sample of publications

• articles 

  • Benefits of investing in cryptocurrencies when liquidity is a factor.  Research in International Business and Finance.  63. 2022
  • Using a hedging network to minimize portfolio risk.  Finance Research Letters.  44:1-6. 2022
  • Resampled efficient frontier integration for MOEAs.  Entropy.  23:422. 2021
  • Management sub-advising in the mutual fund industry.  JOURNAL OF FINANCIAL ECONOMICS.  127:567-587. 2018
  • Idiosyncratic volatility, conditional liquidity and stock returns.  International Review of Economics & Finance.  53:118-132. 2018
  • The idiosyncratic volatility anomaly: Corporate investment or investor mispricing?.  JOURNAL OF BANKING & FINANCE.  60:224-238. 2015
  • Time horizon trading and the idiosyncratic risk puzzle.  QUANTITATIVE FINANCE.  1-17. 2015
  • A study on short-selling constraints: total ban versus partial ban.  APPLIED ECONOMICS LETTERS.  22:99-103. 2015
  • Why is timing perverse?.  European Journal of Finance.  21:1334-1356. 2014
  • Accurately measuring gold mutual fund performance.  APPLIED ECONOMICS LETTERS.  21:268-271. 2014
  • Optimal diversification across mutual funds.  Applied Financial Economics.  23:119-122. 2013
  • The Value of Coskewness in Mutual Fund Performance Evaluation.  JOURNAL OF BANKING & FINANCE.  33:1664-1676. 2009

• conference contributions 

  • Management Subadvising: The Mutual Fund Industry 2014
  • Management Subadvising: The Mutual Fund Industry 2014
  • The idiosyncratic volatility anomaly: corporate investment or investor mispricing? 2014
  • The relevance of portfolio management core competencies in outsourcing decisions 2014
  • Management Subadvising: The Mutual Fund Industry 2013
  • Management Sub-Advising: Mutual Fund Industry 2012
  • A Genetic Algorithm for UPM/LPM Portfolio Optimisation 2008