Publications

Title Author Year Publication typesort descending
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 2021 Journal Article
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk Stephen Bianchi; Lisa Goldberg; Allan Rosenberg 2017 Journal Article
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik 2022 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
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
James-Stein for the Leading Eigenvector Lisa Goldberg; Alec Kercheval 2023 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
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
2022-01: CENTRAL BANK DIGITAL CURRENCIES (CBDCs) The coming of national e-currencies Jeffrey Bohn; Gilles Papadopoulos; Jurg Unger 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
Sustainable investing and the cross-section of returns and maximum drawdown Lisa Goldberg; Saad Mouti 2022 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
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
Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process Sheldon Ross; Samim Ghamami 2010 Journal Article
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
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014 Journal Article
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
Portfolio Responsibility for ESG Characteristics Mark Bateman; Lisa Goldberg 2022 Journal Article
Do the Golden State Warriors Have Hot Hands? Lisa Goldberg 2017 Other Research Areas
Do Steph Curry and Klay Thompson Have Hot Hands? Alon Daks; Nishant Desai; Lisa Goldberg 2017 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
2020-01: Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2020 2020 Working Papers