Research

Title Author Yearsort ascending
The Dispersion Bias Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik 2022
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? Jeffrey Bohn; Lisa Goldberg; Simge Ulucam 2021
Multi Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2021
James-Stein estimation of the first principal component Alex Shkolnik 2021
Collateralized Networks Samim Ghamami; Paul Glasserman; Peyton Young 2021
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
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting Lisa Goldberg; Taotao Cai; Pete Hand 2021
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou 2021
Submodular Risk Allocation Samim Ghamami; Paul Glasserman 2019
Deep Learning for Mortgage Risk Justin Sirignano; Apaar Sadhwani; Kay Giesecke 2018
Derivatives Pricing under Bilateral Counterparty Risk Peter Carr; Samim Ghamami 2017
Does OTC Derivatives Reform Incentivize Central Clearing? Samim Ghamami; Paul Glasserman 2017
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg 2017
The Impact of Estimation Error on Latent Factor Model Forecasts of Portfolio Risk Stephen Bianchi; Lisa Goldberg; Allan Rosenberg 2017
Controlling shareholders' value, long-run firm value and short-term performance Hyung Cheol Kang; Robert Anderson; Kyong Shik Eom; Sang Koo Kang 2017
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles Robert H. Edelstein; Konstantin Magin 2017
Optimizing Value Ran Leshem; Lisa Goldberg; Alan Cummings 2016
Drawdown: From Practice to Theory and Back Again Lisa Goldberg; Ola Mahmoud 2016
Identifying Broad and Narrow Financial Risk Factors with Convex Optimization Alex Shkolnik; Lisa Goldberg; Jeffrey Bohn 2016
The Temporal Dimension of Risk Ola Mahmoud 2016
Static Models of Central Counterparty Risk Samim Ghamami 2015
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Efficient Monte Carlo CVA Estimation Samim Ghamami; Bo Zhang 2014
Determinants of Levered Portfolio Performance Lisa Goldberg; Robert Anderson 2014