Publications

Title Author Yearsort descending Publication type
2013-03: Risk Without Return Lisa Goldberg; Ola Mahmoud 2013 2013. Working Papers
2013-04: Equity Risk Premium and Insecure Property Rights Konstantin Magin 2013 2013. Working Papers
2013-05: Finance at Center Stage: Some Lessons of the Euro Crisis Maurice Obstfeld 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
2013-01: 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
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
2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability Maurice Obstfeld 2013 2013 Working Papers
The Dynamics of Rising Interest Rates Robert Anderson; Stephen Bianchi; Lisa Goldberg 2013 Journal Article
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
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
Restoring Value to Minimum Variance Lisa Goldberg 2013 Journal Article
2013-13: How Relative Compensation can lead to Herding Behavior An Chen; Markus Pelger 2013 2013 Working Papers
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA Lisa Goldberg 2014 Journal Article
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
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
Equity risk premium and insecure property rights Konstantin Magin 2014 Journal Article
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement Samim Ghamami; Bo Zhang 2014 Journal Article
2014-05: In Search of Statistically Valid Risk Factors Lisa Goldberg; Robert Anderson; Stephen Bianchi 2014 2014 Working Papers
Determinants of Levered Portfolio Performance Lisa Goldberg; Robert Anderson 2014 Journal Article
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach Robert H. Edelstein; Konstantin Magin 2014 2014 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
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
Static Models of Central Counterparty Risk Samim Ghamami 2015 Journal Article
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
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
The Temporal Dimension of Risk Ola Mahmoud 2016 Journal Article
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
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn 2016 Journal Article
Drawdown: From Practice to Theory and Back Again Lisa Goldberg; Ola Mahmoud 2016 Journal Article
Optimizing Value Ran Leshem; Lisa Goldberg; Alan Cummings 2016 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
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles Robert H. Edelstein; Konstantin Magin 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
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