Publications

Title Author Year Publication type
2023-01: Skin in the Game: Risk Analysis of Central Counterparties Rama Cont; Samim Ghamami 2023 2023 Working Papers
2023-03: Lack of Compactness of Budget Sets in Infinite Dimensional Commodity Spaces and Its Consequences Konstantin Magin 2023 2023 Working Papers
Ownership of ESG Characteristics Mark Bateman; Lisa Goldberg 2023 Journal Article
Portfolio optimization via strategy-specific eigenvector shrinkage Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval 2023 Other Research Areas
2023-02: General Equilibrium Theory For Climate Change Robert Anderson; Haosui Duanmu 2023 2023 Working Papers
A Resampling Approach for Causal Inference on Novel Two-Point Time-Series with Application to Identify Risk Factors for Type-2 Diabetes and Cardiovascular Disease Xiaowu Dai; Saad Mouti; Marjorie Lima Do Vale; Sumantra Ray; Jeffrey Bohn; Lisa Goldberg 2023 Journal Article
James-Stein for the Leading Eigenvector Lisa Goldberg; Alec Kercheval 2023 Journal Article
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik 2022 Journal Article
Sustainable investing and the cross-section of returns and maximum drawdown Lisa Goldberg; Saad Mouti 2022 Journal Article
2022-2: A propagation model to quantify business interruption losses in supply chain networks Hubeyb Gurdogan; Nariman Maddah; Reyhaneh Mohammadi; Elena Pesce; Alicia Montoya; Jeffrey Bohn; Katherine Dalis 2022 Working Papers
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger 2022 Journal Article
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2022 Journal Article
On Existence Of Berk-Nash Equilibria In Misspecified Markov Decision Processes With Infinite Spaces Robert Anderson; Haosui Duanmu; Aniruddha Ghosh; M. Ali Khan 2022 Journal Article
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? Jeffrey Bohn; Lisa Goldberg; Simge Ulucam 2022 Journal Article
The Dispersion Bias Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik 2022 Journal Article
2021-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates Konstantin Magin 2021 2021 Working Papers
James-Stein estimation of the first principal component Alex Shkolnik 2021 Journal Article
2021-03: Skin in the Game: Risk Analysis of Central Counterparties Rama Cont; Samim Ghamami 2021 2021 Working Papers
ESG Does Not Mean Impact Kathleen Houssels 2021 Commentary
2021-02: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2021 2021 Working Papers
Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2021 Journal Article
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting Lisa Goldberg; Taotao Cai; Pete Hand 2021 Journal Article
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou 2021 Journal Article
2021-01: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2021 2021 Working Papers
2020-02: Skin in the Game: Risk Analysis of Central Counterparties Rama Cont; Samim Ghamami 2020 2020 Working Papers
2020-01: Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2020 2020 Working Papers
Submodular Risk Allocation Samim Ghamami; Paul Glasserman 2019 Journal Article
Deep Learning for Mortgage Risk Justin Sirignano; Apaar Sadhwani; Kay Giesecke 2018 Journal Article
2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy Konstantin Magin 2018 2018 Working Papers
2018-03: Initial Margin Modeling of Credit Default Swap Portfolios Samim Ghamami; Baeho Kim; Dong Hwan Oh 2018 2018 Working Papers
2018-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy Konstantin Magin 2018 2018 Working Papers
2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates Konstantin Magin 2017 2017 Working Papers
Do the Golden State Warriors Have Hot Hands? Lisa Goldberg 2017 Other Research Areas
Derivatives Pricing under Bilateral Counterparty Risk Peter Carr; Samim Ghamami 2017 Journal Article
Does OTC Derivatives Reform Incentivize Central Clearing? Samim Ghamami; Paul Glasserman 2017 Journal Article
Central Clearing and Unintended Consequences of OTC Derivatives Reform Samim Ghamami 2017 2017 Working Papers
Do Steph Curry and Klay Thompson Have Hot Hands? Alon Daks; Nishant Desai; Lisa Goldberg 2017 Other Research Areas
2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2017 2017 Working Papers
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg 2017 Journal Article
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk Stephen Bianchi; Lisa Goldberg; Allan Rosenberg 2017 Journal Article
Controlling shareholders' value, long-run firm value and short-term performance Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang 2017 Journal Article
2017-01: Controlling shareholders’ value, long-run firm value and short-term performance Kyong Shik Eom; Robert Anderson; Hyung Cheol Kang; Sang Koo Kang 2017 2017 Working Papers
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles Robert H. Edelstein; Konstantin Magin 2017 Journal Article
2016-06: PIN, Adjusted PIN, and PSOS: Difference of Opinion in the Korean Stock Market Kyong Shik Eom; Jangkoo Kang; Kyung Yoon Kwon 2016 2016 Working Papers
Optimizing Value Ran Leshem; Lisa Goldberg; Alan Cummings 2016 Journal Article
Drawdown: From Practice to Theory and Back Again Lisa Goldberg; Ola Mahmoud 2016 Journal Article
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn 2016 Journal Article
2016-04: The effect of listing switches from a growth market to a main board: An alternative perspective Jong-Ho Park; Ki Beom Binh; Kyong Shik Eom 2016 2016 Working Papers
2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2016 2016 Working Papers
The Temporal Dimension of Risk Ola Mahmoud 2016 Journal Article