Valeriy Ivanovich Zakamulin - Universitetet i Agder
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Valeriy Ivanovich Zakamulin

Professor

E-mail:
valeri.zakamouline@uia.no
Telephone:
38 14 10 39
Mobile:
480 62 652
Office:
9I253 ( Gimlemoen 19, Kristiansand )
Website:
http://vzakamulin.weebly.com/
Department:
Department of Economics and Finance

Projects

Research groups

  • Accounting and Finance

Background

Valeriy Zakamulin is Professor of Finance at the School of Business and Law, University of Agder, Norway, where he teaches graduate courses in Finance. His first graduate academic degree is a MS in Radio Engineering. After receiving this degree, Valeriy Zakamulin had been working for many years as a research fellow at a computer science department, developing both computer hardware and software. Later on Valeriy Zakamulin received a MS in Economics and Business Administration and a PhD in Finance. 

He has published more than 30 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, and International Journal of Theoretical and Applied Finance.  

Valeriy 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 and Journal of Banking and Finance. Currently he serves as a senior editor for the International Journal of Emerging Markets. 

Recently, Valeriy Zakamulin has written a book on “Market Timing with Moving Averages” 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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Academic interests

Courses taught

  • Finance Theory
  • Computational Finance and Portfolio Management

Supervision

Every year, Valeriy Zakamulin supervises master thesis to 4-12 students. Currently he also supervises one PhD student.

Current research interests

  • portfolio optimization
  • time-series analysis
  • return predictability
  • risk predictability
  • behavioral finance
  • technical analysis

