Ola Mahmoud
Personal Details
First Name: | Ola |
Middle Name: | |
Last Name: | Mahmoud |
Suffix: | |
RePEc Short-ID: | pma2462 |
[This author has chosen not to make the email address public] | |
http://www.olamahmoud.com | |
Affiliation
Wirtschaftswissenschaftliches Zentrum
Universität Basel
Basel, Switzerlandhttp://www.wwz.unibas.ch/
RePEc:edi:wwzbsch (more details at EDIRC)
Research output
Jump to: Working papers ArticlesWorking papers
- Enrico G. De Giorgi & Ola Mahmoud, 2016. "Naive Diversification Preferences and their Representation," Papers 1611.01285, arXiv.org, revised Nov 2016.
- Enrico G. De Giorgi & Ola Mahmoud, 2015.
"Diversification Preferences in the Theory of Choice,"
Papers
1507.02025, arXiv.org, revised Oct 2016.
- Enrico G. De Giorgi & Ola Mahmoud, 2016. "Diversification preferences in the theory of choice," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 143-174, November.
- Ola Mahmoud, 2015. "The Temporal Dimension of Risk," Papers 1501.01573, arXiv.org, revised Jun 2016.
- Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
- Lisa R. Goldberg & Ola Mahmoud, 2013. "Risk Without Return," Papers 1307.0114, arXiv.org, revised Sep 2013.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2011.
"Minimizing Shortfall,"
Papers
1102.0938, arXiv.org, revised Jul 2013.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2013. "Minimizing shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1533-1545, October.
Articles
- Ola Mahmoud, 2017. "On the consistency of choice," Theory and Decision, Springer, vol. 83(4), pages 547-572, December.
- Enrico G. De Giorgi & Ola Mahmoud, 2016.
"Diversification preferences in the theory of choice,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 143-174, November.
- Enrico G. De Giorgi & Ola Mahmoud, 2015. "Diversification Preferences in the Theory of Choice," Papers 1507.02025, arXiv.org, revised Oct 2016.
- Ola Mahmoud, 2014. "Discrete Time Series, Processes, and Applications in Finance," Quantitative Finance, Taylor & Francis Journals, vol. 14(12), pages 2073-2074, December.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2013.
"Minimizing shortfall,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1533-1545, October.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2011. "Minimizing Shortfall," Papers 1102.0938, arXiv.org, revised Jul 2013.
Citations
Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.Working papers
- Enrico G. De Giorgi & Ola Mahmoud, 2016.
"Naive Diversification Preferences and their Representation,"
Papers
1611.01285, arXiv.org, revised Nov 2016.
Cited by:
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020.
"Can Volatility Solve the Naive Portfolio Puzzle?,"
Papers
2005.03204, arXiv.org, revised Feb 2022.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2022. "Can Volatility Solve the Naive Portfolio Puzzle?," Villanova School of Business Department of Economics and Statistics Working Paper Series 52, Villanova School of Business Department of Economics and Statistics.
- Michael Curran & Patrick O'Sullivan & Ryan Zalla, 2020.
"Can Volatility Solve the Naive Portfolio Puzzle?,"
Papers
2005.03204, arXiv.org, revised Feb 2022.
- Enrico G. De Giorgi & Ola Mahmoud, 2015.
"Diversification Preferences in the Theory of Choice,"
Papers
1507.02025, arXiv.org, revised Oct 2016.
- Enrico G. De Giorgi & Ola Mahmoud, 2016. "Diversification preferences in the theory of choice," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 143-174, November.
Cited by:
- Hirbod Assa & Alexander Zimper, 2017.
"Preferences Over all Random Variables: Incompatibility of Convexity and Continuity,"
Working Papers
201714, University of Pretoria, Department of Economics.
- Assa, Hirbod & Zimper, Alexander, 2018. "Preferences over all random variables: Incompatibility of convexity and continuity," Journal of Mathematical Economics, Elsevier, vol. 75(C), pages 71-83.
