Browse by JEL codes

A

Accominotti, Olivier (2009) The sterling trap: foreign reserves management at the Bank of France, 1928–1936. European Review of Economic History, 13 (03). pp. 349-376. ISSN 1474-0044

Airoldi, Mara and Morton, Alec (2011) Portfolio decision analysis for population health. In: Salo, Ahti, Morton, Alec and Keisler, Jeffrey, (eds.) Portfolio Decision Analysis: Improved Methods for Resource Allocation. International series in operations research & management science. Springer, New York, USA, pp. 149-168. ISBN 9781441999429

An, Li, Lou, Dong ORCID: 0000-0002-5623-4338 and Shi, Donghui (2022) Wealth redistribution in bubbles and crashes. Journal of Monetary Economics, 126. 134 - 153. ISSN 0304-3932

Andrikogiannopoulou, Angie and Papakonstantinou, Filippos (2017) Individual reaction to past performance sequences: evidence from a real marketplace. Management Science, 64 (4). pp. 1957-1973. ISSN 0025-1909

Aretz, Kevin, Bartram, Söhnke M. and Pope, Peter (2010) Macroeconomic risks and characteristic-based factor models. Journal of Banking and Finance, 34 (6). pp. 1383-1399. ISSN 0378-4266

Aretz, Kevin and Pope, Peter (2013) Common factors in default risk across countries and industries. European Financial Management, 19 (1). pp. 108-152. ISSN 1354-7798

Argyris, Nikolaos, Figueira, José Rui and Morton, Alec (2011) Interactive multicriteria methods in portfolio decision analysis. In: Salo, Ahti, Keisler, Jeffrey and Morton, Alec, (eds.) Portfolio Decision Analysis: Improved Methods for Resource Allocation. International series in operations research & management science. Springer, New York, USA, pp. 107-130. ISBN 9781441999429

Aspachs, Oriol, Goodhart, Charles, Tsomocos, Dimitrios P. and Zicchino, Lea (2006) Towards a measure of financial fragility. Financial Markets Group Discussion Papers (554). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Aymanns, Christoph, Caccioli, Fabio, Farmer, J. Doyne and Tan, Vincent W.C. (2015) Taming the Basel leverage cycle. Systemic Risk Centre Discussion Papers (42). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Aymanns, Christoph, Caccioli, Fabio, Farmer, J. Doyne and Tan, Vincent W.C. (2016) Taming the Basel leverage cycle. Journal of Financial Stability, 27. pp. 263-277. ISSN 1572-3089

B

Basak, Suleyman and Chabakauri, Georgy (2012) Dynamic hedging in incomplete markets: a simple solution. Review of Financial Studies, 25 (6). pp. 1845-1896. ISSN 0893-9454

Basak, Suleyman and Chabakauri, Georgy (2010) Dynamic mean-variance asset allocation. Review of Financial Studies, 23 (8). pp. 2970-3016. ISSN 0893-9454

Bauerle, N. and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2011) Einblicke in die Finanzmathematik: Optionsbewertung und Portfolio-Optimierung. In: Wendland, Katrin and Werner, Annette, (eds.) Facettenreiche Mathematik: Einblicke in Die Moderne Mathematische Forschung Für Alle, Die Mehr Von Mathematik Verstehen Wollen. Vieweg & Teubner. ISBN 9783834814142

Benedetti, Giuseppe, Campi, Luciano, Kallsen, Jan and Muhle-Karbe, Johannes (2013) On the existence of shadow prices. Finance and Stochastics, 17 (4). pp. 801-818. ISSN 0949-2984

Benigno, Gianluca and Kucuk, H. (2012) Portfolio allocation and international risk sharing. Canadian Journal of Economics, 45 (2). pp. 535-565. ISSN 0008-4085

Bergeaud, Antonin, Eyméoud, Jean Benoît, Garcia, Thomas and Henricot, Dorian (2023) Working from home and corporate real estate. Regional Science and Urban Economics, 99. ISSN 0166-0462

Bergeaud, Antonin, Eyméoud, Jean-Benoît, Garcia, Thomas and Henricot, Dorian (2022) Working from home and corporate real estate. CEP Discussion Papers (1831). Centre for Economic Performance, London School of Economics and Political Science, London, UK.

