1. The impact of impact investing. (2025). van Binsbergen, Jules H ; Berk, Jonathan B.
   In: Journal of Financial Economics.
   RePEc:eee:jfinec:v:164:y:2025:i:c:s0304405x24001958.

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2. Regularizing stock return covariance matrices via multiple testing of correlations. (2025). Luger, Richard.
   In: Journal of Econometrics.
   RePEc:eee:econom:v:248:y:2025:i:c:s030440762400099x.

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3. Existence and uniqueness of quadratic and linear mean-variance equilibria in general semimartingale markets. (2024). Herdegen, Martin ; Martins, David ; Czichowsky, Christoph.
   In: Papers.
   RePEc:arx:papers:2408.03134.

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4. Regularizing stock return covariance matrices via multiple testing of correlations. (2024). Luger, Richard.
   In: Papers.
   RePEc:arx:papers:2407.09696.

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5. A critical look at the Aumann-Serrano and Foster-Hart measures of riskiness. (2022). Chew, Soo Hong ; Sagi, Jacob S.
   In: Economic Theory.
   RePEc:spr:joecth:v:74:y:2022:i:2:d:10.1007_s00199-022-01451-3.

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6. Dynamic optimal portfolio choice under time-varying risk aversion. (2021). Esparcia, Carlos ; Diaz, Antonio.
   In: International Economics.
   RePEc:eee:inteco:v:166:y:2021:i:c:p:1-22.

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7. The three-factor model without a linear return generating process. (2021). Bergeron, Claude.
   In: Economics Bulletin.
   RePEc:ebl:ecbull:eb-21-00211.

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8. Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Topaloglou, Nikolas ; Nguyen, Duc Khuong.
   In: MPRA Paper.
   RePEc:pra:mprapa:103870.

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9. Asset Classes and Portfolio Diversification: Evidence from a Stochastic Spanning Approach. (2020). Walther, Thomas ; Nguyen, Duc Khuong ; Topaloglou, Nikolas.
   In: Working Papers.
   RePEc:ipg:wpaper:2020-009.

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10. Robust Inference in the Capital Asset Pricing Model Using the Multivariate t -distribution. (2020). Curci, Roberto ; Galea, Manuel ; Cademartori, David ; Molina, Alonso.
    In: JRFM.
    RePEc:gam:jjrfmx:v:13:y:2020:i:6:p:123-:d:370994.

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11. Testing error distribution by kernelized Stein discrepancy in multivariate time series models. (2020). Zhu, Ke ; Gong, Huan ; Li, Dong ; Luo, Donghang.
    In: Papers.
    RePEc:arx:papers:2008.00747.

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12. Spanning analysis of stock market anomalies under Prospect Stochastic Dominance. (2020). Topaloglou, Nikolas ; Scaillet, Olivier ; Arvanitis, Stelios.
    In: Papers.
    RePEc:arx:papers:2004.02670.

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13. Statistical Inference for the Beta Coefficient. (2019). Vitlinskyi, Valdemar ; Zabolotskyy, Taras ; Bodnar, Taras ; Gupta, Arjun K.
    In: Risks.
    RePEc:gam:jrisks:v:7:y:2019:i:2:p:56-:d:231435.

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14. An analysis of asset pricing models using out of sample data from the NYSE: 1900-1925. (2019). Wonder, Nick ; Simon, Miguel Cantillo.
    In: Working Papers.
    RePEc:fcr:wpaper:201904.

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15. Determination and estimation of risk aversion coefficients. (2018). Okhrin, Yarema ; Vitlinskyy, Valdemar ; Zabolotskyy, Taras ; Bodnar, Taras.
    In: Computational Management Science.
    RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0317-x.

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16. Volatility, diversification and contagion. (2018). Sentana, Enrique.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:12824.

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17. Volatility, Diversification and Contagion. (2018). Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2018_1803.

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18. A test for the global minimum variance portfolio for small sample and singular covariance. (2017). Mazur, Stepan ; Bodnar, Taras ; Podgorski, Krzysztof.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:101:y:2017:i:3:d:10.1007_s10182-016-0282-z.

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19. How risky is the optimal portfolio which maximizes the Sharpe ratio?. (2017). Zabolotskyy, Taras ; Bodnar, Taras.
    In: AStA Advances in Statistical Analysis.
    RePEc:spr:alstar:v:101:y:2017:i:1:d:10.1007_s10182-016-0270-3.

