|
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 |
|
Efficient Monte Carlo CVA Estimation |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
|
Efficient Monte Carlo CVA Estimation |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
|
2014-06: Identifying REITs Asset-pricing Bubbles: A Modified CCAPM Approach |
Robert H. Edelstein; Konstantin Magin |
2014 |
2014 Working Papers |
|
Determinants of Levered Portfolio Performance |
Lisa Goldberg; Robert Anderson |
2014 |
Journal Article |
|
2014-05: In Search of Statistically Valid Risk Factors |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
|
Efficient Monte Carlo Counterparty Credit Risk Pricing and Measurement |
Samim Ghamami; Bo Zhang |
2014 |
Journal Article |
|
Equity risk premium and insecure property rights |
Konstantin Magin |
2014 |
Journal Article |
|
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 |
|
2014-03: On a Convex Measure of Drawdown Risk |
Lisa Goldberg; Ola Mahmoud |
2014 |
2014 Working Papers |
|
2014-02: Determinants of Levered Portfolio Return |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2014 |
2014 Working Papers |
|
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA |
Lisa Goldberg |
2014 |
Journal Article |
|
2013-13: How Relative Compensation can lead to Herding Behavior |
An Chen; Markus Pelger |
2013 |
2013 Working Papers |
|
Restoring Value to Minimum Variance |
Lisa Goldberg |
2013 |
Journal Article |
|
2013-12: Restoring Value to Minimum Variance |
Lisa Goldberg; Ran Leshem; Patrick Geddes |
2013 |
2013 Working Papers |
|
2013-11: Centralized Clearing for Over-the-Counter Derivatives |
Gordon Rausser; William Balson; Reid Stevens |
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 |
|
2013-09: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013 Working Papers |
|
2013-08: There are no predictable jumps in arbitrage-free markets |
Markus Pelger |
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 |
|
2013-05: The Signal and the Noise by Nate Silver, reviewed by Lisa Goldberg |
Lisa Goldberg |
2013 |
2013 Working Papers |
|
The Dynamics of Rising Interest Rates |
Robert Anderson; Stephen Bianchi; Lisa Goldberg |
2013 |
Journal Article |
|
2013-03: On Keeping Your Powder Dry: Fiscal Foundations of Financial and Price Stability |
Maurice Obstfeld |
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 |
|
2013-02: Who Is (More) Rational? |
Syngjoo Choi; Shachar Kariv; Wieland Muller; Dan Silverman |
2013 |
2013 Working Papers |
|
2013-01: The Decision to Lever |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
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 |
|
2013-05: Finance at Center Stage: Some Lessons of the Euro Crisis |
Maurice Obstfeld |
2013 |
2013. Working Papers |
|
2013-04: Equity Risk Premium and Insecure Property Rights |
Konstantin Magin |
2013 |
2013. Working Papers |
|
2013-03: Risk Without Return |
Lisa Goldberg; Ola Mahmoud |
2013 |
2013. Working Papers |
|
2013-01: In Search of a Statistically Valid Volatility Risk Factor |
Lisa Goldberg; Robert Anderson; Stephen Bianchi |
2013 |
2013. Working Papers |
|
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 |
|
Will My Risk Parity Strategy Outperform? |
Robert Anderson; Stephen Bianchi; Lisa Goldberg |
2012 |
Journal Article |
|
2012-13: Self-Enforcing Clawback Provisions in Executive Compensation |
Ying-Ju Chen; Mingcherng Deng |
2012 |
2012 Working Papers |
|
Improving the Asmussen – Kroese Type Simulation Estimators |
Samim Ghamami; Sheldon Ross |
2012 |
Journal Article |
|
2012-12: Incentive Thresholds, Risk-Taking, and Performance. Evidence from Hedge Funds |
Orie Shelef |
2012 |
2012 Working Papers |
|
Improving the Normalized Importance Sampling Estimator |
Samim Ghamami; Sheldon Ross |
2012 |
Journal Article |
|
2012-11: Bubbling with Excitement: An Experiment |
Eduardo B. Andrade; Terrance Odean; Shengle Lin |
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 |
|
2012-06: Thinking, Fast, and Slow by Daniel Kahneman |
Lisa Goldberg |
2012 |
2012 Working Papers |