37,643 Result(s)

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  1. No Access


    Household risk aversion and portfolio choices

    In practice, stock investment is one of the most important decisions made by households. The primary goal of this paper is to explain family investment decisions under the assumptions of household member’s pre...

    Weiwei Zhang in Mathematics and Financial Economics (2017)

  2. No Access


    Drawdown: from practice to theory and back again

    Maximum drawdown, the largest cumulative loss from peak to trough, is one of the most widely used indicators of risk in the fund management industry, but one of the least developed in the context of measures o...

    Lisa R. Goldberg, Ola Mahmoud in Mathematics and Financial Economics (2017)

  3. Open Access This content is freely available online to anyone, anywhere at any time.


    Arbitrage without borrowing or short selling?

    We show that a trader, who starts with no initial wealth and is not allowed to borrow money or short sell assets, is theoretically able to attain positive wealth by continuous trading, provided that she has pe...

    Jani Lukkarinen, Mikko S. Pakkanen in Mathematics and Financial Economics (2017)

  4. No Access


    Option spanning beyond \(L_p\) -models

    The aim of this paper is to study the spanning power of options in a static financial market that allows non-integrable assets. Our findings extend and unify the results in Galvani (J Math Econ 45(1):73–79, 2009)...

    N. Gao, F. Xanthos in Mathematics and Financial Economics (2017)

  5. No Access


    Optimal investment in markets with over and under-reaction to information

    In this paper we introduce a jump-diffusion model of shot-noise type for stock prices, taking into account over and under-reaction of the market to incoming news. We work in a partial information setting, by s...

    Giorgia Callegaro, M’hamed Gaïgi, Simone Scotti in Mathematics and Financial Economics (2017)

  6. No Access


    The effect of market power on risk-sharing

    The paper studies an oligopolistic equilibrium model of financial agents who aim to share their random endowments. The risk-sharing securities and their prices are endogenously determined as the outcome of a s...

    Michail Anthropelos in Mathematics and Financial Economics (2017)

  7. Journal

    Mathematics and Financial Economics

    Mathematics and Financial Economics

    Volume 1 / 2007 - Volume 11 / 2017

  8. Journal

    Journal of Asset Management

    Journal of Asset Management

    Volume 1 / 2000 - Volume 18 / 2017

  9. No Access


    Time-varying correlations and interrelations: Firm-level-based sector evidence

    Using firm-level data, we examine stock market correlations and interrelations for the G7 over the period 2000–2013. An examination using aggregate market data supports the view that correlations have risen an...

    P. Evans, David G. McMillan, Fiona J. McMillan in Journal of Asset Management (2017)

  10. No Access


    Religious anomalies in Islamic stock markets: The Hajj Effect in Saudi Arabia

    This study focuses on the issue of religious anomalies, particularly the Hajj effect, influencing returns and volatility of the Saudi stock market (also known as the Tadawul All-Share Index). Using daily price...

    Shaista Wasiuzzaman in Journal of Asset Management (2017)

  11. No Access


    Equal-weighted strategy: Why it outperforms value-weighted strategies? Theory and evidence

    Recent academic papers and practitioner publications suggest that equal-weighted portfolios (or 1/N portfolios) appear to outperform various other portfolio strategies. In addition, as the equal-weighted portfoli...

    Rama Malladi, Frank J. Fabozzi in Journal of Asset Management (2017)

  12. No Access


    A truly market-value weighted commodity index

    Commodity indices play a central role in passive commodity investing. However, a closer look at commodity indices reveals huge differences in construction and weighting. For stock market indices on the other s...

    Michael Ludwig, Herbert G. Mayer, Andreas W. Rathgeber in Journal of Asset Management (2017)

  13. No Access


    Managing ambiguity in asset allocation

    This paper is about the issue of input parameter uncertainty in portfolio optimization in a discrete setting with finite states (such as the case in a world with different macroeconomic regimes). In such a set...

    Hakan Kaya in Journal of Asset Management (2017)

  14. Journal

    Journal of Financial Services Marketing

    Journal of Financial Services Marketing

    Volume 5 / 2001 - Volume 22 / 2017

  15. No Access


    The orbit of consumer credit choices

    Resulting from instability in the UK financial climate in recent times, consumers have increasingly turned to alternative credit sources such as payday loans, logbook loans (car title loans) and pawning. Recog...

    Jane Brown, Anders Wäppling in Journal of Financial Services Marketing (2017)

  16. Journal

    Journal of Banking Regulation

    Journal of Banking Regulation

    Volume 3 / 2001 - Volume 18 / 2017

  17. No Access


    Integrated early warning prediction model for Islamic banks: the Malaysian case

    It is increasingly becoming important to predict the performance of Islamic banks in order to anticipate a problem before it materializes and negatively affects banks’ performance and financial standing. Benef...

    Jaizah Othman, Mehmet Asutay in Journal of Banking Regulation (2017)

  18. No Access


    The importance of service quality in British Muslim’s choice of an Islamic or non-Islamic bank account

    Using an extended SERVQUAL model, this study identifies and compares the importance of service quality to Muslim consumers with an Islamic or non-Islamic bank account in a non-Muslim country, Britain. Eight gr...

    Najat Abdullrahim, Julie Robson in Journal of Financial Services Marketing (2017)

  19. Journal

    Decisions in Economics and Finance

    Decisions in Economics and Finance

    Volume 1 / 1978 - Volume 39 / 2016

  20. No Access


    A differential game in a duopoly with instantaneous incentives

    In this paper, we study a differential game in which two competing firms exploit a public renewable resource that is relevant from a landscape point of view. We consider a policy maker that provides an instant...

    Luca Grilli, Michele Bisceglia in Decisions in Economics and Finance (2017)

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