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Portfolio performance evaluation with loss aversion

Quantitative finance, 2014-04, Vol.14 (4), p.699-710

Zakamouline, Valeri

2014

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European option pricing and hedging with both fixed and proportional transaction costs

Journal of economic dynamics & control, 2006, Vol.30 (1), p.1-25

Zakamouline, Valeri I.

2006

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Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance

Journal of banking & finance, 2009-07, Vol.33 (7), p.1242-1254

2009

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Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

Quantitative finance, 2006-10, Vol.6 (5), p.435-445

Zakamouline, Valeri I.

2006

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A unified approach to portfolio optimization with linear transaction costs

Mathematical methods of operations research (Heidelberg, Germany), 2005-11, Vol.62 (2), p.319-343

Zakamouline, Valeri I.

2005

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Block bootstrap methods and the choice of stocks for the long run

Quantitative finance, 2013-09, Vol.13 (9), p.1443-1457

2013

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On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

Journal of portfolio management, 2010-10, Vol.37 (1), p.92-104

Zakamouline, Valeri

2010

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American option pricing and exercising with transaction costs

The journal of computational finance, 2005-01, Vol.8 (3), p.81-113

Zakamouline, Valeri

2005

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A Generalisation of the Mean-Variance Analysis

European financial management : the journal of the European Financial Management Association, 2009-11, Vol.15 (5), p.934-970

2009

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THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS

International journal of theoretical and applied finance, 2009-09, Vol.12 (6), p.833-860

ZAKAMOULINE, VALERI

2009

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European option pricing and hedging with both fixes and proportional transaction costs

Journal of economic dynamics & control, 2006-01, Vol.30 (1), p.1

Zakamouline, Valeri I

2006

Volltextzugriff (PDF)

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

Historisk avkastning på garanterte spareprodukter

Praktisk økonomi og finans, 2008-01, Vol.23 (4), p.99-106

2008

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Forventet avkastning på aksjeindeksobligasjoner

Praktisk økonomi og finans, 2006-12, Vol.22 (4), p.75-87

2006

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Predictable Dynamics in the Small Stock Premium

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

Block Bootstrap Methods and the Choice of Stocks for the Long Run

SSRN Electronic Journal

Volltextzugriff (PDF)

Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

American Option Pricing and Exercising with Transaction Costs

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

Very Long-Term Mean Reversion and Predictability of the U.S. Stock Market Returns

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

Long Cycles in the U.S. GDP, Stock Market, and the Size and Value Premiums

SSRN Electronic Journal

Zakamouline, Valeri

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Forecasting the Size Premium Over Different Horizons

SSRN Electronic Journal

Zakamouline, Valeri

Volltextzugriff (PDF)

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Portfolio performance evaluation with loss aversion

European option pricing and hedging with both fixed and proportional transaction costs

Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance

Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs

A unified approach to portfolio optimization with linear transaction costs

Block bootstrap methods and the choice of stocks for the long run

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

American option pricing and exercising with transaction costs

A Generalisation of the Mean-Variance Analysis

THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS

European option pricing and hedging with both fixes and proportional transaction costs

On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note

Historisk avkastning på garanterte spareprodukter

Forventet avkastning på aksjeindeksobligasjoner

Predictable Dynamics in the Small Stock Premium

Block Bootstrap Methods and the Choice of Stocks for the Long Run

Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs

A Unified Approach to Portfolio Optimization with Linear Transaction Costs

European Option Pricing and Hedging with Both Fixed and Proportional Transaction Costs

The Choice of Performance Measure Does Influence the Evaluation of Hedge Funds

American Option Pricing and Exercising with Transaction Costs

Low-Frequency Waves and the Medium to Long-Term US Stock Market Outlook

Very Long-Term Mean Reversion and Predictability of the U.S. Stock Market Returns

Long Cycles in the U.S. GDP, Stock Market, and the Size and Value Premiums

Forecasting the Size Premium Over Different Horizons

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