Jose Arreola ; Arreolahernandez, Jose. In: Review of International Economics. RePEc:bla:reviec:v:30:y:2022:i:1:p:1-33. Full description at Econpapers || Download paper | |
2022 | Size discount and size penalty: trading costs in bond markets. (2022). Zou, Junyuan ; Wang, Chaojun ; Pinter, Gabor. In: Bank of England working papers. RePEc:boe:boeewp:0970. Full description at Econpapers || Download paper | |
2022 | Is the Tracking Error Time-Varying? Evidence from Agricultural ETCs. (2022). Biakowski, Jdrzej ; Perera, Devmali ; Bohl, Martin T. In: Working Papers in Economics. RePEc:cbt:econwp:22/13. Full description at Econpapers || Download paper | |
2022 | Inattentive Price Discovery in ETFs. (2022). Mikhalishchev, Sergei ; Kosar, Mariia. In: CERGE-EI Working Papers. RePEc:cer:papers:wp735. Full description at Econpapers || Download paper | |
2022 | Commodity Price Effects on Currencies. (2022). Wang, Wenhao ; Cheung, Yin-Wong. In: CESifo Working Paper Series. RePEc:ces:ceswps:_9967. Full description at Econpapers || Download paper | |
2022 | On Foreign Drivers of EMEs Fluctuations. (2022). Wlasiuk, Juan M ; Lorca, Jorge ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:951. Full description at Econpapers || Download paper | |
2022 | Global Drivers and Macroeconomic Volatility in EMEs: a Dynamic Factor, General Equilibrium Perspective. (2022). Garcia, Benjamin ; Wlasiuk, Juan Marcos ; Paillacar, Manuel ; Lorca, Jorge ; Fuentes, Miguel ; Fernandez, Andres ; Bajraj, Gent. In: Working Papers Central Bank of Chile. RePEc:chb:bcchwp:963. Full description at Econpapers || Download paper | |
2022 | Foreign bias in equity portfolios: Informational advantage or familiarity bias?. (2022). Vanpe, Rosanne ; Sercu, Piet ; Cooper, Ian ; Boermans, Martijn . In: Working Papers. RePEc:dnb:dnbwpp:742. Full description at Econpapers || Download paper | |
2022 | Business Cycles with Cyclical Returns to Scale. (2022). Kim, Ryan ; Hyun, Jay ; Lee, Byoungchan. In: ISER Discussion Paper. RePEc:dpr:wpaper:1178. Full description at Econpapers || Download paper | |
2022 | Commodity currencies revisited: The role of global commodity price uncertainty. (2022). Ferrara, Laurent ; Karadimitropoulou, Aikaterina ; Triantafyllou, Athanasios ; Bermpei, Theodora. In: EconomiX Working Papers. RePEc:drm:wpaper:2022-24. Full description at Econpapers || Download paper | |
2022 | On the Effectiveness of Stock Index Futures for Tail Risk Protection. (2022). Zouari, Hammadi. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2022-03-5. Full description at Econpapers || Download paper | |
2023 | Estimated Impact of Covid-19 on Exchange Rate Risk of Multinational Enterprises Operating in Emerging Markets. (2023). Khazeh, Kashi ; Manakyan, Herman ; Arvi, Leonard. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-04-4. Full description at Econpapers || Download paper | |
2022 | Polynomial affine approach to HARA utility maximization with applications to OrnsteinUhlenbeck 4/2 models.. (2022). Escobar-Anel, Marcos ; Zhu, Yichen. In: Applied Mathematics and Computation. RePEc:eee:apmaco:v:418:y:2022:i:c:s009630032100919x. Full description at Econpapers || Download paper | |
2022 | Corporate hedging and the variance of stock returns. (2022). Brownlees, Christian ; Ippolito, Filippo ; Biguri, Kizkitza. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002698. Full description at Econpapers || Download paper | |
2022 | Does individualism matter for hedge funds? A cross-country examination. (2022). Brauner, Aaron ; Nahata, Rajarishi ; Dai, NA. In: Journal of Corporate Finance. RePEc:eee:corfin:v:72:y:2022:i:c:s0929119921002777. Full description at Econpapers || Download paper | |
2022 | Competition and equilibrium effort choice. (2022). Xu, Jing. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:137:y:2022:i:c:s0165188922000367. Full description at Econpapers || Download paper | |
2022 | Risk pooling, intermediation efficiency, and the business cycle. (2022). Pelizzon, Loriana ; Modena, Andrea ; Dindo, Pietro. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:144:y:2022:i:c:s0165188922002044. Full description at Econpapers || Download paper | |
2022 | Dynamic asset pricing in delegated investment: An investigation from the perspective of heterogeneous beliefs of institutional and retail investors. (2022). Yang, Jun ; Bian, Yun ; Xu, SI ; Sheng, Jiliang. In: Economic Modelling. RePEc:eee:ecmode:v:107:y:2022:i:c:s0264999321003059. Full description at Econpapers || Download paper | |
2022 | Price impact, strategic interaction and portfolio choice. (2022). Curatola, Giuliano. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:59:y:2022:i:c:s1062940821001959. Full description at Econpapers || Download paper | |
2022 | Heterogenous beliefs with sentiments and asset pricing. (2022). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001590. Full description at Econpapers || Download paper | |
2023 | Information asymmetry, sentiment interactions, and asset price. (2023). Zhang, Weiguo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000438. Full description at Econpapers || Download paper | |
