Publications

Title Author Year Publication typesort descending
2020-01: Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2020 2020 Working Papers
2018-01: 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
2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy Konstantin Magin 2018 2018 Working Papers
Central Clearing and Unintended Consequences of OTC Derivatives Reform Samim Ghamami 2017 2017 Working Papers
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
2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation Konstantin Magin 2017 2017 Working Papers
2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates Konstantin Magin 2017 2017 Working Papers
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
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
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
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
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
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
2014-05: In Search of Statistically Valid Risk Factors Lisa Goldberg; Robert Anderson; Stephen Bianchi 2014 2014 Working Papers
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach Robert H. Edelstein; Konstantin Magin 2014 2014 Working Papers
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
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
2013-13: How Relative Compensation can lead to Herding Behavior An Chen; Markus Pelger 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
2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability Maurice Obstfeld 2013 2013 Working Papers
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
2012-05: Minimizing Shortfall Lisa Goldberg; Ola Mahmoud 2012 2012 Working Papers
2012-06: Thinking, Fast, and Slow by Daniel Kahneman Lisa Goldberg 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
2012-11: Bubbling with Excitement: An Experiment Eduardo B. Andrade; Terrance Odean; Shengle Lin 2012 2012 Working Papers
2012-12: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds Orie Shelef 2012 2012 Working Papers
2012-01: Will My Risk Parity Strategy Outperform? Lisa Goldberg; Robert Anderson; Stephen Bianchi 2012 2012 Working Papers
2012-13: Self-Enforcing Clawback Provisions in Executive Compensation Ying-Ju Chen; Mingcherng Deng 2012 2012 Working Papers
2012-02: Contingent Convertible Bonds: Pricing, Dilution Costs and Efficient Regulation Markus Pelger 2012 2012 Working Papers
2012-03: When did the dollar overtake sterling as the leading international currency? Evidence from the bond markets Liva Chitu; Barry Eichengreen; Arnaud Mehl 2012 2012 Working Papers
2012-04: The Equity Risk Premium Puzzle: A Resolution – The Case for Real Estate Robert H. Edelstein; Konstantin Magin 2012 2012 Working Papers
2011-04: Will My Risk Parity Strategy Outperform? Lisa Goldberg; Robert Anderson; Stephen Bianchi 2011 2011 Working Papers
2011-01: Minimizing Shortfall Lisa Goldberg; Ola Mahmoud; Michael Y. Hayes 2011 2011 Working Papers
2011-02: Allocating Assets in Climates of Extreme Risk Lisa Goldberg; Stacy L. Cuffe 2011 2011 Working Papers