Research

Titlesort ascending Author Year
Will My Risk Parity Strategy Outperform? Robert Anderson; Stephen Bianchi; Lisa Goldberg 2012
Using the CCAPM with Stochastic Taxation and Money Supply to Examine U.S. REITs Pricing Bubbles Robert H. Edelstein; Konstantin Magin 2017
The Temporal Dimension of Risk Ola Mahmoud 2016
The Implied Futures Financing Rate Nick Gunther; Robert Anderson; Lisa Goldberg; Alex Papanicolaou 2021
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
The Equity Risk Premium for Securitized Real Estate: The Case for U.S. Real Estate Investment Trusts Robert H. Edelstein; Konstantin Magin 2013
The Dynamics of Rising Interest Rates Robert Anderson; Stephen Bianchi; Lisa Goldberg 2013
The Dispersion Bias Lisa Goldberg; Alex Papanicolaou; Alex Shkolnik 2022
Tax-Rate Arbitrage: Realization of Long-Term Gains to Enable Short-Term Loss Harvesting Lisa Goldberg; Taotao Cai; Pete Hand 2021
Sustainable Investing From a Practitioner's Viewpoint: What's in Your ESG Porfolio? Jeffrey Bohn; Lisa Goldberg; Simge Ulucam 2022
Sustainable investing and the cross-section of returns and maximum drawdown Lisa Goldberg; Saad Mouti 2022
Submodular Risk Allocation Samim Ghamami; Paul Glasserman 2019
Stochastic Intensity Models of Wrong Way Risk: Wrong Way CVA Need Not Exceed Independent CVA Lisa Goldberg 2014
Static Models of Central Counterparty Risk Samim Ghamami 2015
Restoring Value to Minimum Variance Lisa Goldberg 2013
Portfolio optimization via strategy-specific eigenvector shrinkage Lisa Goldberg; Hubeyb Gurdogan; Alec Kercheval 2023
Ownership of ESG Characteristics Mark Bateman; Lisa Goldberg 2023
Optimizing Value Ran Leshem; Lisa Goldberg; Alan Cummings 2016
On Existence Of Berk-Nash Equilibria In Misspecified Markov Decision Processes With Infinite Spaces Robert Anderson; Haosui Duanmu; Aniruddha Ghosh; M. Ali Khan 2022
Multiple Anchor Point Shrinkage for the Sample Covariance Matrix Hubeyb Gurdogan; Alec Kercheval 2022
James-Stein for the Leading Eigenvector Lisa Goldberg; Alec Kercheval 2023
James-Stein estimation of the first principal component Alex Shkolnik 2021
Is Index Concentration an Inevitable Consequence of Market-Capitalization Weighting? Lisa Goldberg; Ananth Madhavan; Harrison Selwitz; Alex Shkolnik 2022