2022 | A score statistic for testing the presence of a stochastic trend in conditional variances. (2022). LINTON, OLIVER ; Sun, Jiajing ; McCabe, Brendan ; Hong, Yongmiao. In: Economics Letters. RePEc:eee:ecolet:v:213:y:2022:i:c:s0165176522000660. Full description at Econpapers || Download paper | |
2023 | A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444. Full description at Econpapers || Download paper | |
2022 | Near-optimal asset allocation in financial markets with trading constraints. (2022). Pelsser, Antoon ; Kamma, Thijs. In: European Journal of Operational Research. RePEc:eee:ejores:v:297:y:2022:i:2:p:766-781. Full description at Econpapers || Download paper | |
2023 | Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886. Full description at Econpapers || Download paper | |
2023 | Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792. Full description at Econpapers || Download paper | |
2022 | Other peoples money: A comparison of institutional investors. (2022). Sensoy, Ahmet ; Ozdamar, Melisa ; Omole, John ; Eraslan, Veysel. In: Emerging Markets Review. RePEc:eee:ememar:v:53:y:2022:i:c:s1566014122000310. Full description at Econpapers || Download paper | |
2022 | The impact of liquidity risk in the Chinese banking system on the global commodity markets. (2022). Santos, Francisco ; Kim, Jihee ; Jo, Yonghwan. In: Journal of Empirical Finance. RePEc:eee:empfin:v:66:y:2022:i:c:p:23-50. Full description at Econpapers || Download paper | |
2023 | Disagreement, speculation, and the idiosyncratic volatility. (2023). Jiang, Ying ; Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:232-250. Full description at Econpapers || Download paper | |
2022 | Economic importance of correlations for energy and other commodities. (2022). Narayan, Paresh Kumar ; Bannigidadmath, Deepa. In: Energy Economics. RePEc:eee:eneeco:v:107:y:2022:i:c:s0140988322000408. Full description at Econpapers || Download paper | |
2022 | Extreme price co-movement of commodity futures and industrial production growth: An empirical evaluation. (2022). Pantelous, Athanasios A ; Xie, Yuxin ; Wen, Xiaoqian. In: Energy Economics. RePEc:eee:eneeco:v:108:y:2022:i:c:s0140988322000950. Full description at Econpapers || Download paper | |
2022 | The dynamic impact among oil dependence volatility, the quality of political institutions, and government spending. (2022). Zhu, Xiaoxian ; Pazouki, Azadeh. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005126. Full description at Econpapers || Download paper | |
2022 | Marionettes behind co-movement of commodity prices: Roles of speculative and hedging activities. (2022). Gong, XU ; Wen, Fenghua ; Wu, Nan. In: Energy Economics. RePEc:eee:eneeco:v:115:y:2022:i:c:s0140988322005151. Full description at Econpapers || Download paper | |
2023 | Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758. Full description at Econpapers || Download paper | |
2023 | A threshold effect of COVID-19 risk on oil price returns. (2023). Wang, YU ; Suo, Chenyi ; Li, Delong ; Sun, Yiguo. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001160. Full description at Econpapers || Download paper | |
2023 | Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x. Full description at Econpapers || Download paper | |
2022 | Stock returns, trading volume, and volatility: The case of African stock markets. (2022). Ngene, Geoffrey M ; Mungai, Ann Nduati. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s1057521922001399. Full description at Econpapers || Download paper | |
2022 | Commodity markets dynamics: What do cross-commodities over different nearest-to-maturities tell us?. (2022). Ben Amar, Amine ; Goutte, Stephane ; Isleimeyyeh, Mohammad ; Benkraiem, Ramzi. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200151x. Full description at Econpapers || Download paper | |
2022 | Systemic risk of commodity markets: A dynamic factor copula approach. (2022). Ouyang, Ruolan ; Zhao, Yang ; Fang, YI ; Chen, Xiang. In: International Review of Financial Analysis. RePEc:eee:finana:v:82:y:2022:i:c:s105752192200165x. Full description at Econpapers || Download paper | |
2023 | An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145. Full description at Econpapers || Download paper | |
2023 | Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455. Full description at Econpapers || Download paper | |
2023 | Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844. Full description at Econpapers || Download paper | |
2022 | Prices of derivative warrants considering their market characteristics and short-selling costs of underlying assets. (2022). Lee, Soonhee ; Bae, Kwangil. In: Finance Research Letters. RePEc:eee:finlet:v:45:y:2022:i:c:s154461232100249x. Full description at Econpapers || Download paper | |
2022 | Extreme risk spillover between crude oil price and financial factors. (2022). Ji, Qiang ; Fan, Ying ; Zhao, Wan-Li. In: Finance Research Letters. RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003457. Full description at Econpapers || Download paper | |
2022 | The impact of oil price shocks on the risk-return relation in the Chinese stock market. (2022). Yue, Wei ; Xiao, Jihong ; Zhang, Minzhi ; Wen, Fenghua. In: Finance Research Letters. RePEc:eee:finlet:v:47:y:2022:i:pb:s1544612322001003. Full description at Econpapers || Download paper | |