Beyer, Max, de Meza, David and Reyniers, Diane J. (2013) Do financial advisor commissions distort client choice? Economics Letters, 119 (2). pp. 117-119. ISSN 0165-1765

Bhattacharya, Sudipto (2008) Introduction to mutual funds. In: Thakor, Anjan V. and Boot, Arnoud W. A., (eds.) Handbook of Financial Intermediation and Banking. Handbooks in finance. London, pp. 189-190. ISBN 9780444515582

Bijapur, Mohan, Croci, Manuela and Zaidi, Rida (2012) Do asset regulations impede portfolio diversification? evidence from European life insurance funds. . Social Science Electronic Publishing, Inc., New York, USA.

Blake, David (2003) Financial system requirements for successful pension reform. Financial Markets Group Discussion Papers (463). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Blake, David (2003) Modelling the composition of personal sector wealth in the United Kingdom. Financial Markets Group Discussion Papers (466). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bottazzi, Giulio, Cordoni, Francesco, Livieri, Giulia and Marmi, Stefano (2023) Uncertainty in firm valuation and a cross-sectional misvaluation measure. Annals of Finance, 19 (1). 63 - 93. ISSN 1614-2446

Boucher, Christophe M., Danielsson, Jon, Kouontchou, Patrick S. and Maillet, Bertrand B. (2014) Risk models–at–risk. Systemic Risk Centre Discussion Papers (8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Bracke, Philippe and Hilber, Christian A. L. (2012) Homeownership and entrepreneurship. SERC discussion paper (SERCDP0103). Spacial Economics Research Centre, London School of Economics and Political Science, London, UK.

Bracke, Philippe, Hilber, Christian A. L. and Silva, Olmo (2012) Homeownerhip and entrepreneurship. SERC Discussion Papers (SERCDP0103). Spatial Economics Research Centre (SERC), London School of Economics and Political Science, London, UK.

Bracke, Philippe, Hilber, Christian A. L. and Silva, Olmo (2014) Homeownership and entrepreneurship: the role of mortgage debt and commitment. CESifo Working Paper (5048). CESifo, Munich, Germany.

Bretscher, Lorenzo, Julliard, Christian and Rosa, Carlo (2015) Human capital and international portfolio diversification: a reappraisal. Systemic Risk Centre Discussion Papers (48). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Briola, Antonio, Vidal-Tomás, David, Wang, Yuanrong and Aste, Tomaso (2023) Anatomy of a stablecoin's failure: the Terra-Luna case. Finance Research Letters, 51. ISSN 1544-6123

Brunnermeier, Markus K. and Parker, Jonathan A. (2002) Optimal expectations. Financial Markets Group Discussion Papers (434). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bustamante, Maria Cecilia (2011) How do frictions affect corporate investment?: a structural approach. Working Paper Series (08-47). Swiss Finance Institute, Switzerland.

Bustamante, Maria Cecilia (2011) Strategic investment, industry concentration and the cross section of returns. Financial Markets Group Discussion Papers (681). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Bustamante, Maria Cecilia (2008) What do frictions mean for Q-theory testing? Swiss Finance Institute Research Paper Series (08-47). Swiss Finance Institute.

Bustamante, Maria Cecilia and Donangelo, Andres (2014) Product market competition and industry returns. . Social Science Research Network (SSRN), London, UK.

C

Caggese, Andrea and Cuñat, Vicente ORCID: 0000-0001-7504-2801 (2012) Financing constraints, firm dynamics, export decisions, and aggregate productivity. Review of Economic Dynamics, 16 (1). pp. 177-193. ISSN 1094-2025

Cairns, Andrew J. G., Blake, David and Dowd, Kevin (2004) Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Financial Markets Group Discussion Papers (443). Financial Markets Group, The London School of Economics and Political Science, London, UK. (Submitted)

Campbell, John and Martin, Ian (2021) Sustainability in a risky world. Financial Markets Group Discussion Papers (830). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Chabakauri, Georgy (2015) Dynamic equilibrium with rare events and heterogeneous Epstein-Zin investors. Working papers. Social Science Research Network (SSRN), Rochester, USA.

