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Portfolio optimization via strategy-specific eigenvector shrinkage |
Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval |
2024 |
Journal Article |
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Portfolio Selection Revisited in memory of Harry M. Markowitz |
Alex Shkolnik; Alec Kercheval; Hubeyb Gurdogan; Lisa Goldberg; Haim Bar |
2024 |
Journal Article |
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2023-01: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2023 |
2023 Working Papers |
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2023-03: Lack of Compactness of Budget Sets in Infinite Dimensional Commodity Spaces and Its Consequences |
Konstantin Magin |
2023 |
2023 Working Papers |
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Ownership of ESG Characteristics |
Mark Bateman; Lisa Goldberg |
2023 |
Journal Article |
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2023-02: General Equilibrium Theory For Climate Change |
Robert Anderson; Haosui Duanmu |
2023 |
2023 Working Papers |
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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 |
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James-Stein for the Leading Eigenvector |
Lisa Goldberg; Alec Kercheval |
2023 |
Journal Article |
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Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? |
Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik |
2022 |
Journal Article |
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Sustainable investing and the cross-section of returns and maximum drawdown |
Lisa Goldberg; Saad Mouti |
2022 |
Journal Article |
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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 |
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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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Multiple Anchor Point Shrinkage for the Sample Covariance Matrix |
Hubeyb Gurdogan; Alec Kercheval |
2022 |
Journal Article |
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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 |
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Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? |
Jeffrey Bohn; Lisa Goldberg; Simge Ulucam |
2022 |
Journal Article |
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The Dispersion Bias |
Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik |
2022 |
Journal Article |
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2021-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2021 |
2021 Working Papers |
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James-Stein estimation of the first principal component |
Alex Shkolnik |
2021 |
Journal Article |
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2021-03: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2021 |
2021 Working Papers |
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ESG Does Not Mean Impact |
Kathleen Houssels |
2021 |
Commentary |
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2021-02: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2021 |
2021 Working Papers |
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Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2021 |
Journal Article |
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Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting |
Lisa Goldberg; Taotao Cai; Pete Hand |
2021 |
Journal Article |
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The Implied Futures Financing Rate |
Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou |
2021 |
Journal Article |
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2021-01: Existence of Equilibria in Infinite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2021 |
2021 Working Papers |
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2020-02: Skin in the Game: Risk Analysis of Central Counterparties |
Rama Cont; Samim Ghamami |
2020 |
2020 Working Papers |
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2020-01: Collateralized Networks |
Samim Ghamami; Paul Glasserman; Peyton Young |
2020 |
2020 Working Papers |
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Submodular Risk Allocation |
Samim Ghamami; Paul Glasserman |
2019 |
Journal Article |
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Deep Learning for Mortgage Risk |
Justin Sirignano; Apaar Sadhwani; Kay Giesecke |
2018 |
Journal Article |
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2018-02: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
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2018-03: Initial Margin Modeling of Credit Default Swap Portfolios |
Samim Ghamami; Baeho Kim; Dong Hwan Oh |
2018 |
2018 Working Papers |
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2018-01: Infinite Horizon CCAPM with Stochastic Taxation and Monetary Policy |
Konstantin Magin |
2018 |
2018 Working Papers |
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2017-04: Comparative Statics of Equilibria with Respect to Stochastic Tax Rates |
Konstantin Magin |
2017 |
2017 Working Papers |
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Do the Golden State Warriors Have Hot Hands? |
Lisa Goldberg |
2017 |
Other Research Areas |
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Derivatives Pricing under Bilateral Counterparty Risk |
Peter Carr; Samim Ghamami |
2017 |
Journal Article |
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Does OTC Derivatives Reform Incentivize Central Clearing? |
Samim Ghamami; Paul Glasserman |
2017 |
Journal Article |
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Central Clearing and Unintended Consequences of OTC Derivatives Reform |
Samim Ghamami |
2017 |
2017 Working Papers |
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Do Steph Curry and Klay Thompson Have Hot Hands? |
Alon Daks; Nishant Desai; Lisa Goldberg |
2017 |
Other Research Areas |
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2017-02: Equilibrium Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2017 |
2017 Working Papers |
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The Implied Futures Financing Rate |
Nick Gunther; Robert Anderson; Lisa Goldberg |
2017 |
Journal Article |
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The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk |
Stephen Bianchi; Lisa Goldberg; Allan Rosenberg |
2017 |
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 |
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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 |
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Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles |
Robert H. Edelstein; Konstantin Magin |
2017 |
Journal Article |
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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 |
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Optimizing Value |
Ran Leshem; Lisa Goldberg; Alan Cummings |
2016 |
Journal Article |
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Drawdown: From Practice to Theory and Back Again |
Lisa Goldberg; Ola Mahmoud |
2016 |
Journal Article |
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Identifying Broad and Narrow Financial Risk Factors with Convex Optimization |
Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn |
2016 |
Journal Article |
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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 |
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2016-03: Comparative Statics in Finite Horizon Finance Economies with Stochastic Taxation |
Konstantin Magin |
2016 |
2016 Working Papers |
