Riza Demirer
Southern Illinois University Edwardsville, School of Business

Department of Economics & Finance

Alumni Hall 3144, Edwardsville, IL 62026-1102.

Office: AH 3144

 Phone: (618) 650-2939 (Office)
 Fax: (618) 650-3047
 rdemire@siue.edu

 Areas of interest

 

      Teaching: Corporate Finance, Derivatives, Risk Management, Investments, Capital Budgeting, Decision Theory

Research: Derivatives, Risk Management, Investments, Valuation, Real Options, Decision Theory, Bayesian Networks

Click here for CV.

 

Education

 

[1997 - 2003]

Ph.D.  

Business

University of Kansas, Lawrence, KS.

[1994 -1995]

M.Sc.

Operations Research

Lancaster University, Lancaster, England.

[1989 - 1994]

B.Sc.

Industrial Engineering

Bogazici University, Istanbul, Turkey.

 

 Publications

 

“Subset Selection in Multiple Linear Regression: A new Mathematical Programming Approach,” (with B. Eksioglu and I. Capar). Computers & Industrial Engineering, forthcoming.

“Does Herding Behavior Exist in Chinese Stock Markets?” (with Ali M. Kutan). Journal of International Financial Markets, Institutions & Money, forthcoming.

“Sequential Valuation Networks and Solution of Asymmetric Decision Problems,” (with Prakash P. Shenoy). European Journal of Operational Research, forthcoming.

“Correlation and Return Dispersion Dynamics in Chinese Markets,” (with D. Lien). International Review of Financial Analysis, forthcoming.

Demirer, R., Lien D. and D. Shaffer (2005) “Comparisons of Short and Long Hedge Performance: The Case of Taiwan” Journal of Multinational Financial Management 15, No. 1, 51-66.

Demirer, R., and D. Lien, (2004) “Firm-Level Return Dispersion and Correlation Asymmetry: Challenges for Portfolio Diversification” Applied Financial Economics 14, 447-456.

Demirer, R., and D. Lien, (2003) “Downside Risk for Short and Long Hedgers” International Review of Economics and Finance 12, No. 1 (Spring 2003), 25-44.

Demirer, R., and M. B. Karan, (2002) “An Investigation of the Day-of-the-Week Effect on Stock Returns in Turkey,” Emerging Markets Finance and Trade 38, No. 6 (Nov-Dec 2002), 47-77.

Demirer, R., and P. P. Shenoy, (2001) “Sequential Valuation Networks: A New Technique for Asymmetric Decision Problems,” Lecture Series in Artificial Intelligence 2143, S. Benferhat, P. Besnard (Eds.), Springer-Verlag Berlin Heidelberg, 252-265.

 

 Academic Achievements & Awards

 

2002                      FMA Doctoral Consortium, San Antonio, October 2002.

2002                      Reviewer for the National Science Foundation Decision, Risk, and Management Science – Economics program.

2001                      Reviewer for the National Science Foundation Decision, Risk, and Management Science program.

2000 - 2001           John O. Tollefson Doctoral Student Teaching Award at the University of Kansas.

1998 - 2000           Emil B. Dade scholarship in Business.

1997 - 2001           Dean’s List of students at the School of Business, University of Kansas.

1994 - 1995           British Council Scholarship for MS. Study at Lancaster University, Lancaster, England.

1989 - 1994           Ministry of Education Scholarship for BS. Study at Bogazici University, Istanbul, Turkey.

 

 Working papers

Working papers are available for download as Adobe's portable document format (PDF) files. To view/print Adobe's portable document format (PDF) files, you need Adobe's Acrobat Reader which is freely available from Adobe's download site.

    “Asymmetric Correlations of Futures Markets and Optimal Hedging.” (with John M. Charnes)

“Decision Tools to Improve Security Analysis,” (with C. Shenoy and Ron Mau)

“Influence Diagrams for Real Options Valuation,” (with John M. Charnes)

“A New Measure to Test Herd Formation in Equity Markets,” with Donald Lien.

           

 Works in progress

    

     “Optimal Hedges in Good Times and Bad: Options vs. Futures”

     “Downside Risk and the Effect of Hedging Period on Hedge Effectiveness”

     “Asset Prices under Regime Dependant Expectations”

 

 Presentations

 

“Comparisons of Short and Long Hedge Performance in an Emerging Market,” (with Donald Lien and David Shaffer) 2003 FMA annual meeting in Denver.

“Asymmetric Correlations of Futures Markets and Optimal Hedging,” (with John M. Charnes).

      2002 FMA Doctoral Consortium (Oct 16, 2002)

      2002 FMA annual meeting.

“Firm-level Return Dispersion and Correlation Asymmetry: Challenges for Portfolio Diversification,” (with Donald Lien) 2002 FMA annual meeting in San Antonio.

“Decision Tools to Improve Security Analysis,” (with C. Shenoy and Ron Mau) Presented at the Southern Finance Association meeting in Key West, November 2002.

“Representing and Solving Real Options with In uence Diagrams:Valuing a Biotechnology Firm,” The Institute for Operations Research and the Management Sciences National Meeting, November 2002.

“Downside Risk for Short and Long Hedgers,” Midwest Finance Association’s Annual Meeting, Chicago, March 2002.

“A New Measure to Test Herd Formation in Equity Markets,” Financial Management Association International Annual Meeting, Toronto, October 2001.

“Sequential Valuation Networks: A New Technique for Asymmetric Decision Problems,” Sixth European Conference on Symbolic and Quantitative Approaches to Reasoning with Uncertainty, Toulouse, France, 2001.

“A Note on Asymmetry in Decision Problems,” The Institute for Operations Research and the Management Sciences National Meeting, San Antonio, TX, November 2000.

“Sequential Valuation Networks and Solution of Asymmetric Decision Problems,” The Institute for Operations Research and the Management Sciences National Meeting, Philadelphia, PA, November, 1999.

 

 

Member of American Finance Association (AFA), Financial Management Association (FMA), Midwest Finance Association (MFA), The Institute for Operations Research and the Management Sciences (INFORMS).

 

Last updated August 2003
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