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Details about Abraham Lioui

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Workplace:Département Comptabilité, Droit, Finance et Économie (Department of Accounting, Law, Finance and Economics), Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)

Access statistics for papers by Abraham Lioui.

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

Short-id: pli509


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Working Papers

2007

  1. Green Taxation and Individual Responsibility
    Post-Print, HAL View citations (2)
    Also in CAE Working Papers, Aix-Marseille Université, CERGAM (2006) Downloads
    Post-Print, HAL (2007) View citations (2)

    See also Journal Article in Ecological Economics (2007)

2006

  1. Taxation and The Crowding-Out Effect of Corporate Social Responsibility
    Working Papers, HAL Downloads

2001

  1. Dynamic Asset Pricing With Non-Redundant Forwards
    Working Papers, Bar-Ilan University, Department of Economics Downloads
    See also Journal Article in Journal of Economic Dynamics and Control (2003)
  2. General Equilibrium Pricing of Trading Strategy Risk
    Working Papers, Bar-Ilan University, Department of Economics Downloads
  3. International Asset Allocation: A New Perspective
    Working Papers, Bar-Ilan University, Department of Economics Downloads
    See also Journal Article in Journal of Banking & Finance (2003)

Journal Articles

2019

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

2016

  1. Understanding dynamic mean variance asset allocation
    European Journal of Operational Research, 2016, 254, (1), 320-337 Downloads View citations (5)

2014

  1. Interest Rate Risk and the Cross Section of Stock Returns
    Journal of Financial and Quantitative Analysis, 2014, 49, (2), 483-511 Downloads View citations (15)

2013

  1. Optimal benchmarking for active portfolio managers
    European Journal of Operational Research, 2013, 226, (2), 268-276 Downloads View citations (5)
  2. 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 Downloads View citations (6)

2012

  1. Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects
    Ecological Economics, 2012, 78, (C), 100-111 Downloads View citations (36)
  2. On model ambiguity and money neutrality
    Journal of Macroeconomics, 2012, 34, (4), 1020-1033 Downloads View citations (1)

2011

  1. Misunderstanding risk and return?
    Finance, 2011, 32, (2), 91-136 Downloads View citations (1)

2010

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

2008

  1. Erratum to "Green taxation and individual responsibility" [Ecological Economics 63 (2007) 732-739]
    Ecological Economics, 2008, 66, (2-3), 554-554 Downloads
  2. Monetary non-neutrality in the Sidrauski model under uncertainty
    Economics Letters, 2008, 100, (1), 22-26 Downloads View citations (7)

2007

  1. Green taxation and individual responsibility
    Ecological Economics, 2007, 63, (4), 732-739 Downloads View citations (3)
    See also Working Paper (2007)
  2. Habit persistence in consumption and the demand for money
    Economics Letters, 2007, 96, (2), 168-176 Downloads
  3. The asset allocation puzzle is still a puzzle
    Journal of Economic Dynamics and Control, 2007, 31, (4), 1185-1216 Downloads View citations (7)

2006

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

2005

  1. General equilibrium pricing of CPI derivatives
    Journal of Banking & Finance, 2005, 29, (5), 1265-1294 Downloads View citations (6)
  2. Stochastic dividend yields and derivatives pricing in complete markets
    Review of Derivatives Research, 2005, 8, (3), 151-175 Downloads View citations (1)

2004

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

2003

  1. Dynamic asset pricing with non-redundant forwards
    Journal of Economic Dynamics and Control, 2003, 27, (7), 1163-1180 Downloads View citations (4)
    See also Working Paper (2001)
  2. General equilibrium pricing of nonredundant forward contracts
    Journal of Futures Markets, 2003, 23, (9), 817-840 Downloads View citations (1)
  3. International asset allocation: A new perspective
    Journal of Banking & Finance, 2003, 27, (11), 2203-2230 Downloads View citations (7)
    See also Working Paper (2001)

2002

  1. Optimal currency risk hedging
    Journal of International Money and Finance, 2002, 21, (2), 241-264 Downloads View citations (3)

2001

  1. Mean‐variance efficiency of the market portfolio and futures trading
    Journal of Futures Markets, 2001, 21, (4), 329-346 Downloads
  2. On optimal portfolio choice under stochastic interest rates
    Journal of Economic Dynamics and Control, 2001, 25, (11), 1841-1865 Downloads View citations (38)

2000

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

1999

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

1998

  1. Currency risk hedging: Futures vs. forward
    Journal of Banking & Finance, 1998, 22, (1), 61-81 Downloads
  2. 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 Downloads
  3. Optimal spreading when spreading is optimal
    Journal of Economic Dynamics and Control, 1998, 23, (2), 277-301 Downloads View citations (2)

1997

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

1996

  1. Optimal Dynamic Hedging in Incomplete Futures Markets
    The Geneva Risk and Insurance Review, 1996, 21, (1), 103-122 Downloads View citations (1)
  2. 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 Downloads View citations (8)
 
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