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Number of items at this level: 90.

Article

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 1361-4916

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 13547798

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

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 1540-5982

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

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

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

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

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

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

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

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. The Accounting Review, 87 (6). pp. 1993-2025. ISSN 0001-4826

Gandy, Axel and Veraart, Luitgard A. M. (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. The Review of Financial Studies, 21 (1). pp. 415-448. ISSN 0893-9454

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

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 (2014) Bond supply and excess bond returns. Review of Financial Studies, 27 (3). pp. 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

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

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

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

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

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

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

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

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

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

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

Webb, David C. (2011) Pension plan funding, technology choice, and the equity risk premium. Scandinavian Journal of Economics, 113 (3). pp. 493-524. ISSN 1467-9442

Book Section

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,162. Springer, New York, USA, pp. 149-168. ISBN 9781441999429

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,162. Springer, New York, USA, pp. 107-130. ISBN 9781441999429

Bauerle, N. and Veraart, Luitgard A. M. (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

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

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,162. Springer, New York, USA, pp. 149-168. ISBN 9781441999429

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,162. Springer, New York, USA, pp. 3-28. ISBN 9781441999429

Monograph

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

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) Modelling the composition of personal sector wealth in the United Kingdom. Discussion paper: UBS Pensions Series 016, 466. Financial Markets Group, 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 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.

Brunnermeier, Markus K. and Parker, Jonathan A. (2002) Optimal expectations. Discussion paper, 434. Financial Markets Group, 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 Paper, 681. London School of Economics and Political Science, London, UK. ISBN 09568549681

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

Cairns, Andrew J. G., Blake, David and Dowd, Kevin (2004) Stochastic lifestyling: optimal dynamic asset allocation for defined contribution pension plans. Discussion paper: UBS Pensions Series 007, 443. Financial Markets Group, London School of Economics and Political Science, 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

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

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

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.

Gomes, Francisco and Michaelides, Alexander (2007) Asset pricing with limited risk sharing and heterogeneous agents. 6136. Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2005) Asset pricing with limited risk sharing and heterogeneous agents. Discussion paper: UBS Pensions Series 035, 537. Financial Markets Group, London School of Economics and Political Science, London, UK.

Gomes, Francisco and Michaelides, Alexander (2005) Optimal life-cycle asset allocation: understanding the empirical evidence. 4853. Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2003) Optimal life-cycle asset allocation: understanding the empirical evidence. Discussion paper: UBS Pensions Series 020, 474. Financial Markets Group, 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. 3868. Centre for Economic Policy Research, London, UK.

Gomes, Francisco and Michaelides, Alexander (2004) A human capital explanation for an asset allocation puzzle? Discussion paper: UBS Pensions Series 024, 491. Financial Markets Group, 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. 4852. Centre for Economic Policy Research, London, UK.

Goodhart, Charles, Sunirand, Pojanart and Tsomocos, Dimitrios P. (2004) A risk assessment model for banks. Discussion paper, 504. Financial Markets Group, 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. Discussion paper, 517. Financial Markets Group, 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. 94. 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. 2794. Centre for Economic Policy Research, London, UK.

Haliassos, Michael and Michaelides, Alexander (2001) Portfolio choice and liquidity constraints. 2822. Centre for Economic Policy Research, London, UK.

Inkmann, Joachim and Blake, David (2004) Liability valuation and optimal asset allocation. Discussion paper: UBS Pensions Series 027, 507. Financial Markets Group, London School of Economics and Political Science, London, UK.

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

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

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. FMG discussion paper, 671. Financial Markets Group, London School of Economics and Political Science, London, UK.

Kondor, Peter (2004) Rational trader risk. Discussion paper, 533. Financial Markets Group, 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. Discussion paper, 532. Financial Markets Group, 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, London School of Economics and Political Science, London, UK.

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

Michaelides, Alexander (2001) International portfolio choice: liquidity constraints and the home equity bias puzzle. 3066. Centre for Economic Policy Research, London, UK.

Michaelides, Alexander (2001) Portfolio choice, liquidity constraints and stock market mean reversion. 2823. Centre for Economic Policy Research, London, UK.

Palomino, Frédéric and Prat, Andrea (1999) Risk taking and optimal contracts for money managers. 2066. 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.

Parker, Jonathan A. and Julliard, Christian (2003) Consumption risk and cross-sectional returns. 9538. National Bureau of Economic Research, Cambridge, MA., USA.

Patton, Andrew J. (2004) Are "market neutral" hedge funds really market neutral? Discussion paper: IAM Series No 005, 522. Financial Markets Group, 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. Discussion paper: IAM Series No 001, 431. Financial Markets Group, London School of Economics and Political Science, London, UK.

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

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

Peñaranda, Francisco (2009) Understanding portfolio efficiency with conditioning information. Discussion paper, 626. Financial Markets Group, 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. Discussion paper, 497. Financial Markets Group, London School of Economics and Political Science, London, UK.

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

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

Conference or Workshop Item

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

Book

Salo, Ahti, Keisler, Jeffrey and Morton, Alec, eds. (2011) Portfolio decision analysis: improved methods for resource allocation. International series in operations research & management science , 162 . Springer, New York, USA. ISBN 9781441999429

This list was generated on Mon Sep 29 12:55:27 2014 BST.