Annals of Finance

2005 - 2010

Edited by C.D. Aliprantis

from Springer
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Macroeconomics of bank interest spreads: evidence from Brazil pp. 1-32: Nelson Souza-Sobrinho
Rating systems, procyclicality and Basel II: an evaluation in a general equilibrium framework pp. 33-49: Chiara Pederzoli, Costanza Torricelli and Dimitrios Panayotis Tsomocos
Repeated lending under contractual incompleteness pp. 51-82: Vinicius Carrasco and João Mello
Beliefs regarding fundamental value and optimal investing pp. 83-105: Bradford Cornell, Jakša Cvitanić and Levon Goukasian
Partial equilibria with convex capital requirements: existence, uniqueness and stability pp. 107-135: Michail Anthropelos and Gordan Žitković
Strategic complementarity of information in financial markets with large shocks pp. 137-145: Christophe Chamley
No arbitrage conditions for simple trading strategies pp. 147-156: Erhan Bayraktar and Hasanjan Sayit

Entrepreneurship, finance and employment pp. 289-293: Mariacristina De Nardi and Anne Villamil
Entrepreneurship in macroeconomics pp. 295-311: Vincenzo Quadrini
A conversation with 590 Nascent Entrepreneurs pp. 313-340: Jeffrey Campbell and Mariacristina De Nardi
Small firms in the SSBF pp. 341-359: Neus Herranz, Stefan Krasa and Anne Villamil
Minority self-employment in the United States and the impact of affirmative action programs pp. 361-396: David Blanchflower
The financing of small entrepreneurs in Italy pp. 397-419: Silvia Magri
The probability of transition to entrepreneurship revisited: wealth, education and age pp. 421-441: Camilo Mondragón-Vélez
A dynamic model of entrepreneurship with borrowing constraints: theory and evidence pp. 443-464: Francisco Buera
Entrepreneurship and firm heterogeneity with limited enforcement pp. 465-494: Alexander Monge-Naranjo
Self-employment rates and business size: the roles of occupational choice and credit market frictions pp. 495-519: Ahmet Akyol and Kartik Athreya
Uninsurable investment risks and capital income taxation pp. 521-541: Cesaire Meh and Yaz Terajima

Banks, markets, and efficiency pp. 131-160: Falko Fecht and Antoine Martin
On the cost of delayed currency fixing announcements pp. 161-174: Christoph Becker and Uwe Wystup
Imperfect competition in differentiated credit contract markets pp. 175-187: Naoki Kojima
On the calibration of structural credit spread models pp. 189-208: Howard Qi, Sheen Liu and Chunchi Wu
Strategic market games with cyclic endowments pp. 209-230: Barbara Bennie
The profitability of carry trades pp. 231-241: Jose Olmo and Keith Pilbeam
On the general equilibrium costs of perfectly anticipated inflation pp. 243-262: Paulo Barelli and Samuel Abreu Pessôa
On the equivalence of a class of affine term structure models pp. 263-279: Oh Kwon
Short note on inf-convolution preserving the Fatou property pp. 281-287: Beatrice Acciaio

Behavior in a simplified stock market: the status quo bias, the disposition effect and the ostrich effect pp. 1-14: Alexander Brown and John Kagel
Small caps in international equity portfolios: the effects of variance risk pp. 15-48: Massimo Guidolin and Giovanna Nicodano
Alternatives to the normal model of stock returns: Gaussian mixture, generalised logF and generalised hyperbolic models pp. 49-68: Andreas Behr and Ulrich Pötter
The impact of prior performance on the risk-taking of mutual fund managers pp. 69-90: Manuel Ammann and Michael Verhofen
Valuation before and after tax in the discrete time, finite state no arbitrage model pp. 91-123: Bjarne Jensen
Banking fragility and liquidity creation: options as a substitute for deposits pp. 125-129: Wolf Wagner

Pricing options in incomplete equity markets via the instantaneous Sharpe ratio pp. 399-429: Erhan Bayraktar and Virginia Young
Robust portfolio optimization with a generalized expected utility model under ambiguity pp. 431-444: Xiaoxian Ma, Qingzhen Zhao and Jilin Qu
Short-term relative arbitrage in volatility-stabilized markets pp. 445-454: Adrian Banner and Daniel Fernholz
Informational leverage: the problem of noise traders pp. 455-480: Norvald Instefjord and Kouji Sasaki
Technology driven organizational structure of the firm pp. 481-503: Rene van den Brink and Pieter H.M. Ruys
A computational study on general equilibrium pricing of derivative securities pp. 505-523: Jacco Thijssen

Demand shocks and market manipulation pp. 269-298: Marcelo Pinheiro
Liquidity and market incompleteness pp. 299-303: Felipe Zurita
Solving an asset pricing model with hybrid internal and external habits, and autocorrelated Gaussian shocks pp. 305-344: Yu Chen, Thomas F. Cosimano and Alex Himonas
Optimal portfolio allocation under the probabilistic VaR constraint and incentives for financial innovation pp. 345-367: Jon Danielsson, Bjorn N. Jorgensen, Casper G. de Vries and Xiaoguang Yang
Balance, growth and diversity of financial markets pp. 369-397: Constantinos Kardaras

The social value of risk-free government debt pp. 131-155: Stacey Schreft and Bruce D. Smith
Amplification and asymmetry in crashes and frenzies pp. 157-181: Han Nazmi Ozsoylev
Capital market equilibrium without riskless assets: heterogeneous expectations pp. 183-195: D. Won, G. Hahn and N. Yannelis
Managing the risk of loan prepayments and the optimal structure of short term lending rates pp. 197-215: Bryan Stanhouse and Duane Stock
Fractals in trade duration: capturing long-range dependence and heavy tailedness in modeling trade duration pp. 217-241: Wei Sun, Svetlozar Rachev, Frank Fabozzi and Petko Kalev
Fair (intra-bank transfer) prices for credits with stochastic recovery pp. 243-253: Johannes Leitner
On the semimartingale property via bounded logarithmic utility pp. 255-268: Kasper Larsen and Gordan Žitković

Optimal portfolio allocation with higher moments pp. 1-28: Jaksa Cvitanic, Vassilis Polimenis and Fernando Zapatero
The price of rapid exit in venture capital-backed IPOs pp. 29-53: Silvia Rossetto
A PDE approach for risk measures for derivatives with regime switching pp. 55-74: Robert Elliott, Tak Kuen Siu and Leunglung Chan
Who controls Allianz? pp. 75-103: Victor Dorofeenko, Larry H. P. Lang, Klaus Ritzberger and Jamsheed Shorish
Prospect and Markowitz stochastic dominance pp. 105-129: Wing-Keung Wong and R. Chan