Chabakauri, Georgy (2015) Dynamic equilibrium with rare events and heterogeneous epstein-zin investors. Systemic Risk Centre Discussion Papers (35). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Chavas, Jean-Paul and Di Falco, Salvatore (2011) On the role of risk versus economies of scope in farm diversification with an application to Ethiopian farms. Journal of Agricultural Economics, 63 (1). pp. 25-55. ISSN 0021-857X

Chen, Huaizhi, Cohen, Lauren, Gurun, Umit, Lou, Dong ORCID: 0000-0002-5623-4338 and Malloy, Christopher (2020) IQ from IP: simplifying search in portfolio choice. Journal of Financial Economics, 138 (1). 118 - 137. ISSN 0304-405X

Cho, Thummim (2020) Turning alphas into betas: arbitrage and endogenous risk. Journal of Financial Economics, 137 (2). 550 - 570. ISSN 0304-405X

Cho, Thummim (2018) Turning alphas into betas: arbitrage and the cross-section of risk. Financial Markets Group Discussion Papers (780). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Cohen, Lauren and Lou, Dong ORCID: 0000-0002-5623-4338 (2012) Complicated firms. Journal of Financial Economics, 104 (2). pp. 383-400. ISSN 0304-405X

Cui, Wei (2017) Macroeconomic effects of delayed capital liquidation. CFM discussion paper series (CFM-DP2017-19). Centre For Macroeconomics, London, UK.

Cunat, Alejandro and Fons-Rosen, Christian (2008) Relative factor endowments and international portfolio choice. CEPDP (879). Centre for Economic Performance, London School of Economics and Political Science, London, UK. ISBN 9780853282860

Czichowsky, Christoph (2013) Time-consistent mean-variance portfolio selection in discrete and continuous time. Finance and Stochastics, 17 (2). pp. 227-271. ISSN 0949-2984

Czichowsky, Christoph, Muhle-Karbe, Johannes and Schachermayer, Walter (2013) Transaction costs and shadow prices in discrete time. . The London School of Economics and Political Science, Department of Mathematics, London, UK.

Czichowsky, Christoph and Schachermayer, Walter (2016) Duality theory for portfolio optimisation under transaction costs. Annals of Applied Probability, 26 (3). pp. 1888-1941. ISSN 1050-5164

Czichowsky, Christoph and Schachermayer, Walter (2017) Portfolio optimisation beyond semimartingales: shadowprices and fractional Brownian motion. Annals of Applied Probability, 27 (3). pp. 1414-1451. ISSN 1050-5164

Czichowsky, Christoph, Schachermayer, Walter and Yang, Junjian (2017) Shadow prices for continuous processes. Mathematical Finance, 27 (3). pp. 623-658. ISSN 0960-1627

Czichowsky, Christoph Johannes, Peyre, Rémi, Schachermayer, Walter and Yang, Junjian (2018) Shadow prices, fractional Brownian motion, and portfolio optimisation under transaction costs. Finance and Stochastics, 22 (1). pp. 161-180. ISSN 0949-2984

D

Danielsson, Jon, Jorgensen, Bjorn N., Vries, Casper G. and Yang, Xiaoguang (2008) Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation. Annals of Finance, 4 (3). pp. 345-367. ISSN 1614-2446

Danielsson, Jon, Jorgensen, Bjørn N., Sarma, Mandira and Vries, C. G. de (2005) Comparing downside risk measures for heavy tailed distribution. Financial Markets Group Discussion Papers (551). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Danielsson, Jon, Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231, Jorgensen, Bjørn N., Sarma, Mandira and de Vries, C. G. (2006) Consistent measures of risk. Financial Markets Group Discussion Papers (565). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Dasgupta, Amil ORCID: 0000-0001-8474-9470 and Maug, Ernst (2022) Delegation chains. Financial Markets Group Discussion Papers (858). Financial Markets Group, The London School of Economics and Political Science, London, UK.

E

Eggers, Andrew C. and Hainmueller, Jens (2013) Capitol losses: the mediocre performance of Congressional stock portfolios. Journal of Politics, 75 (2). pp. 535-551. ISSN 0022-3816

Ellis, Andrew ORCID: 0000-0002-7552-4832 and Piccione, Michele (2017) Correlation misperception in choice. American Economic Review, 107 (4). pp. 1264-1292. ISSN 0002-8282

Ellul, Andrew, Jotikasthira, Chotibhak, Lundblad, Christian T. and Wang, Yihui (2013) Mark-to-market accounting and systemic risk: evidence from the insurance industry. Systemic Risk Centre Discussion Papers (4). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

F

Fasolo, Barbara, von Winterfeldt, Detlof and Morton, Alec (2011) Behavioural issues in portfolio decision analysis. In: Salo, Ahti, Morton, Alec and Keisler, Jeffrey, (eds.) Portfolio Decision Analysis: Improved Methods for Resource Allocation. International series in operations research & management science. Springer, New York, USA, pp. 149-168. ISBN 9781441999429

Favilukis, Jack, Ludvigson, Sydney C. and Van Nieuwerburgh, Stijn (2012) Foreign ownership of U.S. safe assets: good or bad? Finance working papers (FIN-11-057). Leonard N. Stern School of Business, New York University, New York, USA.

