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Content
December 2024, Volume 20, Issue 4
- 395-420 Why do banks require minimum balance to avoid a fee?
by Oz Shy - 421-458 Approximation and asymptotics in the superhedging problem for binary options
by Sergey Smirnov & Dimitri Sotnikov & Andrey Zanochkin - 459-477 On the real rate of interest in a closed economy
by Dilip B. Madan & King Wang - 479-519 Science or scientism? On the momentum illusion
by Klaus Grobys - 521-528 Probability of no default for a microloan under uncertainty
by Perpetual Andam Boiquaye & Philip Protter
September 2024, Volume 20, Issue 3
- 289-300 The effects of social media use by bank depositors
by Jianglin Dennis Ding & George G. Pennacchi - 301-328 A term structure interest rate model with the Brownian bridge lower bound
by Kentaro Kikuchi - 329-352 A Girsanov transformed Clark-Ocone-Haussmann type formula for $$L^1$$ L 1 -pure jump additive processes and its application to portfolio optimization
by Masahiro Handa & Noriyoshi Sakuma & Ryoichi Suzuki - 353-376 Option pricing in the Heston model with physics inspired neural networks
by Donatien Hainaut & Alex Casas - 377-394 The profitability of interacting trading strategies from an ecological perspective
by Kun Xing & Honggang Li
June 2024, Volume 20, Issue 2
- 167-197 Commodity cycles and financial instability in emerging economies
by Mikhail Andreev & M. Udara Peiris & Alexander Shirobokov & Dimitrios P. Tsomocos - 199-238 Natural disasters, public attention and changes in capital structure: international evidence
by Balbinder Singh Gill - 239-258 Welfare and bank risk-taking
by Marcella Lucchetta - 259-275 Asset pricing and hedging in financial markets with fixed and proportional transaction costs
by Esmaeil Babaei - 277-287 Strict certainty preference in the predictive brain: a new perspective on financial innovations and their role in the real economy
by Hammad Siddiqi
March 2024, Volume 20, Issue 1
- 1-43 Affine Heston model style with self-exciting jumps and long memory
by Charles Guy Njike Leunga & Donatien Hainaut - 45-89 How does soft information on the causes of default affect debt renegotiation? The Italian evidence
by Ludovico Maria Cocco & Elisa Cavezzali & Ugo Rigoni & Giorgia Simion - 91-127 On certain representations of pricing functionals
by Carlo Marinelli - 129-165 Skewness-seeking behavior and financial investments
by Matteo Benuzzi & Matteo Ploner
December 2023, Volume 19, Issue 4
- 419-447 The kind of silence: managing a reputation for voluntary disclosure in financial markets
by Miles B. Gietzmann & Adam J. Ostaszewski - 449-476 The value of expected return persistence
by Wolfgang Schadner & Sebastian Lang - 477-522 Nonparametric estimates of option prices via Hermite basis functions
by Carlo Marinelli & Stefano d’Addona - 523-543 Robustness and sensitivity analyses of rough Volterra stochastic volatility models
by Jan Matas & Jan Pospíšil - 545-559 What can monetary policy tell us about Bitcoin?
by Marcin Pietrzak
September 2023, Volume 19, Issue 3
- 291-324 Co-jumps and recursive preferences in portfolio choices
by Immacolata Oliva & Ilaria Stefani - 325-354 A compositional analysis of systemic risk in European financial institutions
by Anna Maria Fiori & Francesco Porro - 355-382 Sentiment-based indicators of real estate market stress and systemic risk: international evidence
by Mikhail Stolbov & Maria Shchepeleva - 383-400 Analysis of fair fee in guaranteed lifelong withdrawal and Markovian health benefits
by Guglielmo D’Amico & Shakti Singh & Dharmaraja Selvamuthu - 401-418 The no-arbitrage pricing of non-traded assets
by Robert A. Jarrow
June 2023, Volume 19, Issue 2
- 141-168 No-arbitrage conditions and pricing from discrete-time to continuous-time strategies
by Dorsaf Cherif & Emmanuel Lépinette - 169-200 Connectivity, centralisation and ‘robustness-yet-fragility’ of interbank networks
by Mario Eboli & Bulent Ozel & Andrea Teglio & Andrea Toto - 201-232 Integrating market conditions into regulatory decisions on microfinance interest rates: does competition matter?
