Publications

Title Author Year Publication type
2012-01: Will My Risk Parity Strategy Outperform? Lisa Goldberg; Robert Anderson; Stephen Bianchi 2012 2012 Working Papers
2011-04: Will My Risk Parity Strategy Outperform? Lisa Goldberg; Robert Anderson; Stephen Bianchi 2011 2011 Working Papers
2011-03: Stories of the Twentieth Century for the Twenty-First Pierre-Olivier Gourinchas; Maurice Obstfeld 2011 2011 Working Papers
2011-02: Allocating Assets in Climates of Extreme Risk Lisa Goldberg; Stacy L. Cuffe 2011 2011 Working Papers
2011-01: Minimizing Shortfall Lisa Goldberg; Ola Mahmoud; Michael Y. Hayes 2011 2011 Working Papers
Efficient Monte Carlo Barrier Option Pricing when the Underlying Security Price Follows a Jump-Diffusion Process Sheldon Ross; Samim Ghamami 2010 Journal Article
2010-05: The Pricing of “Troubled” Assets Konstantin Magin 2010 2010 Working Papers
2010-04: New Performance – Vested Stock Option Schemes Markus Pelger; An Chen; Klaus Sandmann 2010 2010 Working Papers
2010-03: Do Security Analysts Speak in Two Tongues? Ulrike Malmendier; Devin Shanthikumar 2010 2010 Working Papers
2010-02: Contractibility and the Design of Research Agreements Josh Lerner; Ulrike Malmendier 2010 2010 Working Papers
2010-01: Contingent Convertible Bonds and Capital Structure Decisions Boris Albul; Dwight M. Jaffee; Alexei Tchistyi 2010 2010 Working Papers
The U.S. Equity Return Premium: Past, Present, and Future J. Bradford DeLong; Konstantin Magin 2009 Journal Article
2009-08: Fragility of CVar in portfolio optimization A.E.B. Lim; J.G. Shanthikumar; G.Y. Vahn 2009 2009 Working Papers
2009-07: Depression Babies: Do Macroeconomic Experiences Affect Risk – Taking? Ulrike Malmendier; Stefan Nagel 2009 2009 Working Papers
2009-06: Piercing the Veil of Ignorance Shachar Kariv; William R. Zame 2009 2009 Working Papers
2009-05: Estimating Ambinguity Aversion in a Portfolio Choice Experiment David Ahn; Syngjoo Choi; Douglas Gale; Shachar Kariv 2009 2009 Working Papers
2009-04: Exit Options and Dividend Policy under Liquidity Constraints Pauli Murto; Marko Tervio 2009 2009 Working Papers
2009-03: Lenders of Last Resort in a Globalized World Maurice Obstfeld 2009 2009 Working Papers
2009-02: Interest Rate Conundrum Roger Craine; Vance L. Martin 2009 2009 Working Papers
2009-01: Equity Risk Premium and Insecure Property Konstantin Magin 2009 2009 Working Papers
Efficient Simulation of a Random Knockout Tournament Samim Ghamami; Sheldon Ross 2008 Journal Article
2008-05: A Multi-Period Equilibrium Pricing Model of Weather Derivatives Yongheon Lee; Shmuel S. Oren 2008 2008 Working Papers
2008-04: An Equilibrium Pricing Model for Weather Derivatives in a Multi-commodity Setting Yongheon Lee; Shmuel S. Oren 2008 2008 Working Papers
2008-03: The Interest Rate Conundrum Roger Craine; Vance L. Martin 2008 2008 Working Papers
2008-02: Is The Potential For High Investor Leverage A Threat To Social Security Privatization? Konstantin Magin 2008 2008 Working Papers
2008-01: The U.S. Equity Return Premium: Past, Present and Future Konstantin Magin; J. Bradford DeLong 2008 2008 Working Papers
Why Liberals Should Enthusiastically Support Social Security Personal Accounts Konstantin Magin 2007 Journal Article
2007-08: Principal-agent incentives, excess caution, and market inefficiency: Evidence from utility regulation Severin Borenstein; Meghan Busse; Ryan Kellogg 2007 2007 Working Papers
2007-07: International Monetary Policy Surprise Spillovers Roger Craine; Vance L. Martin 2007 2007 Working Papers
2007-05: A Class of Singular Control Problems and the Smooth Fit Principle Xin Guo; Pascal Tomecek 2007 2007 Working Papers
2007-04: Optimal Spot Market Inventory Strategies in the Presence of Cost and Price Risk Xin Guo; Philip Kaminsky; Pascal Tomecek; M. Yuen 2007 2007 Working Papers
2007-03: Stock Return Autocorrelation is Not Spurious Kyong Shik Eom; Robert Anderson; Sang Buhm Hahn; Jong-Ho Park 2007 2007 Working Papers
2007-02: Equilibrium in Continuous-Time Financial Markets: Endogenously Dynamically Complete Markets Robert Anderson; Roberto C. Raimondo 2007 2007 Working Papers
2007-01: Connections between Singular Control and Optimal Switching Xin Guo; Pascal Tomecek 2007 2007 Working Papers
2006-01: Time-Varying Risk Premia and Stock Return Autocorrelation Robert Anderson 2006 2006 Working Papers
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