Publications

Title Author Year Publication type
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? Jeffrey Bohn; Lisa Goldberg; Simge Ulucam 2021 Journal Article
2021-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates Konstantin Magin 2021 2021 Working Papers
Multi Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2021 Journal Article
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
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 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
The Dispersion Bias Lisa Goldberg; Alex Shkolnik; Alex Papanicolaou 2020 Journal Article
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
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