by Tristan Caballero-Montes - 233-264 A behavioral approach to inconsistencies in intertemporal choices with the Analytic Hierarchy Process methodology
by Viviana Ventre & Cruz Rambaud Salvador & Roberta Martino & Fabrizio Maturo - 265-289 Drawdown risk measures for asset portfolios with high frequency data
by Giovanni Masala & Filippo Petroni
March 2023, Volume 19, Issue 1
- 1-21 The valuation of corporations: a derivative pricing perspective
by Dilip B. Madan & King Wang - 23-62 The optimal financing of a conglomerate firm with hidden information and costly state verification
by Rosa Ferrentino & Luca Vota - 63-93 Uncertainty in firm valuation and a cross-sectional misvaluation measure
by Giulio Bottazzi & Francesco Cordoni & Giulia Livieri & Stefano Marmi - 95-117 The market value of SMEs: a comparative study between private and listed firms in alternative stock markets
by Leslie Rodríguez-Valencia & Prosper Lamothe-Fernández & David Alaminos - 119-140 Delta-hedging in fractional volatility models
by Qi Zhao & Alexandra Chronopoulou
December 2022, Volume 18, Issue 4
- 429-456 Regulatory reform and banking diversity: reassessing Basel 3
by Giuliana Birindelli & Paola Ferretti & Giovanni Ferri & Marco Savioli - 457-483 Some properties of portfolios constructed from principal components of asset returns
by Thomas A. Severini - 485-510 Bargaining power and renegotiation of small private debt contracts
by José Valente & Mário Augusto & José Murteira - 511-544 Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate
by Yumo Zhang - 545-552 Blind portfolios’ auctions in two-rounds
by Lamprini Zarpala & Dimitris Voliotis
September 2022, Volume 18, Issue 3
- 285-326 A portfolio choice problem under risk capacity constraint
by Weidong Tian & Zimu Zhu - 327-353 Two sided efficient frontiers at multiple time horizons
by Dilip B. Madan & King Wang - 355-392 Bank business models, negative policy rates, and prudential regulation
by Roberto Savona - 393-418 Rational pricing of leveraged ETF expense ratios
by Alex Garivaltis - 419-428 Dynamic optimal hedge ratio design when price and production are stochastic with jump
by Nyassoke Titi Gaston Clément & Sadefo Kamdem Jules & Fono Louis Aimé
June 2022, Volume 18, Issue 2
- 133-181 Portfolio selection in quantile decision models
by Luciano de Castro & Antonio F. Galvao & Gabriel Montes-Rojas & Jose Olmo - 183-216 Options on bonds: implied volatilities from affine short-rate dynamics
by Matthew Lorig & Natchanon Suaysom - 217-246 Derivatives-based portfolio decisions: an expected utility insight
by Marcos Escobar-Anel & Matt Davison & Yichen Zhu - 247-266 Multi-stage real option evaluation with double barrier under stochastic volatility and interest rate
by Michele Bufalo & Antonio Di Bari & Giovanni Villani - 267-283 Bootstrap rolling-window Granger causality dynamics between momentum and sentiment: implications for investors
by Mohamed Sahbi Nakhli & Abderrazak Dhaoui & Julien Chevallier
March 2022, Volume 18, Issue 1
- 1-33 Constrained dynamic futures portfolios with stochastic basis
by Xiaodong Chen & Tim Leung & Yang Zhou - 35-80 Equilibrium pricing of commodity spot and forward under incomplete markets with implications on convenience yield
by Katsushi Nakajima - 81-108 Permutation-weighted portfolios and the efficiency of commodity futures markets
by Ricardo T. Fernholz & Robert Fernholz - 109-119 Performance of advanced stock price models when it becomes exotic: an empirical study
by Gero Junike & Wim Schoutens & Hauke Stier - 121-132 Optimal group size in microlending
by Philip Protter & Alejandra Quintos
December 2021, Volume 17, Issue 4
- 425-470 Deposit insurance and reinsurance
by Volker Britz & Hans Gersbach & Hans Haller - 471-499 Economic profitability and (non)additivity of residual income
by Carlo Alberto Magni - 501-528 Model uncertainty on commodity portfolios, the role of convenience yield
by Junhe Chen & Marcos Escobar-Anel - 529-558 Fractional Barndorff-Nielsen and Shephard model: applications in variance and volatility swaps, and hedging