- Assa, Hirbod & Zimper, Alexander, 2018. "Preferences over all random variables: Incompatibility of convexity and continuity," Open Access Publications from Kiel Institute for the World Economy 233948, Kiel Institute for the World Economy (IfW Kiel).
- Mario Fortin & Marcelin Joanis & Philippe Kabore & Luc Savard, 2022.
"Determination of Quebec's Quarterly Real GDP and Analysis of the Business Cycle, 1948–1980,"
Journal of Business Cycle Research, Springer;Centre for International Research on Economic Tendency Surveys (CIRET), vol. 18(3), pages 261-288, November.
- Mario Fortin & Marcelin Joanis & Philippe Kabore & Luc Savard, 2021. "Determination of Quebec's quarterly real GDP and analysis of the business cycle, 1948-1980," Working Papers 8, Africa Institute for Research in Economics and Social Sciences.
- Gilles Boevi Koumou & Georges Dionne, 2022.
"Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation,"
Risks, MDPI, vol. 10(11), pages 1-19, October.
- Koumou, Gilles Boevi & Dionne, Georges, 2019. "Coherent diversification measures in portfolio theory: An axiomatic foundation," Working Papers 19-2, HEC Montreal, Canada Research Chair in Risk Management.
- Gilles Boevi KOUMOU & Georges DIONNE, 2021. "Coherent Diversification Measures in Portfolio Theory: An Axiomatic Foundation," Working Papers 7, Africa Institute for Research in Economics and Social Sciences.
- Wakker, Peter P. & Yang, Jingni, 2019. "A powerful tool for analyzing concave/convex utility and weighting functions," Journal of Economic Theory, Elsevier, vol. 181(C), pages 143-159.
- Gilles Boevi Koumou, 2020. "Diversification and portfolio theory: a review," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(3), pages 267-312, September.
- Ola Mahmoud, 2022. "The Willingness to Pay for Diversification," Management Science, INFORMS, vol. 68(8), pages 6235-6249, August.
- Enrico G. De Giorgi & Ola Mahmoud, 2016. "Naive Diversification Preferences and their Representation," Papers 1611.01285, arXiv.org, revised Nov 2016.
- Ola Mahmoud, 2015.
"The Temporal Dimension of Risk,"
Papers
1501.01573, arXiv.org, revised Jun 2016.
Cited by:
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
- C. A. Valle & J. E. Beasley, 2019. "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers 1908.08684, arXiv.org.
- Cui, Zhenyu & Nguyen, Duy, 2016. "Omega diffusion risk model with surplus-dependent tax and capital injections," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 150-161.
- Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
- Lisa R. Goldberg & Ola Mahmoud, 2014.
"Drawdown: From Practice to Theory and Back Again,"
Papers
1404.7493, arXiv.org, revised Sep 2016.
Cited by:
- Hongzhong Zhang, 2018. "Stochastic Drawdowns," World Scientific Books, World Scientific Publishing Co. Pte. Ltd., number 10078, August.
- Stanislaus Maier-Paape & Qiji Jim Zhu, 2018. "A General Framework for Portfolio Theory. Part II: Drawdown Risk Measures," Risks, MDPI, vol. 6(3), pages 1-31, August.
- Chung-Han Hsieh & B. Ross Barmish, 2017. "On Drawdown-Modulated Feedback Control in Stock Trading," Papers 1710.01503, arXiv.org.
- Noureddine Kouaissah & Amin Hocine, 2021. "Forecasting systemic risk in portfolio selection: The role of technical trading rules," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 40(4), pages 708-729, July.
- C. A. Valle & J. E. Beasley, 2019. "A nonlinear optimisation model for constructing minimal drawdown portfolios," Papers 1908.08684, arXiv.org.
- Stanislaus Maier-Paape & Andreas Platen & Qiji Jim Zhu, 2019. "A General Framework for Portfolio Theory. Part III: Multi-Period Markets and Modular Approach," Risks, MDPI, vol. 7(2), pages 1-31, June.
- Philipp M. Möller, 2018. "Drawdown Measures And Return Moments," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 21(07), pages 1-42, November.