Favilukis, Jack, Ludvigson, Sydney C. and Van Nieuwerburgh, Stijn (2012) The macroeconomic effects of housing wealth, housing finance, and limited risk-sharing in general equilibrium. Finance working papers (FIN-11-054). Leonard N. Stern School of Business, New York University, New York, USA.

Ferreira, Daniel and Adams, Renee B (2007) A theory of friendly boards. Journal of Finance, 62 (1). pp. 217-250. ISSN 0022-1082

Florou, Annita and Pope, Peter (2012) Mandatory IFRS adoption and institutional investment decisions. Accounting Review, 87 (6). pp. 1993-2025. ISSN 0001-4826

Foldes, Lucien (1990) Certainty equivalence in the continuous-time portfolio-cum-saving model. Financial Markets Group Discussion Papers (95). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Foldes, Lucien (1989) Conditions for optimality in the infinite-horizon portfolio-cum-saving problem with semimartingale investments. Financial Markets Group Discussion Papers (53). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Foldes, Lucien (1991) Existence and uniqueness of an optimum in the infinite-horizon portfolio-cum-saving model with semimartingale investments. Financial Markets Group Discussion Papers (109). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Foldes, Lucien (1990) Optimal sure portfolio plans. Financial Markets Group Discussion Papers (106). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Freeman, Mark C. and Groom, Ben (2014) Using equity premium survey data to estimate future wealth. Review of Quantitative Finance and Accounting, 45 (4). pp. 665-963. ISSN 0924-865X

Fricke, Daniel and Roukny, Tarik (2020) Generalists and specialists in the credit market. Journal of Banking and Finance, 112. ISSN 0378-4266

G

Gandy, Axel and Veraart, Luitgard A. M. ORCID: 0000-0003-1183-2227 (2013) The effect of estimation in high-dimensional portfolios. Mathematical Finance, 23 (3). pp. 531-559. ISSN 0960-1627

Gomes, Francisco and Michaelides, Alexander (2008) Asset pricing with limited risk sharing and heterogeneous agents. Review of Financial Studies, 21 (1). pp. 415-448. ISSN 0893-9454

Gomes, Francisco and Michaelides, Alexander (2007) Asset pricing with limited risk sharing and heterogeneous agents. . Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2005) Asset pricing with limited risk sharing and heterogeneous agents. In: 15th Utah Winter Finance Conference, 2005-02-10 - 2005-02-12. (Submitted)

Gomes, Francisco and Michaelides, Alexander (2005) Asset pricing with limited risk sharing and heterogeneous agents. Financial Markets Group Discussion Papers (537). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gomes, Francisco and Michaelides, Alexander (2005) Optimal life-cycle asset allocation: understanding the empirical evidence. . Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2003) Optimal life-cycle asset allocation: understanding the empirical evidence. Financial Markets Group Discussion Papers (474). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gomes, Francisco and Michaelides, Alexander (2003) Portfolio choice with internal habit formation: a life-cycle model with uninsurable labour income risk. . Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2004) A human capital explanation for an asset allocation puzzle? Financial Markets Group Discussion Papers (491). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gomes, Francisco, Michaelides, Alexander and Polkovnichenko, Valery (2004) Portfolio choice and wealth accumulation with taxable and tax-deferred accounts. Financial Markets Group Discussion Papers (519). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Gomes, Francisco, Michaelides, Alexander and Polkovnichenko, Valery (2005) Wealth accumulation and portfolio choice with taxable and tax-deferred accounts. . Centre for Economic Policy Research, London, UK.

Gomes, Francisco J. and Michaelides, Alexander (2003) Portfolio choice with internal habit formation : a life-cycle model with uninsurable labor income risk. Review of Economic Dynamics, 6 (4). pp. 729-766. ISSN 1096-6099

Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A risk assessment model for banks. Financial Markets Group Discussion Papers (504). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A time series analysis of financial fragility in the UK banking system. Financial Markets Group Discussion Papers (517). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Goriaev, A., Palomino, Frédéric and Prat, Andrea (2000) Mutual fund tournament: risk taking incentives induced by ranking objectives. . Center for Economic Research, Tilburg University, Tilburg, The Netherlands.

