All Stories

  1. A Test of Covariance-Matrix Forecasting Methods

    Article • The Journal of Portfolio Management, March 2015, Institutional Investor Journals

    Professor Valeriy Zakamulin

  2. Optimal Dynamic Portfolio Risk Management

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Valeriy Zakamulin

  3. Market Timing with a Robust Moving Average

    Article • SSRN Electronic Journal, January 2015, Elsevier

    Professor Valeriy Zakamulin

  4. The real-life performance of market timing with moving average and time-series momentum rules

    Article • Journal of Asset Management, August 2014, Nature

    Professor Valeriy Zakamulin

  5. THE CARMA INTEREST RATE MODEL

    Article • International Journal of Theoretical and Applied Finance, March 2014, World Scientific Pub Co Pte Lt

    Professor Valeriy Zakamulin

  6. Dynamic Asset Allocation Strategies Based on Unexpected Volatility

    Article • The Journal of Alternative Investments, March 2014, Institutional Investor Journals

    Professor Valeriy Zakamulin

  7. Predictable Dynamics in the Small Stock Premium

    Article • Economics Research International, January 2014, Hindawi Publishing Corporation

    Professor Valeriy Zakamulin

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

    Article • Quantitative Finance, September 2013, Taylor & Francis

    Professor Valeriy Zakamulin

  9. Forecasting the size premium over different time horizons

    Article • Journal of Banking & Finance, March 2013, Elsevier

    Professor Valeriy Zakamulin

  10. Portfolio performance evaluation with loss aversion

    Article • Quantitative Finance, November 2011, Taylor & Francis

    Professor Valeriy Zakamulin

  11. Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship

    Article • Economics Research International, January 2011, Hindawi Publishing Corporation

    Professor Valeriy Zakamulin

  12. A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components

    Article • January 2010, American Institute of Physics

    Professor Valeriy Zakamulin

  13. A Generalisation of the Mean-Variance Analysis

    Article • European Financial Management, November 2009, Wiley

    Professor Valeriy Zakamulin

  14. Improving network stations for oblique incidence sounding of ionospheric radio wave propagation

    Article • Advances in Space Research, January 1988, Elsevier

    Professor Valeriy Zakamulin

  15. Market Timing with Moving Averages: Anatomy and Performance of Trading Rules

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  16. A Comprehensive Look at the Real-Life Performance of Moving Average Trading Strategies

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  17. Secular Mean Reversion and Long-Run Predictability of the Stock Market

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  18. Yet Another Note on the Leland's Option Hedging Strategy with Transaction Costs

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  19. Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  20. Optimal Hedging of Option Portfolios with Transaction Costs

    Article • SSRN Electronic Journal, Elsevier

    Professor Valeriy Zakamulin

  21. American Option Pricing and Exercising with Transaction Costs

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  23. A Generalization of the Mean-Variance Analysis

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  24. Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

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

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  27. The Best Hedging Strategy in the Presence of Transaction Costs

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin

  28. A Unified Approach to Portfolio Optimization with Linear Transaction Costs

    Article • SSRN Electronic Journal, Social Science Electronic Publishing

    Professor Valeriy Zakamulin