Publications

Title Author Year Publication type
The Temporal Dimension of Risk Ola Mahmoud 2016 Journal Article
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
2016-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy Konstantin Magin 2016 2016 Working Papers
2015-10: Generic Existence of Equilibria in Finite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2015 2015 Working Papers
2015-09: Understanding Systematic Risk: A High-Frequency Approach Markus Pelger 2015 2015 Working Papers
2015-08: Large-Dimensional Factor Modeling Based on High-Frequency Observations Markus Pelger 2015 2015 Working Papers
2015-05: Are Sticky Prices Costly? Evidence from the Stock Market Yuriy Gorodnichenko; Michael Weber 2015 2015 Working Papers
2015-04: The Temporal Dimension of Drawdown Ola Mahmoud 2015 2015 Working Papers
2015-03: Diversification Preferences in the Theory of Choice Ola Mahmoud; Enrico G. De Giorgi 2015 2015 Working Papers
Static Models of Central Counterparty Risk Samim Ghamami 2015 Journal Article
2015-02: Stochastic Taxation and REITS Pricing Bubbles: A Statistical Analysis Robert H. Edelstein; Konstantin Magin 2015 2015 Working Papers
2015-01: Hedging Against Tax Rate Uncertainty: Tax Rate Swaps Konstantin Magin 2015 2015 Working Papers
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014 Journal Article
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014 Journal Article
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach Robert H. Edelstein; Konstantin Magin 2014 2014 Working Papers
Determinants of Levered Portfolio Performance Lisa Goldberg; Robert Anderson 2014 Journal Article
2014-05: In Search of Statistically Valid Risk Factors Lisa Goldberg; Robert Anderson; Stephen Bianchi 2014 2014 Working Papers
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement Samim Ghamami; Bo Zhang 2014 Journal Article
Equity risk premium and insecure property rights Konstantin Magin 2014 Journal Article
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
2014-03: On a Convex Measure of Drawdown Risk Lisa Goldberg; Ola Mahmoud 2014 2014 Working Papers
2014-02: Determinants of Levered Portfolio Return Lisa Goldberg; Robert Anderson; Stephen Bianchi 2014 2014 Working Papers
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA Lisa Goldberg 2014 Journal Article
2013-13: How Relative Compensation can lead to Herding Behavior An Chen; Markus Pelger 2013 2013 Working Papers
2013-12: Restoring Value to Minimum Variance Lisa Goldberg; Ran Leshem; Patrick Geddes 2013 2013 Working Papers
Restoring Value to Minimum Variance Lisa Goldberg 2013 Journal Article
2013-11: Centralized Clearing for Over-the-Counter Derivatives Gordon Rausser; William Balson; Reid Stevens 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
2013-09: The Decision to Lever Lisa Goldberg; Robert Anderson; Stephen Bianchi 2013 2013 Working Papers
2013-08: There are no predictable jumps in arbitrage-free markets Markus Pelger 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
2013-05: The Signal and the Noise by Nate Silver, reviewed by Lisa Goldberg Lisa Goldberg 2013 2013 Working Papers
The Dynamics of Rising Interest Rates Robert Anderson; Stephen Bianchi; Lisa Goldberg 2013 Journal Article
2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability Maurice Obstfeld 2013 2013 Working Papers
Dynamic Scheduling of a Two-Server Parallel Server System with Complete Resource Pooling and Reneging in Heavy Traffic: Asymptotic Optimality of a Two-Threshold Policy Samim Ghamami; Amy Ward 2013 Journal Article
2013-02: Who Is (More) Rational? Syngjoo Choi; Shachar Kariv; Wieland Muller; Dan Silverman 2013 2013 Working Papers
2013-01: The Decision to Lever Lisa Goldberg; Robert Anderson; Stephen Bianchi 2013 2013 Working Papers
2013-06: Conditional Risk Premia in Currency Markets and Other Asset Classes Martin Lettau; Matteo Maggiori; Michael Weber 2013 2013. Working Papers
2013-05: Finance at Center Stage: Some Lessons of the Euro Crisis Maurice Obstfeld 2013 2013. Working Papers
2013-04: Equity Risk Premium and Insecure Property Rights Konstantin Magin 2013 2013. Working Papers
2013-03: Risk Without Return Lisa Goldberg; Ola Mahmoud 2013 2013. Working Papers
2013-01: In Search of a Statistically Valid Volatility Risk Factor Lisa Goldberg; Robert Anderson; Stephen Bianchi 2013 2013. Working Papers
The Equity Risk Premium for Securitized Real Estate: The Case for U.S. Real Estate Investment Trusts Robert H. Edelstein; Konstantin Magin 2013 Journal Article
2012-13: Self-Enforcing Clawback Provisions in Executive Compensation Ying-Ju Chen; Mingcherng Deng 2012 2012 Working Papers
Improving the Asmussen – Kroese Type Simulation Estimators Samim Ghamami; Sheldon Ross 2012 Journal Article
Will My Risk Parity Strategy Outperform? Robert Anderson; Stephen Bianchi; Lisa Goldberg 2012 Journal Article
2012-12: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds Orie Shelef 2012 2012 Working Papers
Improving the Normalized Importance Sampling Estimator Samim Ghamami; Sheldon Ross 2012 Journal Article
2012-11: Bubbling with Excitement: An Experiment Eduardo B. Andrade; Terrance Odean; Shengle Lin 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