|
Efficient Monte Carlo CVA Estimation |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
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Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA |
Lisa Goldberg |
2014 |
Journal Article |
|
Does OTC Derivatives Reform Incentivize Central Clearing? |
Samim Ghamami; Paul Glasserman |
2017 |
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 |
2017 |
Journal Article |
|
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 |
|
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 |
|
Efficient Monte Carlo CVA Estimation |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
|
The Implied Futures Financing Rate |
Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou |
2021 |
Journal Article |
|
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization |
Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn |
2016 |
Journal Article |
|
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? |
Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik |
2022 |
Journal Article |
|
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement |
Samim Ghamami; Bo Zhang |
2014 |
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 |
2023 |
Journal Article |
|
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk |
Stephen Bianchi; Lisa Goldberg; Allan Rosenberg |
2017 |
Journal Article |
|
Deep Learning for Mortgage Risk |
Justin Sirignano; Apaar Sadhwani; Kay Giesecke |
2018 |
Journal Article |
|
Optimizing Value |
Ran Leshem; Lisa Goldberg; Alan Cummings |
2016 |
Journal Article |
|
James-Stein for the Leading Eigenvector |
Lisa Goldberg; Alec Kercheval |
2023 |
Journal Article |
|
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles |
Robert H. Edelstein; Konstantin Magin |
2017 |
Journal Article |
|
Improving the Asmussen – Kroese Type Simulation Estimators |
Samim Ghamami; Sheldon Ross |
2012 |
Journal Article |
|
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? |
Jeffrey Bohn; Lisa Goldberg; Simge Ulucam |
2022 |
Journal Article |
|
Will My Risk Parity Strategy Outperform? |
Robert Anderson; Stephen Bianchi; Lisa Goldberg |
2012 |
Journal Article |
|
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies |
Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger |
2022 |
Journal Article |
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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 |
|
Equity risk premium and insecure property rights |
Konstantin Magin |
2014 |
Journal Article |
|
Improving the Normalized Importance Sampling Estimator |
Samim Ghamami; Sheldon Ross |
2012 |
Journal Article |
|
Restoring Value to Minimum Variance |
Lisa Goldberg |
2013 |
Journal Article |
|
Submodular Risk Allocation |
Samim Ghamami; Paul Glasserman |
2019 |
Journal Article |
|
Sustainable investing and the cross-section of returns and maximum drawdown |
Lisa Goldberg; Saad Mouti |
2022 |
Journal Article |
|
The Dispersion Bias |
Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik |
2022 |
Journal Article |
|
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 |
|
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix |
Hubeyb Gurdogan; Alec Kercheval |
2022 |
Journal Article |
|
Determinants of Levered Portfolio Performance |
Lisa Goldberg; Robert Anderson |
2014 |
Journal Article |
|
Ownership of ESG Characteristics |
Mark Bateman; Lisa Goldberg |
2023 |
Journal Article |
|
Static Models of Central Counterparty Risk |
Samim Ghamami |
2015 |
Journal Article |
|
The U.S. Equity Return Premium: Past, Present, and Future |
J. Bradford DeLong; Konstantin Magin |
2009 |
Journal Article |
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Derivatives Pricing under Bilateral Counterparty Risk |
Peter Carr; Samim Ghamami |
2017 |
Journal Article |
|
James-Stein estimation of the first principal component |
Alex Shkolnik |
2021 |
Journal Article |
|
The Dynamics of Rising Interest Rates |
Robert Anderson; Stephen Bianchi; Lisa Goldberg |
2013 |
Journal Article |
|
Why Liberals Should Enthusiastically Support Social Security Personal Accounts |
Konstantin Magin |
2007 |
Journal Article |
|
Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2021 |
Journal Article |
|
The Temporal Dimension of Risk |
Ola Mahmoud |
2016 |
Journal Article |
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Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process |
Sheldon Ross; Samim Ghamami |
2010 |
Journal Article |
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Contrary to Robert Shiller’s Predictions, Stock Market Investors Made Much Money in the Past Decade: What Does This Tell Us? |
J. Bradford DeLong; Konstantin Magin |
2006 |
Journal Article |
|
Drawdown: From Practice to Theory and Back Again |
Lisa Goldberg; Ola Mahmoud |
2016 |
Journal Article |
|
Efficient Simulation of a Random Knockout Tournament |
Samim Ghamami; Sheldon Ross |
2008 |
Journal Article |
|
Do Steph Curry and Klay Thompson Have Hot Hands? |
Alon Daks; Nishant Desai; Lisa Goldberg |
2017 |
Other Research Areas |
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Do the Golden State Warriors Have Hot Hands? |
Lisa Goldberg |
2017 |
Other Research Areas |
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Portfolio optimization via strategy-specific eigenvector shrinkage |
Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval |
2023 |
Other Research Areas |
|
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 |
|
2020-02: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2020 |
2020 Working Papers |