Last changed: 2017-10-15 10:43:04

Sectors

Research groups

Publications

  • Zakamulin Valeriy Secular Mean Reversion and Long-Run Predictability of the Stock Market (2017). Bulletin of Economic Research . ISSN 0307-3378. 69 (4), s E66 - E93 doi: 10.1111/boer.12105
  • Zakamulin Valeriy Superiority of optimized portfolios to naive diversification: Fact or fiction? (2017). Finance Research Letters . ISSN 1544-6123. 22 s 122 - 128 doi: 10.1016/j.frl.2016.12.007
  • Zakamulin Valeriy Optimal dynamic portfolio risk management (2016). Journal of Portfolio Management . ISSN 0095-4918. 43 (1), s 85 - 99 doi: 10.3905/jpm.2016.43.1.085
  • Zakamulin Valeriy A test of covariance-matrix forecasting methods (2015). Journal of Portfolio Management . ISSN 0095-4918. 41 (3), s 97 - 108 doi: 10.3905/jpm.2015.41.3.097
  • Zakamulin Valeriy Dynamic Asset Allocation Strategies Based on Unexpected Volatility (2014). The Journal of Alternative Investments . ISSN 1520-3255. 16 (4), s 37 - 50 doi: 10.3905/jai.2014.16.4.037
  • Zakamulin Valeriy Portfolio performance evaluation with loss aversion (2014). Quantitative finance (Print) . ISSN 1469-7688. 14 (4), s 699 - 710 doi: 10.1080/14697688.2011.620978
  • Zakamulin Valeriy Predictable Dynamics in the Small Stock Premium (2014). Economics Research International . ISSN 2090-2123. s - doi: 10.1155/2014/405231
  • Andresen Arne, Benth Fred Espen, Koekebakker Steen, Zakamulin Valeriy, The CARMA interest rate model (2014). International Journal of Theoretical and Applied Finance . ISSN 0219-0249. 17 (2), s - doi: 10.1142/S0219024914500083
  • Zakamulin Valeriy The real-life performance of market timing with moving average and time-series momentum rules (2014). Journal of Asset Management . ISSN 1470-8272. 15 (4), s 261 - 278 doi: 10.1057/jam.2014.25
  • Cogneau Philippe, Zakamulin Valeriy, Block bootstrap methods and the choice of stocks for the long run (2013). Quantitative finance (Print) . ISSN 1469-7688. 13 (9), s 1443 - 1457 doi: 10.1080/14697688.2012.713115
  • Zakamulin Valeriy Forecasting the size premium over different time horizons (2013). Journal of Banking & Finance . ISSN 0378-4266. 37 (3), s 1061 - 1072 doi: 10.1016/j.jbankfin.2012.11.006
  • Zakamouline Valeri Sharpe (Ratio) Thinking about the Investment Opportunity Set and CAPM Relationship (2011). Economics Research International . ISSN 2090-2123. 2011 s - doi: 10.1155/2011/781760
  • Zakamouline Valeri The Performance Measure You Choose Influences the Evaluation of Hedge Funds (2011). Journal of Performance Measurement . ISSN 1522-8746. 15 (3), s 48 - 64
  • Benth Fred Espen, Koekebakker Steen, Zakamouline Valeri, A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components (2010). AIP Conference Proceedings . ISSN 0094-243X. 1281 s 531 - 534 doi: 10.1063/1.3498530
  • Zakamouline Valeri Are There Long Cycles in the U.S. Stock Market? (2010).
  • Zakamouline Valeri On the Consistent Use of VaR in Portfolio Performance Evaluation: A Cautionary Note (2010). Journal of Portfolio Management . ISSN 0095-4918. 37 (1), s 92 - 104 doi: 10.3905/jpm.2010.37.1.092
  • Zakamouline Valeri, Koekebakker Steen, A Generalisation of the Mean-Variance Analysis (2009). European Financial Management . ISSN 1354-7798. 15 (5), s 934 - 970 doi: 10.1111/j.1468-036X.2009.00483.x
  • Zakamulin Valeriy, Koekebakker Steen, A generalisation of the mean-variance analysis (2009). European Financial Management . ISSN 1354-7798. 15 (5), s 934 - 970
  • Zakamouline Valeri Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations (2009).
  • Zakamouline Valeri, Koekebakker Steen, Portfolio performance evaluation with generalized Sharpe ratios: Beyond the mean and variance (2009). Journal of Banking & Finance . ISSN 0378-4266. 33 (7), s 1242 - 1254 doi: 10.1016/j.jbankfin.2009.01.005
  • Zakamouline Valeri The Best Hedging Strategy in the Presence of Transaction Costs (2009). International Journal of Theoretical and Applied Finance . ISSN 0219-0249. 12 (6),
  • Zakamouline Valeri Hedging of Option Portfolios and Options on Several Assets with Transaction Costs and Nonlinear Partial Differential Equations (2008). International Journal of Contemporary Mathematical Sciences . ISSN 1312-7586. 3 (4), s 159 - 180
  • Zakamouline Valeri Option Pricing and Hedging in the Presence of Transaction Costs and Nonlinear Partial Differential Equations (2008).
  • Zakamouline Valeri On the Pricing and Hedging of Options on Commodity Forward and Futures Contracts. A Note (2007). The Icfai Journal of Derivatives Markets . ISSN 0972-9119. 4 (2), s 6 - 21
  • Zakamouline Valeri Efficient analytic approximation of the optimal hedging strategy for a European call option with transaction costs (2006). Quantitative finance (Print) . ISSN 1469-7688. 6 (5), s 435 - 445
  • Zakamouline Valeri European option pricing and hedging with both fixed and proportional transaction costs (2006). Journal of Economic Dynamics and Control . ISSN 0165-1889. 30 (1), s 1 - 25
  • Zakamouline Valeri A unified approach to portfolio optimization with linear transaction costs (2005). Mathematical Methods of Operations Research . ISSN 1432-2994. 62 (2), s 319 - 343
  • Zakamouline Valeri American option pricing and exercising with transaction costs (2005). Journal of Computational Finance . ISSN 1460-1559. 8 (3), s 81 - 113
  • Zakamulin Valeriy Superiority of optimized portfolios to naive diversification: Fact or fiction? (2017). Finance Research Letters . ISSN 1544-6123. 22 s 122 - 128 doi: 10.1016/j.frl.2016.12.007
  • Zakamulin Valeriy Trend-Following with Valeriy Zakamulin (2017).
  • Zakamulin Valeriy Abnormal Stock Market Returns around Peaks in VIX: The Evidence of Investor Overreaction? (2017).
  • Zakamulin Valeriy Secular Mean Reversion and Long-Run Predictability of the Stock Market (2017). Bulletin of Economic Research . ISSN 0307-3378. 69 (4), s E66 - E93 doi: 10.1111/boer.12105
  • Zakamulin Valeriy Optimal dynamic portfolio risk management (2016). Journal of Portfolio Management . ISSN 0095-4918. 43 (1), s 85 - 99 doi: 10.3905/jpm.2016.43.1.085
  • Zakamulin Valeriy Abnormal Stock Market Returns around Peaks in VIX: The Evidence of Investor Overreaction? (2016).
  • Zakamulin Valeriy A Comprehensive Look at the Empirical Performance of Moving Average Trading Strategies (2016).
  • Zakamulin Valeriy A test of covariance-matrix forecasting methods (2015). Journal of Portfolio Management . ISSN 0095-4918. 41 (3), s 97 - 108 doi: 10.3905/jpm.2015.41.3.097
  • Zakamulin Valeriy Optimal Dynamic Portfolio Risk Management (2015).
  • Zakamulin Valeriy Market Timing with Moving Averages: Anatomy and Performance of Trading Rules (2015).

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