Valeriy Zakamulin (aka Valeri Zakamouline)
Valeriy Zakamulin (aka Valeri Zakamouline)
Professor of Finance, University of Agder, Norway
Verifisert e-postadresse på
Sitert av
Sitert av
Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance
V Zakamouline, S Koekebakker
Journal of Banking & Finance 33 (7), 1242-1254, 2009
European option pricing and hedging with both fixed and proportional transaction costs
VI Zakamouline
Journal of Economic Dynamics and Control 30 (1), 1-25, 2006
The performance measure you choose influences the evaluation of hedge funds
V Zakamouline
J. Perform. Measure 15, 48-64, 2011
Portfolio performance evaluation with loss aversion
V Zakamouline
Quantitative Finance 14 (4), 699-710, 2014
The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules
V Zakamulin
Available at SSRN, 2013
A Generalisation of the Mean‐Variance Analysis
V Zakamouline, S Koekebakker
European Financial Management 15 (5), 934-970, 2009
Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs
Valeri I. zakamouline
Quantitative Finance 6 (5), 435-445, 2006
Block bootstrap methods and the choice of stocks for the long run
P Cogneau, V Zakamouline
Quantitative Finance 13 (9), 1443-1457, 2013
A unified approach to portfolio optimization with linear transaction costs
VI Zakamouline
Mathematical Methods of Operations Research 62 (2), 319-343, 2005
Kelly criterion for multivariate portfolios: A model-free approach
V Nekrasov
Available at SSRN 2259133, 2014
A test of covariance-matrix forecasting methods
V Zakamulin
The Journal of Portfolio Management 41 (3), 97-108, 2015
The CARMA interest rate model
A Andresen, FE Benth, S Koekebakker, V Zakamulin
International Journal of Theoretical and Applied Finance 17 (02), 1450008, 2014
The best hedging strategy in the presence of transaction costs
V Zakamouline
International journal of theoretical and applied finance 12 (06), 833-860, 2009
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
V Zakamulin
The Journal of Alternative Investments 16 (4), 37-50, 2014
American option pricing and exercising with transaction costs
V Zakamulin
Norwegian School of Economics and Business Administration Discussion Paper, 2003
Forecasting the size premium over different time horizons
V Zakamulin
Journal of Banking & Finance 37 (3), 1061-1072, 2013
The CARMA interest rate model
FE Benth, S Koekebakker, V Zakamouline
Manuscript, University of Agder, 2010
Hedging of option portfolios and options on several assets with transaction costs and nonlinear partial differential equations
V Zakamouline
International Journal of Contemporary Mathematical Sciences 3 (4), 159-180, 2008
Market timing with moving averages: Anatomy and performance of trading rules
V Zakamulin
Available at SSRN 2585056, 2016
Optimal portfolio selection with transaction costs for a CARA investor with finite horizon
VI Zakamouline
Norwegian School of Economics and Business Administration. Department of …, 2002
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Artikler 1–20