by Nicholas Salmon & Indranil SenGupta - 559-582 Welfare implications of mitigating investment uncertainty
by Takayuki Ogawa & Jun Sakamoto
September 2021, Volume 17, Issue 3
- 265-318 On the money creation approach to banking
by Salomon Faure & Hans Gersbach - 319-351 Systemic risk measurement: bucketing global systemically important banks
by Marina Brogi & Valentina Lagasio & Luca Riccetti - 353-378 Birds of a feather: separating spillovers from shocks in sovereign default
by Ryan Rudderham - 379-404 Valuation of R&D compound option using Markov chain approach
by Guglielmo D’Amico & Giovanni Villani - 405-424 A stock market model based on CAPM and market size
by Brandon Flores & Blessing Ofori-Atta & Andrey Sarantsev
June 2021, Volume 17, Issue 2
- 153-186 Equilibrium asset pricing and the cross section of expected returns
by Joel M. Vanden - 187-214 On modifications of the Bachelier model
by Alexander Melnikov & Hongxi Wan - 215-230 Revisiting the link between financial development and industrialization: evidence from low and middle income countries
by Gouthami Kothakapa & Samyukta Bhupatiraju & Rahul A. Sirohi - 231-246 A volatility smile-based uncertainty index
by José Valentim Machado Vicente & Jaqueline Terra Moura Marins - 247-264 Panel data modeling of bank deposits
by Sofia Costa & Marta Faias & Pedro Júdice & Pedro Mota
March 2021, Volume 17, Issue 1
- 1-25 The Shapley value decomposition of optimal portfolios
by Haim Shalit - 27-43 Two price economic equilibria and financial market bid/ask prices
by Robert J. Elliott & Dilip B. Madan & Tak Kuen Siu - 45-77 Learning from prices: information aggregation and accumulation in an asset market
by Michele Berardi - 79-125 Heterogeneous beliefs, monetary policy, and stock price volatility
by Katsuhiro Oshima - 127-151 Bank default indicators with volatility clustering
by Turalay Kenc & Emrah Ismail Cevik & Sel Dibooglu
December 2020, Volume 16, Issue 4
- 463-499 The role of market efficiency on implied cost of capital estimates: an international perspective
by David Schröder - 501-527 Internal financing, managerial compensation and multiple tasks
by Sandro Brusco & Fausto Panunzi - 529-546 Relative growth optimal strategies in an asset market game
by Yaroslav Drokin & Mikhail Zhitlukhin - 547-571 Proper measures of connectedness
by Mario Maggi & Maria-Laura Torrente & Pierpaolo Uberti - 573-591 Leakage of rank-dependent functionally generated trading strategies
by Kangjianan Xie - 593-607 An evolutionary finance model with a risk-free asset
by Sergei Belkov & Igor V. Evstigneev & Thorsten Hens
September 2020, Volume 16, Issue 3
- 307-351 Efficient Asian option pricing under regime switching jump diffusions and stochastic volatility models
by J. Lars Kirkby & Duy Nguyen - 353-380 Development banking under weak institutions and imperfect credit markets
by Reynaldo Senra Hodelin - 381-405 The price leadership share: a new measure of price discovery in financial markets
by Riccardo De Blasis - 407-422 Optimal compensation and investment affected by firm size and time-varying external factors
by Chong Lai & Rui Li & Yonghong Wu - 423-433 Fundamental Theorem of Asset Pricing under fixed and proportional transaction costs
by Martin Brown & Tomasz Zastawniak - 435-462 Forecasting volatility in bitcoin market
by Mawuli Segnon & Stelios Bekiros
June 2020, Volume 16, Issue 2
- 159-194 Deposit insurance and the coexistence of commercial and shadow banks
by Stephen F. LeRoy & Rish Singhania - 195-218 A computable general equilibrium model for banking sector risk assessment in South Africa
by Conrad F. J. Beyers & Allan Freitas & Kojo A. Essel-Mensah & Reyno Seymore & Dimitrios P. Tsomocos - 219-251 Transparency and market discipline: evidence from the Russian interbank market
by François Guillemin & Maria Semenova - 253-280 Optimal trading of a basket of futures contracts
by Bahman Angoshtari & Tim Leung - 281-306 The impact of financial crises on the environment in developing countries
by João Tovar Jalles
