Universitetet i Agder

Valeriy Ivanovich Zakamulin

Professor

Office:: 9I253 ( Universitetsveien 19, Kristiansand )

Valeriy Zakamulin is Professor of Finance at the School of Business and Law at the University of Agder. He holds an MS in Radio Engineering from Novgorod State University (Russia), and both an MS in Economics and Business Administration and a PhD in Finance from the NHH Norwegian School of Economics.

Zakamulin worked for many years as a Research Fellow at the computer science department of the Novgorod State University, developing both computer hardware and software. Since 2006, Zakamulin has been employed by the University of Agder, where he teaches graduate courses in finance. He is a former Associate Professor at the Graduate School of Business of the Nord University (Norway), and a former Associate Professor II at the University of Stavanger (Norway).

Zakamulin has published more than 40 articles in various refereed academic and practitioner journals. Examples of such journals are Journal of Economic Dynamics and Control, Journal of Banking and Finance, Quantitative Finance, Journal of Portfolio Management, International Journal of Forecasting, and International Review of Financial Analysis.

Zakamulin is a frequent speaker on international conferences. He has also served on editorial boards of such economics and finance journals as Open Economic Journal, Journal of Banking and Finance, and International Journal of Emerging Markets. Zakamulin is the author of Market Timing with Moving Averages, a book published by Springer and Palgrave Macmillan. This book is supplied by interactive web-illustrations and a series of blog post entitled Trend Following with Valeriy Zakamulin.

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Courses and teaching

BE-421 Investments
BE-511 Derivatives
SE-507 Machine Learning with Applications in Finance

Academic interests

time-series analysis
return predictability
risk predictability
behavioral finance
trend-following investment