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20. Asset Pricing with Downside Liquidity Risks. (2017). Putnins, Talis ; Anthonisz, Sean A.
    In: Management Science.
    RePEc:inm:ormnsc:v:63:y:2017:i:8:p:2549-2572.

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21. Tests for conditional ellipticity in multivariate GARCH models. (2017). Francq, Christian ; Meintanis, S G ; Jimenez-Gamero, M D.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:196:y:2017:i:2:p:305-319.

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22. Multivariate Tests of Mean-Variance Efficiency and Spanning With a Large Number of Assets and Time-Varying Covariances. (2016). Luger, Richard ; Gungor, Sermin.
    In: Journal of Business & Economic Statistics.
    RePEc:taf:jnlbes:v:34:y:2016:i:2:p:161-175.

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23. Exact and asymptotic tests on a factor model in low and large dimensions with applications. (2016). Bodnar, Taras ; Reiss, Markus.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:150:y:2016:i:c:p:125-151.

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24. Tests for sphericity in multivariate garch models. (2015). Francq, Christian ; Meintanis, Simos ; Jimenez, Maria Dolores.
    In: MPRA Paper.
    RePEc:pra:mprapa:67411.

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25. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2014). LINTON, OLIVER ; Battey, Heather.
    In: Journal of Multivariate Analysis.
    RePEc:eee:jmvana:v:123:y:2014:i:c:p:43-67.

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26. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:41/13.

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27. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
    In: CeMMAP working papers.
    RePEc:ifs:cemmap:15/13.

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28. Investment Performance: A Review and Synthesis. (2013). Ferson, Wayne E.
    In: Handbook of the Economics of Finance.
    RePEc:eee:finchp:2-b-969-1010.

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29. Financial market liberalization and the pricing of idiosyncratic risk. (2013). Martell, Rodolfo ; Wald, John ; Huang, Biqing.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:17:y:2013:i:c:p:44-59.

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30. Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances. (2013). Luger, Richard ; Gungor, Sermin.
    In: Staff Working Papers.
    RePEc:bca:bocawp:13-16.

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31. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
    In: CeMMAP working papers.
    RePEc:azt:cemmap:41/13.

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32. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
    In: CeMMAP working papers.
    RePEc:azt:cemmap:15/13.

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33. Asset pricing with partial-moments. (2012). Anthonisz, Sean A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:2122-2135.

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34. Two Paradigms and Nobel Prizes in Economics: a Contradiction or Coexistence?. (2012). Hens, Thorsten ; Levy, Haim ; de Giorgi, Enrico G.
    In: European Financial Management.
    RePEc:bla:eufman:v:18:y:2012:i:2:p:163-182.

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35. Economically relevant preferences for all observed epsilon. (2010). Leshno, Moshe ; Levy, Haim ; Leibovitch, Boaz .
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:176:y:2010:i:1:p:153-178:10.1007/s10479-008-0470-7.

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36. Using the credit spread as an option-risk factor: Size and value effects in CAPM. (2010). Min, Hong-Ghi ; Kim, Hwagyun ; Hwang, Young-Soon ; McDonald, Judith A..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:12:p:2995-3009.

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37. Asset-pricing anomalies and spanning: Multivariate and multifactor tests with heavy-tailed distributions. (2010). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:17:y:2010:i:4:p:763-782.

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38. Gains from diversification on convex combinations: A majorization and stochastic dominance approach. (2010). Wong, Wing-Keung ; Egozcue, Martin.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:200:y:2010:i:3:p:893-900.

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39. A comparison of mean-variance efficiency tests. (2010). Sentana, Enrique ; Amengual, Dante.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:154:y:2010:i:1:p:16-34.

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40. The CAPM is Alive and Well: A Review and Synthesis. (2010). Levy, Haim.
    In: European Financial Management.
    RePEc:bla:eufman:v:16:y:2010:i:1:p:43-71.

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41. Capital market equilibrium with heterogeneous investors. (2009). Yitzhaki, Shlomo ; Shalit, Haim.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:6:p:757-766.

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42. Stress testing by financial intermediaries: Implications for portfolio selection and asset pricing. (2009). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:18:y:2009:i:1:p:65-92.