Goriaev, Alexei P., Palomino, Frédéric and Prat, Andrea (2001) Mutual fund tournament: risk taking incentives induced by ranking objectives. . Centre for Economic Policy Research, London, UK.

Gorman, Larry R. and Jorgensen, Bjorn N. (2002) Domestic versus international portfolio selection: a statistical examination of the home bias. Multinational Finance Journal, 6 (3-4). pp. 131-166. ISSN 1069-1879

Greenwood, Robin and Vayanos, Dimitri (2008) Bond supply and excess bond returns. Financial Markets Group Discussion Papers (607). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Greenwood, Robin and Vayanos, Dimitri (2014) Bond supply and excess bond returns. Review of Financial Studies, 27 (3). 663 - 713. ISSN 0893-9454

Gromb, Denis and Vayanos, Dimitri (2010) A model of financial market liquidity based on intermediary capital. Journal of the European Economic Association, 8 (2-3). pp. 456-466. ISSN 1542-4774

Guasoni, Paolo, Muhle-Karbe, Johannes and Xing, Hao (2017) Robust portfolios and weak incentives in long-run investments. Mathematical Finance, 27 (1). pp. 3-37. ISSN 0960-1627

Guenther, Benno and Lordan, Grace (2023) When the disposition effect proves to be rational: experimental evidence from professional traders. Frontiers in Psychology, 14. ISSN 1664-1078

Guibaud, Stéphane, Nosbusch, Yves and Vayanos, Dimitri (2013) Bond market clienteles, the yield curve, and the optimal maturity structure of government debt. Review of Financial Studies, 26 (8). pp. 1914-1961. ISSN 0893-9454

H

Haliassos, Michael and Michaelides, Alexander (2001) Portfolio choice and liquidity constraints. . Centre for Economic Policy Research, London, UK.

Hilber, Christian A. L. (2005) Neighborhood externality risk and the homeownership status of properties. Journal of Urban Economics, 57 (2). pp. 213-241. ISSN 0094-1190

Huang, Shiyang, Hwang, Byoung-Hyoun and Lou, Dong ORCID: 0000-0002-5623-4338 (2021) The rate of communication. Journal of Financial Economics, 141 (2). 533 - 550. ISSN 0304-405X

I

Iacoviello, Matteo and Ortalo-Magné, François (2002) Hedging housing risk in London. Discussion paper (415). Financial Markets Group, The London School of Economics and Political Science, London, UK. (Submitted)

Inkmann, Joachim and Blake, David (2004) Liability valuation and optimal asset allocation. Financial Markets Group Discussion Papers (507). Financial Markets Group, The London School of Economics and Political Science, London, UK.

J

Jiang, Hao, Vayanos, Dimitri and Zheng, Lu (2020) Tracking biased weights: asset pricing implications of value-weighted indexing. Financial Markets Group Discussion Papers (823). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Jiang, Hao and Verardo, Michela (2018) Does herding behavior reveal skill? An analysis of mutual fund performance. Journal of Finance, 73 (5). 2229 - 2269. ISSN 0022-1082

Julliard, Christian (2004) Human capital and international portfolio choice. . Christian Julliard, London, UK.

Julliard, Christian (2002) The international diversification puzzle is not worse than you think. . Christian Julliard, London, UK.

K

Kang, Johnny, Pekkala, Tapio, Polk, Christopher and Ribeiro, Ruy (2011) Stock prices under pressure: how tax and interest rates drive returns at the turn of the tax year. Financial Markets Group Discussion Papers (671). Financial Markets Group, The London School of Economics and Political Science, London, UK. ISBN 09568549671

Kogan, Leonid, Makarov, Igor and Uppal, Raman (2007) The equity risk premium and the riskfree rate in an economy with borrowing constraints. Mathematics and Financial Economics, 1 (1). pp. 1-19. ISSN 1862-9679