2023 | Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387. Full description at Econpapers || Download paper | |
2023 | Market power, ambiguity, and market participation. (2023). Zhang, Shunming ; Wang, Yanyi ; Qiu, Zhigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000520. Full description at Econpapers || Download paper | |
2022 | Risk shifting and regulatory arbitrage: Evidence from operational risk. (2022). Ebrahim, Alireza ; Clark, Brian. In: Journal of Financial Stability. RePEc:eee:finsta:v:58:y:2022:i:c:s1572308921001212. Full description at Econpapers || Download paper | |
2022 | Risk premia, asset price bubbles, and monetary policy. (2022). Lamichhane, Sujan ; Jarrow, Robert. In: Journal of Financial Stability. RePEc:eee:finsta:v:60:y:2022:i:c:s157230892200033x. Full description at Econpapers || Download paper | |
2022 | Mutual fund tournaments and fund Active Share. (2022). Tong, Lin ; Tiwari, Ashish ; Li, Wei C. In: Journal of Financial Stability. RePEc:eee:finsta:v:63:y:2022:i:c:s1572308922001048. Full description at Econpapers || Download paper | |
2023 | Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. (2023). Xu, Zuo Quan ; Mi, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:82-105. Full description at Econpapers || Download paper | |
2022 | Small innovators: No risk, No return. (2022). Yavuz, Deniz M ; Woeppel, Michael ; Stoffman, Noah. In: Journal of Accounting and Economics. RePEc:eee:jaecon:v:74:y:2022:i:1:s0165410122000155. Full description at Econpapers || Download paper | |
2022 | Heterogeneous beliefs in macroeconomic growth prospects and the carry risk premium. (2022). Park, Sunjin. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:136:y:2022:i:c:s0378426621003447. Full description at Econpapers || Download paper | |
2023 | Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679. Full description at Econpapers || Download paper | |
2022 | Endogenous habits and equilibrium asset prices. (2022). Seifried, Frank Thomas ; Meyer-Wehmann, Andre ; Kraft, Holger. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:197:y:2022:i:c:p:279-300. Full description at Econpapers || Download paper | |
2022 | Strategic risk-taking in dynamic contests. (2022). Usvitskiy, Alexander. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:198:y:2022:i:c:p:511-534. Full description at Econpapers || Download paper | |
2022 | Expected return, volume, and mispricing. (2022). Zhou, Guofu ; Huang, Dayong ; Han, Yufeng. In: Journal of Financial Economics. RePEc:eee:jfinec:v:143:y:2022:i:3:p:1295-1315. Full description at Econpapers || Download paper | |
2022 | On index investing. (2022). Ringgenberg, Matthew C ; Heath, Davidson ; Coles, Jeffrey L. In: Journal of Financial Economics. RePEc:eee:jfinec:v:145:y:2022:i:3:p:665-683. Full description at Econpapers || Download paper | |
More than 100 citations found, this list is not complete... |
Year | Title | Type | Cited |
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2009 | Strategic Asset Allocation in Money Management In: Working Papers. [Full Text][Citation analysis] | paper | 34 |
2014 | Strategic Asset Allocation in Money Management.(2014) In: Journal of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | article | |
2009 | Strategic Asset Allocation in Money Management.(2009) In: Working Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2011 | Strategic Asset Allocation in Money Management.(2011) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 34 | paper | |
2010 | Difference in Interim Performance and Risk Taking with Short-sale Constraints In: Working Papers. [Full Text][Citation analysis] | paper | 14 |
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: 14 | 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: 14 | 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: 14 | 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 | 135 |
2012 | Asset Prices and Institutional Investors.(2012) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 135 | paper | |
2016 | A Model of Financialization of Commodities In: Journal of Finance. [Full Text][Citation analysis] | article | 205 |
2015 | A Model of Financialization of Commodities.(2015) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 205 | paper | |
2018 | Belief Dispersion in the Stock Market In: Journal of Finance. [Full Text][Citation analysis] | article | 44 |
2017 | Belief Dispersion in the Stock Market.(2017) In: CEPR Discussion Papers. [Full Text][Citation analysis] This paper has another version. Agregated cites: 44 | paper | |
1999 | Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two?Country Dynamic Monetary Equilibrium In: Mathematical Finance. [Full Text][Citation analysis] | article | 23 |
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: 23 | 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: 23 | 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: 23 | paper | |
Capital Market Equilibrium with Differential Taxation In: GSIA Working Papers. [Full Text][Citation analysis] | paper | 12 | |
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: 12 | paper | |
