Web Access Research Portal

Researcher: Alexeev, V (Dr Vitali Alexeev)

Fields of Research

Investment and risk management
Financial econometrics
Time-series analysis
Economic development policy
Welfare economics
Public economics - taxation and revenue
Environment and resource economics

Research Objectives

Investment services (excl. superannuation)
Savings and investments
Financial services
Expanding knowledge in economics
Other economic framework
Expanding knowledge in commerce, management, tourism and services
Preference, behaviour and welfare
Superannuation and insurance services
Microeconomic effects of taxation
Micro labour market issues

Career Best Publications

Research Publications

Concurrent momentum and contrarian strategies in the Australian stock market; Australian Journal of Management
Continuous and jump betas: implications for portfolio diversification; Econometrics
Equity portfolio diversification with high frequency data; Quantitative Finance
Exchange rate risk exposure and the value of European Firms; The European Journal of Finance
How many stocks are enough for diversifying Canadian institutional portfolios?; Canadian Investment Review
Localized level crossing random walk test robust to the presence of structural breaks; Computational Statistics and Data Analysis
Testing weak form efficiency on the Toronto Stock Exchange; Journal of Empirical Finance
The number of stocks in your portfolio should be larger than you think: diversification evidence from five developed markets; The Journal of Investment Strategies
Time-varying continuous and jump betas: the role of firm characteristics and periods of stress; Journal of Empirical Finance
What Australian Investors need to know to diversify their portfolios; JASSA

Research Projects

Equity portfolio diversification: how many stocks are too many? Evidence from developed markets; Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)
Event Study Methods: A Comparison, Applications and Extensions; University of Tasmania (UTAS)
ICFE 2015 : International Conference on Finance and Economics (ICFE); University of Tasmania (UTAS)
Large scale robust portfolio optimisation with high-frequency data; Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)
The Econometric Society Australasian Meeting 2011 4 TO 7 jULY 2011, Australia (June 2011); University of Tasmania (UTAS)
To Rebalance or Not to Rebalance: Portfolio risk may be larger than you think!; Accounting & Finance Association of Australia and New Zealand Ltd (AFAANZ)
Trading with Exchange-Traded Funds - A Low Cost One-Size-Fits-All Alternative?; University of Tasmania (UTAS)

Research Candidate Supervision

Global and regional Systemic Risk Index- A Tool of Detecting Systemic Exposure of Firms
Global Financial Crises and International Contagion Effects (with reference to banking system)
Idiosyncratic Risk Assessment in the Mortgage Market