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Valeriy Zakamulin (aka Valeri Zakamouline)
Valeriy Zakamulin (aka Valeri Zakamouline)
Professor of Finance, University of Agder, Norway
Verifisert e-postadresse på uia.no
Tittel
Sitert av
Sitert av
År
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
261*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
942006
The performance measure you choose influences the evaluation of hedge funds
V Zakamouline
J. Perform. Measure 15, 48-64, 2011
79*2011
Portfolio performance evaluation with loss aversion
V Zakamouline
Quantitative Finance 14 (4), 699-710, 2014
692014
The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules
V Zakamulin
Available at SSRN, 2013
532013
A generalisation of the mean‐variance analysis
V Zakamouline, S Koekebakker
European Financial Management 15 (5), 934-970, 2009
532009
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
382006
Kelly criterion for multivariate portfolios: A model-free approach
V Nekrasov
Available at SSRN 2259133, 2014
35*2014
Block bootstrap methods and the choice of stocks for the long run
P Cogneau, V Zakamouline
Quantitative Finance 13 (9), 1443-1457, 2013
31*2013
Market timing with moving averages: The anatomy and performance of trading rules
V Zakamulin
Springer, 2017
292017
A test of covariance-matrix forecasting methods
V Zakamulin
The Journal of Portfolio Management 41 (3), 97-108, 2015
272015
A unified approach to portfolio optimization with linear transaction costs
VI Zakamouline
Mathematical Methods of Operations Research 62 (2), 319-343, 2005
262005
Dynamic Asset Allocation Strategies Basedon Unexpected Volatility
V Zakamulin
The Journal of Alternative Investments 16 (4), 37-50, 2014
252014
The CARMA interest rate model
A Andresen, FE Benth, S Koekebakker, V Zakamulin
International journal of theoretical and applied finance 17 (02), 1450008, 2014
252014
Forecasting the size premium over different time horizons
V Zakamulin
Journal of Banking & Finance 37 (3), 1061-1072, 2013
222013
The best hedging strategy in the presence of transaction costs
V Zakamouline
International journal of theoretical and applied finance 12 (06), 833-860, 2009
20*2009
American option pricing and exercising with transaction costs
V Zakamulin
Norwegian School of Economics and Business Administration Discussion Paper, 2003
19*2003
Superiority of optimized portfolios to naive diversification: Fact or fiction?
V Zakamulin
Finance Research Letters 22, 122-128, 2017
162017
Market timing with moving averages: Anatomy and performance of trading rules
V Zakamulin
Available at SSRN 2585056, 2016
162016
The CARMA interest rate model
FE Benth, S Koekebakker, V Zakamouline
Manuscript, University of Agder, 2010
152010
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Artikler 1–20