March 2020, Volume 16, Issue 1
- 1-61 A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
by Luciano I. Castro & Marialaura Pesce & Nicholas C. Yannelis - 63-99 Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
by Dongchen Li & Virginia R. Young - 101-119 Asian options pricing in Hawkes-type jump-diffusion models
by Riccardo Brignone & Carlo Sgarra - 121-139 Infinitesimal generators for two-dimensional Lévy process-driven hypothesis testing
by Michael Roberts & Indranil SenGupta - 141-157 Application of the Merton model to estimate the probability of breaching the capital requirements under Basel III rules
by Vincenzo Russo & Valentina Lagasio & Marina Brogi & Frank J. Fabozzi
December 2019, Volume 15, Issue 4
- 455-487 Momentum and reversal in financial markets with persistent heterogeneity
by Giulio Bottazzi & Pietro Dindo & Daniele Giachini - 489-538 Dynamic contagion in a banking system with births and defaults
by Tomoyuki Ichiba & Michael Ludkovski & Andrey Sarantsev - 539-561 Business-cycle pattern of asset returns: a general equilibrium explanation
by Qiang Kang - 563-600 Semi-nonparametric approximation and index options
by Julia Jiang & Weidong Tian
September 2019, Volume 15, Issue 3
- 307-335 Optimal dynamic basis trading
by Bahman Angoshtari & Tim Leung - 337-368 Optimal demand in a mispriced asymmetric Carr–Geman–Madan–Yor (CGMY) economy
by Winston Buckley & Sandun Perera - 369-399 Optimal bailouts, bank’s incentive and risk
by Marcella Lucchetta & Michele Moretto & Bruno M. Parigi - 401-420 Cash flows risk, capital structure, and corporate bond yields
by Berardino Palazzo - 421-453 Dynamic portfolio strategies under a fully correlated jump-diffusion process
by Marcos Escobar-Anel & Harold A. Moreno-Franco
June 2019, Volume 15, Issue 2
- 155-177 Correlation and coordination risk
by Martin Geiger & Richard Hule - 179-203 The role of household debt and delinquency decisions in consumption-based asset pricing
by Paulo Rogério Faustino Matos - 205-231 Relative performance concerns among investment managers
by Mark Whitmeyer - 233-246 Implied liquidity risk premia in option markets
by Florence Guillaume & Gero Junike & Peter Leoni & Wim Schoutens - 247-266 Change point dynamics for financial data: an indexed Markov chain approach
by Guglielmo D’Amico & Ada Lika & Filippo Petroni - 267-306 A switching self-exciting jump diffusion process for stock prices
by Donatien Hainaut & Franck Moraux
March 2019, Volume 15, Issue 1
- 1-28 Optimal risk-averse timing of an asset sale: trending versus mean-reverting price dynamics
by Tim Leung & Zheng Wang - 29-58 Conic asset pricing and the costs of price fluctuations
by Dilip B. Madan & Wim Schoutens - 59-101 Extreme-strike asymptotics for general Gaussian stochastic volatility models
by Archil Gulisashvili & Frederi Viens & Xin Zhang - 103-123 Endogenous heterogeneity in duopoly with deterministic one-way spillovers
by Adriana Gama & Isabelle Maret & Virginie Masson - 125-153 Vanishing central bank intervention in stochastic impulse control
by Gregory Gagnon
November 2018, Volume 14, Issue 4
- 429-464 Inconspicuousness and obfuscation: how large shareholders dynamically manipulate output and information for trading purposes
by Bart Taub - 465-487 Debt financing in private and public firms
by Kim P. Huynh & Teodora Paligorova & Robert Petrunia - 489-516 Option pricing under fast-varying and rough stochastic volatility
by Josselin Garnier & Knut Sølna - 517-545 On relative performance, remuneration and risk taking of asset managers
by Emilio Barucci & Gaetano Bua & Daniele Marazzina - 547-570 Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
by Thomas F. Coleman & Alex LaPlante & Alexey Rubtsov - 571-572 Correction to: Analysis of the SRISK measure and its application to the Canadian banking and insurance industries
by Thomas F. Coleman & Alex LaPlante & Alexey Rubtsov
August 2018, Volume 14, Issue 3
- 289-329 The pricing kernel puzzle: survey and outlook