Kondor, Peter (2004) Rational trader risk. Financial Markets Group Discussion Papers (533). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Kondor, Peter (2004) The more we know, the less we agree: public announcements and higher-order expectations. Financial Markets Group Discussion Papers (532). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Koundouri, Phoebe, Kourogenis, Nikolaos, Pittis, Nikitas and Samartzis, Panagiotis (2016) Factor models of stock returns: GARCH errors versus time-varying betas. Journal of Forecasting, 35 (5). pp. 445-461. ISSN 0277-6693

L

Leape, Jonathan and King, M. A. (1998) Wealth and portfolio consumption: theory and evidence. Journal of Public Economics, 69 (2). pp. 155-193. ISSN 0047-2727

Li, Sheng and Linton, Oliver (2007) Evaluating hedge fund performance: a stochastic dominance approach. Financial Markets Group Discussion Papers (591). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Liao, Jingchi, Peng, Cameron and Zhu, Ning (2022) Extrapolative bubbles and trading volume. Review of Financial Studies, 35 (4). 1682 - 1722. ISSN 0893-9454

Liao, Jingchi, Peng, Cameron and Zhu, Ning (2021) Extrapolative bubbles and trading volume. Financial Markets Group Discussion Papers (828). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Liao, Jingchi, Peng, Cheng and Zhu, Ning (2019) Price and volume dynamics in bubbles. . SSRN, London, UK.

Linton, Oliver (2008) A nonparametric threshold model with application to zero returns. Statistics and Its Interface, 1 (2). pp. 321-326. ISSN 1938-7997

Liu, Hongqi, Peng, Cameron, Wei, Xiong and Wei, Xiong (2022) Taming the bias zoo. Journal of Financial Economics, 143 (2). 716 - 741. ISSN 0304-405X

Lleo, Sebastien and Ziemba, Bill (2014) Some historical perspectives on the Bond-Stock Earnings Yield Model for crash prediction around the world. Systemic Risk Centre Discussion Papers (21). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Lleo, Sebastien and Ziemba, Bill (2015) The Swiss black swan bad scenario: is Switzerland another casualty of the Eurozone crisis. Special Papers (No 8). Systemic Risk Centre, The London School of Economics and Political Science, London, UK.

Lopes, Paula (2003) Are annuities value for money?: who can afford them? Discussion paper: UBS Pensions Series 019 (473). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Lopes, Paula and Michaelides, Alexander (2007) Rare events and annuity market participation. Finance Research Letters, 4 (2). pp. 82-91. ISSN 1544-6123

M

Malkhozov, Aytek, Mueller, Philippe, Vedolin, Andrea and Venter, Gyuri (2016) Mortgage risk and the yield curve. Review of Financial Studies, 29 (5). 1220 - 1253. ISSN 0893-9454

Mann, Catherine L. and Meade, Ellen E. (2002) Home bias, transactions costs, and prospects for the Euro: a more detailed analysis. CEPDP (537). Centre for Economic Performance, London School of Economics and Political Science, London, UK. ISBN 0753015552

Martin, Ian and Papadimitriou, Dimitris (2022) Sentiment and speculation in a market with heterogeneous beliefs. American Economic Review, 112 (8). 2465 - 2517. ISSN 0002-8282

Michaelides, Alexander (2001) International portfolio choice: liquidity constraints and the home equity bias puzzle. . Centre for Economic Policy Research, London, UK.

Michaelides, Alexander (2001) Portfolio choice, liquidity constraints and stock market mean reversion. . Centre for Economic Policy Research, London, UK.

Moloney, Niamh (2010) Regulating retail investment products: the financial crisis and the EU challenge. Era - Forum, 11 (3). pp. 329-349. ISSN 1612-3093

Moore, Alexander, Straub, Stéphane and Dethier, Jean-Jacques (2014) Regulation, renegotiation and capital structure: theory and evidence from Latin American transport concessions. Journal of Regulatory Economics, 45 (2). pp. 209-232. ISSN 0922-680X

N

Nezlobin, Alexander, Rajan, Madhav V. and Reichelstein, Stefan (2016) Structural properties of the price-to-earnings and price-to-book ratios. Review of Accounting Studies, 21 (2). 438 - 472. ISSN 1380-6653

P

Palomino, Frédéric and Prat, Andrea (1999) Risk taking and optimal contracts for money managers. . Centre for Economic Policy Research, London, UK.

Paravisini, Daniel, Rappoport, Veronica and Ravina, Enrichetta (2010) Risk aversion and wealth: evidence from person-to-person lending portfolios. NBER working paper (16063). National Bureau of Economic Research, Massachusetts, USA.

