Valeriy Ivanovich Zakamulin - Universitetet i Agder
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Valeriy Ivanovich Zakamulin


38 14 10 39
480 62 652
9I253 ( Gimlemoen 19, Kristiansand )
Department of Economics and Finance


Selected publications

(2014) "The Real-Life Performance of Market Timing with Moving Average and Time-Series Momentum Rules", forthcoming in the Journal of Asset Management

(2014) "Dynamic Asset Allocation Strategies Based on Unexpected Volatility", Journal of Alternative Investments, Volume 16, Issue 14, pages 37-50

(2014) "The CARMA Interest Rate Model", (with F. Benth, S. Koekebakker, and A. Andresen)International Journal of Theoretical & Applied Finance, Volume 17, Issue 2

(2014) "Portfolio Performance Evaluation with Loss Aversion", Quantitative FinanceVolume 14, Issue 4, pages 699-710

(2014) "Predictable Dynamics in the Small Stock Premium", Economics Research International, Volume 2014, Article ID 405231

(2013) "Block Bootstrap Methods and the Choice of Stocks for the Long Run", (with P. Cogneau) Quantitative Finance, Volume 13, Number 9, pages 1443-1457

(2013) "Forecasting the Size Premium Over Different Time Horizons", Journal of Banking and Finance, Volume 37, Number 3, pages 1061-1072

(2011) "Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship", Economics Research International, Volume 2011, Article ID 781760

(2011) "The Performance Measure You Choose Influences the Evaluation of Hedge Funds", Journal of Performance Measurement, Volume 15, Number 3, pages 48-64.

(2010) "On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note", Journal of Portfolio Management, Volume 37, Number 1, pages 92-104.

(2009) "The Best Hedging Strategy in the Presence of Transaction Costs", International Journal of Theoretical & Applied Finance, Volume 12, Number 6, pages 833-860

(2009) "A Generalisation of the Mean-Variance Analysis", (with S. Koekebakker), European Financial Management, Volume 15, Number 5, pages 934-970

(2009) "Portfolio Performance Evaluation with Generalized Sharpe Ratios: Beyond the Mean and Variance", (with S. Koekebakker), Journal of Banking and Finance, Volume 33, Number 7, pages 1242-1254

(2008) "Hedging of Option Portfolios and Options on Several Assets with Transaction Costs and Nonlinear Partial Differential Equations", International Journal of Contemporary Mathematical Sciences, Volume 3, Number 4, pages 159-180

(2006) "Efficient Analytic Approximation of the Optimal Hedging Strategy for a European Call Option with Transaction Costs", Quantitative Finance, Volume 6, Number 5, pages 435 - 445

(2006) "European Option Pricing and Hedging with both Fixed and Proportional Transaction Costs", Journal of Economic Dynamics and Control, Volume 30, Number 1, pages 1-25

(2005) "A Unified Approach to Portfolio Optimization with Linear Transaction Costs", Mathematical Methods of Operations Research, Volume 62, Number 2, November 2005, pages 319-343

(2005) "American Option Pricing and Exercising with Transaction Costs", Journal of Computational Finance, Volume 8, Number 3, pages 81-113

Last changed: 2014-11-24 10:21:14


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