1. Irrational risk-taking of professionals? The relationship between risk exposures and previous profits. (2021). Dömötör, Barbara ; Berlinger, Edina ; Domotor, Barbara ; Szcs, Balazs Arpad.
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2. CAPM-anomalies: quantitative puzzles. (2019). Elmiger, Sabine.
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3. Existence of equilibrium and price adjustments in a finance economy with incomplete markets. (2006). Thijssen, Jacco ; Talman, Adolphus.
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1. Modelling dynamic dependence between crude oil prices and Asia-Pacific stock market returns. (2014). Li, Sufang ; Zhu, Hui-Ming .
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2. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2014). LINTON, OLIVER ; Battey, Heather.
   In: Journal of Multivariate Analysis.
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3. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
   In: CeMMAP working papers.
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4. Nonparametric estimation of multivariate elliptic densities via finite mixture sieves. (2013). LINTON, OLIVER ; Battey, Heather.
   In: CeMMAP working papers.
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5. Financial market liberalization and the pricing of idiosyncratic risk. (2013). Martell, Rodolfo ; Wald, John ; Huang, Biqing.
   In: Emerging Markets Review.
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6. Multivariate Tests of Mean-Variance Efficiency and Spanning with a Large Number of Assets and Time-Varying Covariances. (2013). Luger, Richard ; Gungor, Sermin.
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7. Asset pricing with partial-moments. (2012). Anthonisz, Sean A..
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8. 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.
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9. 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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10. 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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11. Test of Higher Moment Capital Asset Pricing Model in Case of Pakistani Equity Market. (2009). Javid, Attiya.
    In: MPRA Paper.
    RePEc:pra:mprapa:38059.

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12. Category-based Tail Comovement. (2009). Charpentier, Arthur ; Galariotis, Emilios ; Villa, Christophe.
    In: Working Papers.
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13. 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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14. 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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15. 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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16. 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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17. 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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18. 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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19. The Econometrics of Mean-Variance Efficiency Tests: A Survey. (2008). Sentana, Enrique.
    In: Working Papers.
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20. 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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21. Multivariate Location-Scale Mixtures of Normals and Mean-Variance-skewness Portfolio Allocation. (2008). Sentana, Enrique ; Mencia, Javier.
    In: Working Papers.
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22. How do Markets React to Fundamental Shocks? An Experimental Analysis on Underreaction and Momentum. (2007). Weber, Martin ; Welfens, Frank .
    In: Sonderforschungsbereich 504 Publications.
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23. 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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24. Managing international portfolios with small capitalization stocks. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
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25. Small caps in international equity portfolios: the effects of variance risk. (2007). Nicodano, Giovanna ; Guidolin, Massimo.
    In: Working Papers.
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26. Portfolio choice beyond the traditional approach. (2007). Penaranda, Francisco .
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:24481.

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27. 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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28. 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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29. An asset pricing model for mean-variance-downside-risk averse investors. (2007). Olmo, Jose.
    In: Working Papers.
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30. A Prospect-Theoretical Interpretation of Momentum Returns. (2006). Schmeling, Maik ; Menkhoff, Lukas.
    In: Hannover Economic Papers (HEP).
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31. 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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32. 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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33. 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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34. 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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35. Prices and Portfolio Choices in Financial Markets: Theory and Experiment. (2006). Zame, William ; Bossaerts, Peter ; Plott, Charles .
    In: Levine's Bibliography.
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36. 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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37. 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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38. 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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39. Semiparametric multivariate volatility models. (2004). Rombouts, Jeroen ; Hafner, Christian ; Rombouts, Jeroen V. K., .
    In: Papers.
    RePEc:zbw:caseps:200414.

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40. Semiparametric multivariate volatility models. (2004). Hafner, Christian ; Rombouts, J. V. K., .
    In: Econometric Institute Research Papers.
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41. 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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42. Orthogonal Subgroups for Portfolio Choice. (2004). .
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    RePEc:ebl:ecbull:v:7:y:2004:i:1:p:1-7.

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43. 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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44. 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.
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45. 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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46. 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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47. 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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48. 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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49. 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.
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50. 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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51. 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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52. 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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53. 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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54. 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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55. 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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56. The role of corporate image and extension similarity in service brand extensions. (2000). Kubler, Felix ; Herings, P. Jean-Jacques.
    In: Research Memorandum.
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57. 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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58. Mean-variance-skewness analysis: an application to risk premia in the Spanish stock market. (1998). Sentana, Enrique ; Sanchez-Torres, Pedro L..
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    RePEc:iec:inveco:v:22:y:1998:i:1:p:5-17.

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59. 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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