Projects

Research groups

Accounting and Finance

General outreach

A series of blog post entitled Trend Following with Valeriy Zakamulin

Scientific publications

Zakamulin, Valeriy Ivanovich (2023). A New Predictability Pattern in the US Stock Market Returns. Journal of Portfolio Management. ISSN: 0095-4918. 49 (3). s 169 - 183. doi:10.3905/jpm.2022.1.437.
Giner, Javier; Zakamulin, Valeriy Ivanovich (2023). A regime-switching model of stock returns with momentum and mean reversion. Economic Modelling. ISSN: 0264-9993. 122doi:10.1016/j.econmod.2023.106237.
Zakamulin, Valeriy Ivanovich (2023). Not all bull and bear markets are alike: insights from a five-state hidden semi-Markov model. Risk Management: An International Journal. ISSN: 1460-3799. 25 (1). doi:10.1057/s41283-022-00112-y.
Zakamulin, Valeriy Ivanovich; Giner, Javier (2023). Optimal trend-following with transaction costs. International Review of Financial Analysis. ISSN: 1057-5219. 90s 1 - 17. doi:10.1016/j.irfa.2023.102928.
Zakamulin, Valeriy (2022). Revisiting the duration dependence in the US stock market cycles. Applied Economics. ISSN: 0003-6846. doi:10.1080/00036846.2022.2089344.
Zakamulin, Valeriy; Giner, Javier (2022). Time series momentum in the US stock market: Empirical evidence and theoretical analysis. International Review of Financial Analysis. ISSN: 1057-5219. 82doi:10.1016/j.irfa.2022.102173.
Koekebakker, Steen; Zakamulin, Valeriy (2021). Warren Buffett versus Zvi Bodie: Should You Buy Or Sell Put Options?. The journal of wealth management. ISSN: 1534-7524. 24 (2). s 65 - 81. doi:10.3905/jwm.2021.1.137.
Zakamulin, Valeriy; Hunnes, John A. (2020). Stock earnings and bond yields in the US 1871–2017 : The story of a changing relationship. Quarterly Review of Economics and Finance. ISSN: 1062-9769. 79s 182 - 197. doi:10.1016/j.qref.2020.05.013.
Li, Xingyi; Zakamulin, Valeriy (2020). Stock volatility predictability in bull and bear markets. Quantitative finance (Print). ISSN: 1469-7688. doi:10.1080/14697688.2020.1725101.
Zakamulin, Valeriy; Giner, Javier (2020). Trend following with momentum versus moving averages: a tale of differences. Quantitative finance (Print). ISSN: 1469-7688. 20 (6). s 985 - 1007. doi:10.1080/14697688.2020.1716057.
Li, Xingyi; Zakamulin, Valeriy (2019). The term structure of volatility predictability. International Journal of Forecasting. ISSN: 0169-2070. doi:10.1016/j.ijforecast.2019.08.010.
Zakamulin, Valeriy (2019). Volatility Weighting over Time in the Presence of Transaction Costs. The journal of wealth management. ISSN: 1534-7524. 21 (4). s 33 - 45. doi:10.3905/jwm.2019.21.4.033.
Zakamulin, Valeriy (2018). Revisiting the Profitability of Market Timing with Moving Averages. International Review of Finance. ISSN: 1369-412X. 18 (2). s 317 - 327. doi:10.1111/irfi.12132.
Zakamulin, Valeriy (2017). Secular Mean Reversion and Long-Run Predictability of the Stock Market. Bulletin of Economic Research. ISSN: 0307-3378. 69 (4). s 66 - 93. doi:10.1111/boer.12105.
Zakamulin, Valeriy (2017). Superiority of optimized portfolios to naive diversification: Fact or fiction?. Finance Research Letters. ISSN: 1544-6123. 22s 122 - 128. doi:10.1016/j.frl.2016.12.007.
Zakamulin, Valeriy (2016). Optimal dynamic portfolio risk management. Journal of Portfolio Management. ISSN: 0095-4918. 43 (1). s 85 - 99. doi:10.3905/jpm.2016.43.1.085.
Zakamulin, Valeriy (2015). A test of covariance-matrix forecasting methods. Journal of Portfolio Management. ISSN: 0095-4918. 41 (3). s 97 - 108. doi:10.3905/jpm.2015.41.3.097.
Zakamulin, Valeriy (2014). Dynamic Asset Allocation Strategies Based on Unexpected Volatility. The Journal of Alternative Investments. ISSN: 1520-3255. 16 (4). s 37 - 50. doi:10.3905/jai.2014.16.4.037.
Zakamulin, Valeriy (2014). Portfolio performance evaluation with loss aversion. Quantitative finance (Print). ISSN: 1469-7688. 14 (4). s 699 - 710. doi:10.1080/14697688.2011.620978.
Zakamulin, Valeriy (2014). Predictable Dynamics in the Small Stock Premium. Economics Research International. ISSN: 2090-2123. doi:10.1155/2014/405231.
Andresen, Arne; Benth, Fred Espen; Koekebakker, Steen; Zakamulin, Valeriy (2014). The CARMA interest rate model. International Journal of Theoretical and Applied Finance. ISSN: 0219-0249. 17 (2). doi:10.1142/S0219024914500083.