by Horatio Cuesdeanu & Jens Carsten Jackwerth - 331-342 How does competition affect real earnings management to meet or beat targets? Evidence from import tariff reductions
by Alex Young - 343-351 A nonparametric quantity-of-quality approach to assessing financial asset return performance
by M. Ryan Haley - 353-377 Bubbles, growth and imperfection of credit market in a two-country model
by Ryosuke Shimizu - 379-414 What determines the share of non-resident public debt ownership? Evidence from Euro Area countries
by João Tovar Jalles - 415-426 Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension
by Salvador Cruz Rambaud & Isabel González Fernández & Viviana Ventre - 427-427 Correction to: Modeling the inconsistency in intertemporal choice: the generalized Weibull discount function and its extension
by Salvador Cruz Rambaud & Isabel González Fernández & Viviana Ventre
May 2018, Volume 14, Issue 2
- 143-193 Regulation, supervision and deposit insurance for financial cooperatives: an empirical investigation
by Amr Khafagy - 195-209 Approximate option pricing and hedging in the CEV model via path-wise comparison of stochastic processes
by Vladislav Krasin & Ivan Smirnov & Alexander Melnikov - 211-221 Financial equilibrium with non-linear valuations
by Dilip B. Madan - 223-251 On the implied market price of risk under the stochastic numéraire
by Nikolai Dokuchaev - 253-288 Asset market equilibrium with liquidity risk
by Robert Jarrow
February 2018, Volume 14, Issue 1
- 1-47 Venture capital and underpricing: capacity constraints and early sales
by Roberto Pinheiro - 49-91 Systemic risk in Europe: deciphering leading measures, common patterns and real effects
by Mikhail Stolbov & Maria Shchepeleva - 93-103 Barrier style contracts under Lévy processes once again
by José Fajardo - 105-123 Business cycles, financial cycles and capital structure
by Haitham A. Al-Zoubi & Jennifer A. O’Sullivan & Abdulaziz M. Alwathnani - 125-141 Can VPIN forecast geopolitical events? Evidence from the 2014 Crimean Crisis
by Felipe Bastos G. Silva & Ekaterina Volkova
November 2017, Volume 13, Issue 4
- 355-400 Counterparty risk, central counterparty clearing and aggregate risk
by Binbin Deng - 401-434 Analysis of variance based instruments for Ornstein–Uhlenbeck type models: swap and price index
by Aziz Issaka & Indranil SenGupta - 435-451 Stock markets fragmentation, volatility and final investors
by Cécile Bastidon - 453-484 The dampening effect of iceberg orders on small traders’ welfare
by Laura Delaney & Polina Kovaleva
August 2017, Volume 13, Issue 3
- 237-251 Systemic risk measures and macroprudential stress tests: an assessment over the 2014 EBA exercise
by Chiara Pederzoli & Costanza Torricelli - 253-271 Investment, agency conflicts, debt maturity, and loan guarantees by negotiation
by Liu Gan & Zhaojun Yang - 273-298 An empirical analysis of organized crime, corruption and economic growth
by Kyriakos C. Neanidis & Maria Paola Rana & Keith Blackburn - 299-340 Quadratic minimization with portfolio and intertemporal wealth constraints
by Dian Zhu & Andrew J. Heunis - 341-353 K-fold cross validation performance comparisons of six naive portfolio selection rules: how naive can you be and still have successful out-of-sample portfolio performance?
by M. Ryan Haley
May 2017, Volume 13, Issue 2
- 125-152 Novel advancements in the Markov chain stock model: analysis and inference
by Vlad Stefan Barbu & Guglielmo D’Amico & Riccardo Blasis - 153-180 Financial market globalization, nonconvergence and credit cycles
by Wai-Hong Ho - 181-203 Optimal mean-reverting spread trading: nonlinear integral equation approach
by Yerkin Kitapbayev & Tim Leung - 205-235 The determinants of MFIs’ social and financial performances in sub-Saharan Africa: has mission drift occurred?
by Wassini Arrassen
February 2017, Volume 13, Issue 1
- 1-29 A simple efficient approximation to price basket stock options with volatility smile
by Ping Wu & Robert J. Elliott - 31-53 Banking competition and welfare
by Marcella Lucchetta - 55-74 Does the Hurst index matter for option prices under fractional volatility?