2003 | Capital Market Equilibrium with Differential Taxation.(2003) In: Review of Finance. [Full Text][Citation analysis] This paper has another version. Agregated cites: 12 | article | |
2018 | Option Prices and Costly Short-Selling In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 4 |
2019 | Option prices and costly short-selling.(2019) In: Journal of Financial Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 4 | article | |
2019 | Investor Protection and Asset Prices In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2019 | Investor protection and asset prices.(2019) In: LSE Research Online Documents on Economics. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | paper | |
2019 | Investor Protection and Asset Prices.(2019) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | article | |
2020 | Security Design with Status Concerns In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 3 |
2020 | Security design with status concerns.(2020) In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] This paper has another version. Agregated cites: 3 | 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 | 5 |
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: 5 | 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: 5 | article | |
2005 | Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies.(2005) In: Studies in Economic Theory. [Citation analysis] This paper has another version. Agregated cites: 5 | chapter | |
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 | 25 |
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: 25 | article | |
2005 | Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
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: 18 | 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: 18 | paper | |
2005 | Risk Management with Benchmarking In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 9 |
2006 | Optimal Asset Allocation and Risk Shifting in Money Management In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 101 |
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: 101 | article | |
2006 | Multiplicity in General Financial Equilibrium with Portfolio Constraints In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 10 |
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: 10 | article | |
2009 | Dynamic Mean-Variance Asset Allocation In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 184 |
2010 | Dynamic Mean-Variance Asset Allocation.(2010) In: Review of Financial Studies. [Full Text][Citation analysis] This paper has another version. Agregated cites: 184 | article | |
2009 | Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 29 |
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: 29 | article | |
2011 | Dynamic Hedging in Incomplete Markets: A Simple Solution In: CEPR Discussion Papers. [Full Text][Citation analysis] | paper | 18 |
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: 18 | 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: 18 | paper | |
1996 | An Intertemporal Model of International Capital Market Segmentation In: Journal of Financial and Quantitative Analysis. [Full Text][Citation analysis] | article | 17 |
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 | 16 |
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: 16 | 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 | 98 |
2002 | A comparative study of portfolio insurance In: Journal of Economic Dynamics and Control. [Full Text][Citation analysis] | article | 21 |
2007 | International good market segmentation and financial innovation In: Journal of International Economics. [Full Text][Citation analysis] | article | 2 |
2005 | Asset pricing with heterogeneous beliefs In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 128 |
2008 | Offsetting the implicit incentives: Benefits of benchmarking in money management In: Journal of Banking & Finance. [Full Text][Citation analysis] | article | 15 |
2001 | Non-linear taxation, tax-arbitrage and equilibrium asset prices In: Journal of Mathematical Economics. [Full Text][Citation analysis] | article | 5 |
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: 5 | 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: 5 | 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 | 315 |
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: 315 | 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: 315 | 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: 315 | 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 | 1 |
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: 1 | 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 | 62 |
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: 62 | article | |
2006 | Risk Management with Benchmarking In: Management Science. [Full Text][Citation analysis] | article | 31 |
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 | 255 |
1995 | A General Equilibrium Model of Portfolio Insurance. In: Review of Financial Studies. [Full Text][Citation analysis] | article | 77 |
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 | 3 |
1997 | Consumption choice and asset pricing with a non-price-taking agent In: Economic Theory. [Full Text][Citation analysis] | article | 10 |
CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated November, 3 2023. Contact: CitEc Team