Zakamulin, Valeriy (2014). The real-life performance of market timing with moving average and time-series momentum rules. Journal of Asset Management. ISSN: 1470-8272. 15 (4). s 261 - 278. doi:10.1057/jam.2014.25.
Cogneau, Philippe; Zakamulin, Valeriy (2013). Block bootstrap methods and the choice of stocks for the long run. Quantitative finance (Print). ISSN: 1469-7688. 13 (9). s 1443 - 1457. doi:10.1080/14697688.2012.713115.
Zakamulin, Valeriy (2012). Forecasting the size premium over different time horizons. Journal of Banking & Finance. ISSN: 0378-4266. 37 (3). s 1061 - 1072. doi:10.1016/j.jbankfin.2012.11.006.
Zakamouline, Valeri (2011). Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship. Economics Research International. ISSN: 2090-2123. 2011doi:10.1155/2011/781760.
Zakamouline, Valeri (2011). The Performance Measure You Choose Influences the Evaluation of Hedge Funds. Journal of Performance Measurement. ISSN: 1522-8746. 15 (3). s 48 - 64. doi:10.2139/ssrn.1403246.
Benth, Fred Espen; Koekebakker, Steen; Zakamouline, Valeri (2010). A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components. AIP Conference Proceedings. ISSN: 0094-243X. 1281s 531 - 534. doi:10.1063/1.3498530.
Zakamouline, Valeri (2010). Are There Long Cycles in the U.S. Stock Market?. Økonomi og tid : 18 essays i Pufendorf-tradisjon : festskrift til professor Arild Sæther på 70-årsdagen, 8. august 2010. ISBN: 978-82-450-1024-4. Fagbokforlaget. Del 2. s 145 - 161.
Zakamouline, Valeri (2010). On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note. Journal of Portfolio Management. ISSN: 0095-4918. 37 (1). s 92 - 104. doi:10.3905/jpm.2010.37.1.092.
Zakamouline, Valeri; Koekebakker, Steen (2009). A Generalisation of the Mean-Variance Analysis. European Financial Management. ISSN: 1354-7798. 15 (5). s 934 - 970. doi:10.1111/j.1468-036X.2009.00483.x.
Zakamulin, Valeriy; Koekebakker, Steen (2009). A generalisation of the mean-variance analysis. European Financial Management. ISSN: 1354-7798. 15 (5). s 934 - 970.
Zakamouline, Valeri (2009). Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations. book ?Financial Hedging? edited by Patrick N. Catlere. ISBN: 9781606926659. Nova Science Publishers, Inc.. faglig_bok_forlag. s - - -.
Zakamouline, Valeri; Koekebakker, Steen (2009). Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance. Journal of Banking & Finance. ISSN: 0378-4266. 33 (7). s 1242 - 1254. doi:10.1016/j.jbankfin.2009.01.005.
Zakamouline, Valeri (2009). The Best Hedging Strategy in the Presence of Transaction Costs. International Journal of Theoretical and Applied Finance. ISSN: 0219-0249. 12 (6).
Zakamouline, Valeri (2008). Hedging of Option Portfolios and Options on Several Assets with Transaction Costs and Nonlinear Partial Differential Equations. International Journal of Contemporary Mathematical Sciences. ISSN: 1312-7586. 3 (4). s 159 - 180.
Zakamouline, Valeri (2008). Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations. ``Nonlinear Models in Mathematical Finance: Research Trends in Option Pricing" edited by Matthias Ehrhardt. Nova Science Publishers, Inc.. faglig_bok_forlag.
Zakamouline, Valeri (2007). On the Pricing and Hedging of Options on Commodity Forward and Futures Contracts. A Note. The Icfai Journal of Derivatives Markets. ISSN: 0972-9119. 4 (2). s 6 - 21.
Zakamouline, Valeri (2006). Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs. Quantitative finance (Print). ISSN: 1469-7688. 6 (5). s 435 - 445.
Zakamouline, Valeri (2006). European option pricing and hedging with both fixed and proportional transaction costs. Journal of Economic Dynamics and Control. ISSN: 0165-1889. 30 (1). s 1 - 25.
Zakamouline, Valeri (2005). A unified approach to portfolio optimization with linear transaction costs. Mathematical Methods of Operations Research. ISSN: 1432-2994. 62 (2). s 319 - 343.
Zakamouline, Valeri (2005). American option pricing and exercising with transaction costs. Journal of Computational Finance. ISSN: 1460-1559. 8 (3). s 81 - 113.

Zakamulin, Valeriy (2017). Market Timing with Moving Averages: The Anatomy and Performance of Trading Rules. ISBN: 3319609696. Palgrave Macmillan. s 278.

Zakamulin, Valeriy; Giner, Javier (2022). A Semi-Markov Model for Stock Returns with Momentum and Mean-Reversion.

Sectors

Business

In social media

Last changed: 18.03.2023 11:03