by Hideharu Funahashi & Masaaki Kijima - 75-95 Threat of termination and firm innovation
by Shahbaz Sheikh - 97-124 Portfolio selections under mean-variance preference with multiple priors for means and variances
by Yuki Shigeta
December 2016, Volume 12, Issue 3
- 275-304 Credit risk analysis with creditor’s option to extend maturities
by Ryoichi Ikeda & Yoske Igarashi - 305-334 Adapted hedging
by Dilip B. Madan - 335-361 Smooth investment
by Kenneth Bruhn & Ninna Reitzel Jensen & Mogens Steffensen - 363-392 Intragroup transfers, intragroup diversification and their risk assessment
by Andreas Haier & Ilya Molchanov & Michael Schmutz - 393-408 Impact of risk aversion and countervailing tax in oligopoly
by Jim Y. Jin & Shinji Kobayashi - 409-440 Benchmark-based evaluation of portfolio performance: a characterization
by Aleksandr G. Alekseev & Mikhail V. Sokolov - 441-463 Sequential payments and optimal pricing in payment systems
by Tomohiro Ota
May 2016, Volume 12, Issue 2
- 135-160 Relative asset price bubbles
by Roseline Bilina Falafala & Robert A. Jarrow & Philip Protter - 161-178 Monetary policy games, financial instability and incomplete information
by Charles Richard Barrett & Ioanna Kokores & Somnath Sen - 179-199 A nonparametric approach to measuring the sensitivity of an asset’s return to the market
by Thomas A. Severini - 201-219 Benchmarking in two price financial markets
by Dilip B. Madan - 221-243 How suboptimal are linear sharing rules?
by Bjarne Astrup Jensen & Jørgen Aase Nielsen - 245-273 Optimal capital structures for private firms
by Joel M. Vanden
February 2016, Volume 12, Issue 1
- 1-16 The St. Petersburg paradox and capital asset pricing
by Assaf Eisdorfer & Carmelo Giaccotto - 17-28 Variety expansion, preference shocks, and financial intermediaries
by Hiroaki Ohno & Kouki Sugawara - 29-53 On the impact of macroeconomic news surprises on Treasury-bond returns
by Imane El Ouadghiri & Valérie Mignon & Nicolas Boitout - 55-69 Saddlepoint approximations to option price in a regime-switching model
by Mengzhe Zhang & Leunglung Chan - 71-94 Risk premia in option markets
by Dilip B. Madan - 95-133 The skewness risk premium in equilibrium and stock return predictability
by Hiroshi Sasaki
November 2015, Volume 11, Issue 3
- 297-318 Robustness of equilibrium in the Kyle model of informed speculation
by Alex Boulatov & Dan Bernhardt - 297-318 Robustness of equilibrium in the Kyle model of informed speculation
by Alex Boulatov & Dan Bernhardt - 319-344 Credit risk and contagion via self-exciting default intensity
by Robert Elliott & Jia Shen - 345-382 Optimization of relative arbitrage
by Ting-Kam Wong - 383-410 Evidence on exercise pricing in CEO option grants in two countries
by Jean Canil & Bruce Rosser - 411-432 Diversity-weighted portfolios with negative parameter
by Alexander Vervuurt & Ioannis Karatzas - 433-451 Bounds for path-dependent options
by Donald Brown & Rustam Ibragimov & Johan Walden - 453-475 Arbitrage in markets with bid-ask spreads
by Przemysław Rola - 477-502 Financial innovation and risk: the role of information
by Roberto Piazza - 503-530 Optimal investment in multidimensional Markov-modulated affine models
by Daniela Neykova & Marcos Escobar & Rudi Zagst
May 2015, Volume 11, Issue 2
- 151-198 Capital distribution and portfolio performance in the mean-field Atlas model
by Benjamin Jourdain & Julien Reygner - 199-220 Dynamic optimal capital structure with regime switching
by Robert Elliott & Jia Shen - 221-241 Diversified minimum-variance portfolios
by Guillaume Coqueret - 243-282 Quadratic minimization with portfolio and terminal wealth constraints
by Andrew Heunis - 283-295 Variance matters (in stochastic dividend discount models)
by Arianna Agosto & Enrico Moretto
February 2015, Volume 11, Issue 1
- 1-35 Asset pricing theory for two price economies
by Dilip Madan - 37-75 Dynamic portfolio selection with mispricing and model ambiguity
by Bo Yi & Frederi Viens & Baron Law & Zhongfei Li - 77-107 Noisy information and the size effect in stock returns
by Joel Vanden