Details about Abraham Lioui

Access statistics for papers by Abraham Lioui.

Last updated 2019-02-07. Update your information in the RePEc Author Service.

Short-id: pli509

Working Papers

2007

1. Green Taxation and Individual Responsibility
   Post-Print, HAL View citations (3)
   Also in CAE Working Papers, Aix-Marseille Université, CERGAM (2006)
   Post-Print, HAL (2007) View citations (3)
   See also Journal Article Green taxation and individual responsibility, Ecological Economics, Elsevier (2007) View citations (4) (2007)

2006

2. Taxation and The Crowding-Out Effect of Corporate Social Responsibility
   Working Papers, HAL View citations (1)

2001

3. Dynamic Asset Pricing With Non-Redundant Forwards
   Working Papers, Bar-Ilan University, Department of Economics
   See also Journal Article Dynamic asset pricing with non-redundant forwards, Journal of Economic Dynamics and Control, Elsevier (2003) View citations (3) (2003)
4. General Equilibrium Pricing of Trading Strategy Risk
   Working Papers, Bar-Ilan University, Department of Economics
5. International Asset Allocation: A New Perspective
   Working Papers, Bar-Ilan University, Department of Economics
   See also Journal Article International asset allocation: A new perspective, Journal of Banking & Finance, Elsevier (2003) View citations (7) (2003)

Journal Articles

2019

1. Macroeconomic environment, money demand and portfolio choice
   European Journal of Operational Research, 2019, 274, (1), 357-374 View citations (4)

2016

2. Understanding dynamic mean variance asset allocation
   European Journal of Operational Research, 2016, 254, (1), 320-337 View citations (9)

2014

3. Interest Rate Risk and the Cross Section of Stock Returns
   Journal of Financial and Quantitative Analysis, 2014, 49, (2), 483-511 View citations (25)

2013

4. Optimal benchmarking for active portfolio managers
   European Journal of Operational Research, 2013, 226, (2), 268-276 View citations (13)
5. Time consistent vs. time inconsistent dynamic asset allocation: Some utility cost calculations for mean variance preferences
   Journal of Economic Dynamics and Control, 2013, 37, (5), 1066-1096 View citations (7)

2012

6. Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects
   Ecological Economics, 2012, 78, (C), 100-111 View citations (94)
7. On model ambiguity and money neutrality
   Journal of Macroeconomics, 2012, 34, (4), 1020-1033 View citations (1)

2011

8. Misunderstanding risk and return?
   Finance, 2011, 32, (2), 91-136 View citations (2)

2010

9. Money and Asset Prices in a Production Economy
   Finance, 2010, 31, (2), 007-049

2008

10. Erratum to "Green taxation and individual responsibility" [Ecological Economics 63 (2007) 732-739]
    Ecological Economics, 2008, 66, (2-3), 554-554
11. Monetary non-neutrality in the Sidrauski model under uncertainty
    Economics Letters, 2008, 100, (1), 22-26 View citations (8)

2007

12. Green taxation and individual responsibility
    Ecological Economics, 2007, 63, (4), 732-739 View citations (4)
    See also Working Paper Green Taxation and Individual Responsibility, Post-Print (2007) View citations (3) (2007)
13. Habit persistence in consumption and the demand for money
    Economics Letters, 2007, 96, (2), 168-176
14. The asset allocation puzzle is still a puzzle
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1185-1216 View citations (8)

2006

15. Black‐Scholes‐Merton revisited under stochastic dividend yields
    Journal of Futures Markets, 2006, 26, (7), 703-732 View citations (4)

2005

16. General equilibrium pricing of CPI derivatives
    Journal of Banking & Finance, 2005, 29, (5), 1265-1294 View citations (7)
17. Stochastic dividend yields and derivatives pricing in complete markets
    Review of Derivatives Research, 2005, 8, (3), 151-175 View citations (1)

2004

18. General equilibrium real and nominal interest rates
    Journal of Banking & Finance, 2004, 28, (7), 1569-1595 View citations (8)

2003

19. Dynamic asset pricing with non-redundant forwards
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1163-1180 View citations (3)
    See also Working Paper Dynamic Asset Pricing With Non-Redundant Forwards, Working Papers (2001) (2001)
20. General equilibrium pricing of nonredundant forward contracts
    Journal of Futures Markets, 2003, 23, (9), 817-840 View citations (2)
21. International asset allocation: A new perspective
    Journal of Banking & Finance, 2003, 27, (11), 2203-2230 View citations (7)
    See also Working Paper International Asset Allocation: A New Perspective, Working Papers (2001) (2001)

2002

22. Optimal currency risk hedging
    Journal of International Money and Finance, 2002, 21, (2), 241-264 View citations (6)

2001

23. Mean‐variance efficiency of the market portfolio and futures trading
    Journal of Futures Markets, 2001, 21, (4), 329-346
24. On optimal portfolio choice under stochastic interest rates
    Journal of Economic Dynamics and Control, 2001, 25, (11), 1841-1865 View citations (41)

2000

25. Bernoulli speculator and trading strategy risk
    Journal of Futures Markets, 2000, 20, (6), 507-523 View citations (1)
26. The Minimum Variance Hedge Ratio Under Stochastic Interest Rates
    Management Science, 2000, 46, (5), 658-668 View citations (7)

1999

27. Spreading currency forwards: why and how?
    Journal of International Money and Finance, 1999, 18, (2), 305-317

1998

28. Currency risk hedging: Futures vs. forward
    Journal of Banking & Finance, 1998, 22, (1), 61-81 View citations (1)
29. Erratum to "Currency risk hedging: Futures vs. forward" [J. Banking and Finance 22 (1) (1998) 61-81]1
    Journal of Banking & Finance, 1998, 22, (5), 611-612
30. Optimal spreading when spreading is optimal
    Journal of Economic Dynamics and Control, 1998, 23, (2), 277-301 View citations (2)

1997

31. Marking‐to‐market and the demand for interest rate futures contracts
    Journal of Futures Markets, 1997, 17, (3), 303-316

1996

32. Optimal Dynamic Hedging in Incomplete Futures Markets
    The Geneva Risk and Insurance Review, 1996, 21, (1), 103-122 View citations (1)
33. Optimal hedging in a dynamic futures market with a nonnegativity constraint on wealth
    Journal of Economic Dynamics and Control, 1996, 20, (6-7), 1101-1113 View citations (9)