2020-01: Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2020 |
2020 Working Papers |
2018-01: 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 |
2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
Central Clearing and Unintended Consequences of OTC Derivatives Reform |
Samim Ghamami |
2017 |
2017 Working Papers |
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 |
2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2017 |
2017 Working Papers |
2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2017 |
2017 Working Papers |
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 |
2016-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2016 |
2016 Working Papers |
2016-02: Examining US REITs Pricing Bubbles: An Application of the CCAPM with Stochastic Taxation and Money Supply |
Robert H. Edelstein; Konstantin Magin |
2016 |
2016 Working Papers |
2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2016 |
2016 Working Papers |
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 |
2015-01: Hedging Against Tax Rate Uncertainty: Tax Rate Swaps |
Konstantin Magin |
2015 |
2015 Working Papers |
2015-02: Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis |
Robert H. Edelstein; Konstantin Magin |
2015 |
2015 Working Papers |
2015-03: Diversification Preferences in the Theory of Choice |
Ola Mahmoud; Enrico G. De Giorgi |
2015 |
2015 Working Papers |
2015-04: The Temporal Dimension of Drawdown |
Ola Mahmoud |
2015 |
2015 Working Papers |
2015-05: Are Sticky Prices Costly? Evidence from the Stock Market |
Yuriy Gorodnichenko; Michael Weber |
2015 |
2015 Working Papers |
2015-08: Large-Dimensional Factor Modeling Based on High-Frequency Observations |
Markus Pelger |
2015 |
2015 Working Papers |
2015-09: Understanding Systematic Risk: A High-Frequency Approach |
Markus Pelger |
2015 |
2015 Working Papers |
2015-10: Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2015 |
2015 Working Papers |
2014-04: Continuous-Time Principal-Agent Problem with Drift and Stochastic Volatility Control: With Applications to Delegated Portfolio Management |
Raymond C. W. Leung |
2014 |
2014 Working Papers |
2014-05: In Search of Statistically Valid Risk Factors |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach |
Robert H. Edelstein; Konstantin Magin |
2014 |
2014 Working Papers |
2014-02: Determinants of Levered Portfolio Return |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
2014-03: On a Convex Measure of Drawdown Risk |
Lisa Goldberg; Ola Mahmoud |
2014 |
2014 Working Papers |
2013-11: Centralized Clearing for Over-the-Counter Derivatives |
Gordon Rausser; William Balson; Reid Stevens |
2013 |
2013 Working Papers |
2013-12: Restoring Value to Minimum Variance |
Lisa Goldberg; Ran Leshem; Patrick Geddes |
2013 |
2013 Working Papers |
2013-13: How Relative Compensation can lead to Herding Behavior |
An Chen; Markus Pelger |
2013 |
2013 Working Papers |
2013-01: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
2013-02: Who Is (More) Rational? |
Syngjoo Choi; Shachar Kariv; Wieland Muller; Dan Silverman |
2013 |
2013 Working Papers |
2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability |
Maurice Obstfeld |
2013 |
2013 Working Papers |
2013-05: The Signal and the Noise by Nate Silver, reviewed by Lisa Goldberg |
Lisa Goldberg |
2013 |
2013 Working Papers |
2013-07: Contingent Capital, Tail Risk, and Debt-Induced Collapse |
Markus Pelger; Nan Chen; Paul Glasserman; Behzad Nouri |
2013 |
2013 Working Papers |
2013-08: There are no predictable jumps in arbitrage-free markets |
Markus Pelger |
2013 |
2013 Working Papers |
2013-09: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
2013-10: Pretrade and Risk-based Clearing: A Case Study of American International Group’s Super Senior CDS Portfolio 2005- 2008 |
William Balson; Gordon Rausser |
2013 |
2013 Working Papers |
2012-05: Minimizing Shortfall |
Lisa Goldberg; Ola Mahmoud |
2012 |
2012 Working Papers |
2012-06: Thinking, Fast, and Slow by Daniel Kahneman |
Lisa Goldberg |
2012 |
2012 Working Papers |
2012-10: A Comment on “The Cross-Section of Volatility and Expected Returns”: The Statistical Significance of FVIX is Driven by a Single Outlier |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2012 |
2012 Working Papers |
2012-11: Bubbling with Excitement: An Experiment |
Eduardo B. Andrade; Terrance Odean; Shengle Lin |
2012 |
2012 Working Papers |
2012-12: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds |
Orie Shelef |
2012 |
2012 Working Papers |
2012-01: Will My Risk Parity Strategy Outperform? |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2012 |
2012 Working Papers |
2012-13: Self-Enforcing Clawback Provisions in Executive Compensation |
Ying-Ju Chen; Mingcherng Deng |
2012 |
2012 Working Papers |
2012-02: Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation |
Markus Pelger |
2012 |
2012 Working Papers |
2012-03: When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets |
Liva Chitu; Barry Eichengreen; Arnaud Mehl |
2012 |
2012 Working Papers |
2012-04: The Equity Risk Premium Puzzle: A Resolution – The Case for Real Estate |
Robert H. Edelstein; Konstantin Magin |
2012 |
2012 Working Papers |
2011-04: Will My Risk Parity Strategy Outperform? |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2011 |
2011 Working Papers |
2011-01: Minimizing Shortfall |
Lisa Goldberg; Ola Mahmoud; Michael Y. Hayes |
2011 |
2011 Working Papers |
2011-02: Allocating Assets in Climates of Extreme Risk |
Lisa Goldberg; Stacy L. Cuffe |
2011 |
2011 Working Papers |