Paravisini, Daniel, Rappoport, Veronica and Ravina, Enrichetta (2017) Risk aversion and wealth: evidence from person-to-person lending portfolios. Management Science, 63 (2). pp. 279-297. ISSN 0025-1909

Parker, Jonathan A. and Julliard, Christian (2003) Consumption risk and cross-sectional returns. . National Bureau of Economic Research, Cambridge, MA., USA.

Patton, Andrew J. (2004) Are "market neutral" hedge funds really market neutral? Financial Markets Group Discussion Papers (522). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Patton, Andrew J. (2002) On the out-of-sample importance of skewness and asymetric dependence for asset allocation. Financial Markets Group Discussion Papers (431). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Penaranda, Francisco (2007) Portfolio choice beyond the traditional approach. Financial Markets Group Discussion Papers (587). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Peng, Cheng (2017) Investor behavior under the law of small numbers. . SSRN.

Perets, Gadi S. and Yashiv, Eran (2015) The fundamental nature of HARA utility. CFM discussion paper series (CFM-DP2015-22). Centre For Macroeconomics, London, UK.

Peñaranda, Francisco (2003) Evaluation of joint density forecasts of stock and bond returns: predictability and parameter uncertainty. Financial Markets Group Discussion Papers (458). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Peñaranda, Francisco (2009) Understanding portfolio efficiency with conditioning information. Financial Markets Group Discussion Papers (626). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Peñaranda, Francisco and Sentana, Enrique (2004) Spanning tests in return and stochastic discount factor mean-variance frontiers: a unifying approach. Financial Markets Group Discussion Papers (497). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Pissarides, Christopher (1980) Book review: E. Fama, foundations of finance: portfolio decisions and security prices. Economica, 47 (188). pp. 484-485. ISSN 0013-0427

R

Rady, Sven (1995) Option pricing with a quadratic diffusion term. Financial Markets Group Discussion Papers (226). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Roy, Preeti, Ahmad, Wasim, Sadorsky, Perry and Phani, B. V. (2022) What do we know about the idiosyncratic risk of clean energy equities? Energy Economics, 112. ISSN 0140-9883

S

Salo, Ahti, Keisler, Jeffrey and Morton, Alec (2011) An invitation to portfolio decision analysis. In: Salo, Ahti, Keisler, Jeffrey and Morton, Alec, (eds.) Portfolio Decision Analysis: Improved Methods for Resource Allocation. International series in operations research & management science. Springer, New York, USA, pp. 3-28. ISBN 9781441999429

Segoviano, Miguel A. (2006) Consistent information multivariate density optimizing methodology. Financial Markets Group Discussion Papers (557). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Sentana, Enrique (2001) Mean-variance portfolio allocation with a value at risk constraint. Financial Markets Group Discussion Papers (380). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Shanken, Jay and Tamayo, Ane (2012) Payout yield, risk, and mispricing: A Bayesian analysis. Journal of Financial Economics, 105 (1). pp. 131-152. ISSN 0304-405X

Shen, Ji, Yan, Hongjun and Zhang, Jinfan (2014) Collateral-motivated financial innovation. Review of Financial Studies, 27 (10). pp. 2961-2997. ISSN 0893-9454

Silli, Bernhard, Cohen, Randolph B and Polk, Christopher (2008) Best ideas. Financial Markets Group Discussion Papers (624). Financial Markets Group, The London School of Economics and Political Science, London, UK.

V

Vayanos, Dimitri and Woolley, Paul (2013) An institutional theory of momentum and reversal. Review of Financial Studies, 26 (5). pp. 1087-1145. ISSN 0893-9454

W

Webb, David C. (2007) Pension plan funding, risk sharing and technology choice. Financial Markets Group Discussion Papers (527). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Webb, David C. (2011) Pension plan funding, technology choice, and the equity risk premium. Scandinavian Journal of Economics, 113 (3). pp. 493-524. ISSN 0347-0520

Z

Zigrand, Jean-Pierre ORCID: 0000-0002-7784-4231 (2002) Rational asset pricing implications from realistic trading frictions. Discussion paper (414). Financial Markets Group, The London School of Economics and Political Science, London, UK.

Č

Černý, Aleš, Czichowsky, Christoph and Kallsen, Jan (2021) Numeraire-invariant quadratic hedging and mean–variance portfolio allocation. .