- Korn, Olaf & Möller, Philipp M. & Schwehm, Christian, 2019. "Drawdown measures: Are they all the same?," CFR Working Papers 19-04, University of Cologne, Centre for Financial Research (CFR).
- Lisa R. Goldberg & Saad Mouti, 2019. "Sustainable Investing and the Cross-Section of Returns and Maximum Drawdown," Papers 1905.05237, arXiv.org, revised Dec 2023.
- Chung-Han Hsieh & B. Ross Barmish, 2017. "On Inefficiency of Markowitz-Style Investment Strategies When Drawdown is Important," Papers 1710.01501, arXiv.org, revised Aug 2018.
- Damiano Rossello & Silvestro Lo Cascio, 2021. "A refined measure of conditional maximum drawdown," Risk Management, Palgrave Macmillan, vol. 23(4), pages 301-321, December.
- Lisa R. Goldberg & Ola Mahmoud, 2013.
"Risk Without Return,"
Papers
1307.0114, arXiv.org, revised Sep 2013.
Cited by:
- Contreras, Javier & Rodríguez, Yeny E. & Sosa, Aníbal, 2017. "Construction of an efficient portfolio of power purchase decisions based on risk-diversification tradeoff," Energy Economics, Elsevier, vol. 64(C), pages 286-297.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2011.
"Minimizing Shortfall,"
Papers
1102.0938, arXiv.org, revised Jul 2013.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2013. "Minimizing shortfall," Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1533-1545, October.
Cited by:
- Oliver Janke, 2016. "Utility Maximization and Indifference Value under Risk and Information Constraints for a Market with a Change Point," Papers 1610.08644, arXiv.org.
- Lisa R. Goldberg & Ola Mahmoud, 2014. "Drawdown: From Practice to Theory and Back Again," Papers 1404.7493, arXiv.org, revised Sep 2016.
- Cesarone, Francesco & Mango, Fabiomassimo & Mottura, Carlo Domenico & Ricci, Jacopo Maria & Tardella, Fabio, 2020. "On the stability of portfolio selection models," Journal of Empirical Finance, Elsevier, vol. 59(C), pages 210-234.
- J. Bohn, 2015. "Financial Modeling, Actuarial Valuation and Solvency in Insurance," Quantitative Finance, Taylor & Francis Journals, vol. 15(5), pages 735-740, May.
Articles
- Ola Mahmoud, 2017.
"On the consistency of choice,"
Theory and Decision, Springer, vol. 83(4), pages 547-572, December.
Cited by:
- Caliari, Daniele, 2023. "Rationality is not consistency," Discussion Papers, Research Unit: Economics of Change SP II 2023-304, WZB Berlin Social Science Center.
- Enrico G. De Giorgi & Ola Mahmoud, 2016.
"Diversification preferences in the theory of choice,"
Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 143-174, November.
See citations under working paper version above.
- Enrico G. De Giorgi & Ola Mahmoud, 2015. "Diversification Preferences in the Theory of Choice," Papers 1507.02025, arXiv.org, revised Oct 2016.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2013.
"Minimizing shortfall,"
Quantitative Finance, Taylor & Francis Journals, vol. 13(10), pages 1533-1545, October.
See citations under working paper version above.
- Lisa R. Goldberg & Michael Y. Hayes & Ola Mahmoud, 2011. "Minimizing Shortfall," Papers 1102.0938, arXiv.org, revised Jul 2013.
More information
Research fields, statistics, top rankings, if available.Statistics
Access and download statistics for all items
Co-authorship network on CollEc
NEP Fields
NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 6 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.- NEP-RMG: Risk Management (4) 2011-02-12 2013-07-05 2014-05-09 2015-01-14
- NEP-UPT: Utility Models and Prospect Theory (2) 2015-07-11 2016-11-13
- NEP-HPE: History and Philosophy of Economics (1) 2015-07-11
Corrections
All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.
To update listings or check citations waiting for approval, Ola Mahmoud should log into the RePEc Author Service.
To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.
To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.
Please note that most corrections can take a couple of weeks to filter through the various RePEc services.