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43. Exact distribution-free tests of mean-variance efficiency. (2009). Luger, Richard ; Gungor, Sermin.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:16:y:2009:i:5:p:816-829.

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44. Multivariate location-scale mixtures of normals and mean-variance-skewness portfolio allocation. (2009). Sentana, Enrique ; Mencia, Javier.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:153:y:2009:i:2:p:105-121.

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45. A test for the weights of the global minimum variance portfolio in an elliptical model. (2008). Schmid, Wolfgang ; Bodnar, Taras.
    In: Metrika: International Journal for Theoretical and Applied Statistics.
    RePEc:spr:metrik:v:67:y:2008:i:2:p:127-143.

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46. Active portfolio management with benchmarking: Adding a value-at-risk constraint. (2008). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:32:y:2008:i:3:p:779-820.

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47. Testing for ellipsoidal symmetry: A comparison study. (2008). Sakhanenko, Lyudmila.
    In: Computational Statistics & Data Analysis.
    RePEc:eee:csdana:v:53:y:2008:i:2:p:565-581.

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48. The Econometrics of Mean-Variance Efficiency Tests: A Survey. (2008). Sentana, Enrique.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0807.

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49. A Comparison of Mean-Variance Efficiency Tests. (2008). Sentana, Enrique ; Amengual, Dante ; Amegual, Dante .
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0806.

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50. Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation. (2008). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
    RePEc:cmf:wpaper:wp2008_0805.

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51. Approximate CAPM When Preferences are CRRA. (2007). Kubler, Felix ; Herings, P. Jean-Jacques.
    In: Computational Economics.
    RePEc:kap:compec:v:29:y:2007:i:1:p:13-31.

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52. Portfolio choice beyond the traditional approach. (2007). Penaranda, Francisco .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24481.

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53. Conditions for a CAPM equilibrium with positive prices. (2007). Levy, Moshe.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:137:y:2007:i:1:p:404-415.

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54. Mean-variance portfolio selection with `at-risk constraints and discrete distributions. (2007). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:31:y:2007:i:12:p:3761-3781.

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55. Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach. (2006). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:53:y:2006:i:7:p:1631-1660.

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56. Multi-output firm under price uncertainty. (2006). Hennessy, David.
    In: Journal of Economics and Business.
    RePEc:eee:jebusi:v:58:y:2006:i:3:p:181-201.

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57. Downside risk and asset pricing. (2006). Vliet, Pim ; Post, Thierry ; van Vliet, Pim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:3:p:823-849.

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58. Portfolio selection with a drawdown constraint. (2006). Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:30:y:2006:i:11:p:3171-3189.

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59. Prices and Portfolio Choices in Financial Markets: Theory and Experiment. (2006). Zame, William ; Bossaerts, Peter ; Plott, Charles .
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000001322.

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60. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions. (2005). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2005-04.

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61. Prices and Portfolio Choices in Financial Markets: Theory and Experiments. (2005). Zame, William ; Plott, Charles ; Bossaerts, Peter.
    In: UCLA Economics Working Papers.
    RePEc:cla:uclawp:840.

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62. Exact Multivariate Tests of Asset Pricing Models with Stable Asymmetric Distributions. (2005). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2005s-03.

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63. Semiparametric multivariate volatility models. (2004). Rombouts, Jeroen ; Hafner, Christian ; Rombouts, Jeroen V. K., .
    In: Papers.
    RePEc:zbw:caseps:200414.

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64. Semiparametric multivariate volatility models. (2004). Hafner, Christian ; Rombouts, J. V. K., .
    In: Econometric Institute Research Papers.
    RePEc:ems:eureir:1286.

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65. The mathematics of the portfolio frontier: a geometry-based approach. (2004). Bick, Avi.
    In: The Quarterly Review of Economics and Finance.
    RePEc:eee:quaeco:v:44:y:2004:i:2:p:337-361.

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66. Orthogonal Subgroups for Portfolio Choice. (2004). .
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:7:y:2004:i:1:p:1-7.

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67. Testing mean-variance efficiency in CAPM with possibly non-gaussian errors: an exact simulation-based approach. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Discussion Paper Series 1: Economic Studies.
    RePEc:zbw:bubdp1:4196.

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68. Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montec:07-2003.

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69. Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2003-09.

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70. An economic perspective on Iowa farm diversification in the twentieth century. (2003). Miller, Matthew Edward.
    In: ISU General Staff Papers.
    RePEc:isu:genstf:2003010108000018194.

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71. Asset prices and omitted moments; A stochastic dominance analysis of market efficiency. (2003). Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:430.

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72. Statistical Inference on Stochastic Dominance Efficiency. Do Omitted Risk Factors Explain the Size and Book-to-Market Effects?. (2003). Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:279.

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73. Existence of Equilibrium and Zero-Beta Pricing Formula in the Capital Asset Pricing Model with Heterogeneous Beliefs. (2003). yang, zaifu ; Sun, Ning.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2003:v:4:i:1:p:51-71.

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74. Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2003s-33.

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75. Does Risk Seeking drive Asset Prices?. (2002). Post, Thierry ; Levy, Haim.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20020070.

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76. TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montec:17-2002.

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77. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: Cahiers de recherche.
    RePEc:mtl:montde:2002-17.

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78. Testing the capital asset pricing model efficiently under elliptical symmetry: a semiparametric approach. (2002). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Journal of Applied Econometrics.
    RePEc:jae:japmet:v:17:y:2002:i:6:p:617-639.

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79. Does Risk Seeking Drive Asset Prices? A stochastic dominance analysis of aggregate investor preferences. (2002). Levy, H. ; Post, G. T..
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:204.

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80. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors: an Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
    In: CIRANO Working Papers.
    RePEc:cir:cirwor:2002s-85.

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81. Efficient Estimation of Conditional Asset Pricing Models. (2001). Hodgson, Douglas ; Vorkink, Keith.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:144.

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82. Testing the Capital Asset Pricing Model Efficiently Under Elliptical Symmetry: A Semiparametric Approach. (2001). LINTON, OLIVER ; Hodgson, Douglas ; Vorkink, Keith.
    In: Cahiers de recherche CREFE / CREFE Working Papers.
    RePEc:cre:crefwp:143.

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83. The role of corporate image and extension similarity in service brand extensions. (2000). Kubler, Felix ; Herings, P. Jean-Jacques.
    In: Research Memorandum.
    RePEc:unm:umamet:2000035.

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84. The Robustness of the CAPM-A Computational Approach. (2000). Kubler, Felix ; Herings, P. Jean-Jacques.
    In: Econometric Society World Congress 2000 Contributed Papers.
    RePEc:ecm:wc2000:0400.

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85. The Robustness of the CAPM - A Computational Approach. (1999). Kubler, Felix ; Herings, P. Jean-Jacques ; Herings, P. J. J., .
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:06a4e5b2-f380-4d5b-a96f-82be861692ba.

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86. The Robustness of the CAPM - A Computational Approach. (1999). Kubler, Felix ; Herings, P. Jean-Jacques ; Herings, P. J. J., .
    In: Discussion Paper.
    RePEc:tiu:tiucen:06a4e5b2-f380-4d5b-a96f-82be861692ba.

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87. Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market. (1998). Sentana, Enrique ; Sanchez-Torres, Pedro L..
    In: Investigaciones Economicas.
    RePEc:iec:inveco:v:22:y:1998:i:1:p:5-17.

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88. Aggregation, Determinacy, and Informational Efficiency for a Class of Economies with Asymmetric Information. (1998). DeMarzo, Peter ; Skiadas, Costis.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:80:y:1998:i:1:p:123-152.

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24. Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-Fit in Multivariate Regressions with Application to Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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25. Exact Skewness-Kurtosis Tests for Multivariate Normality and Goodness-of-fit in Multivariate Regressions with Application to Asset Pricing Models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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29. Exact skewness-kurtosis tests for multivariate normality and goodness-of-fit in multivariate regressions with application to asset pricing models. (2003). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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30. TESTING MEAN-VARIANCE EFFICIENCY IN CAPM WITH POSSIBLY NON-GAUSSIAN ERRORS : AN EXACT SIMULATION-BASED APPROACH. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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31. Testing Mean-Variance Efficiency in CAPM with Possibly Non-Gaussian Errors : An Exact Simulation-Based Approach. (2002). Khalaf, Lynda ; Dufour, Jean-Marie ; Beaulieu, Marie-Claude.
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