.
Basak, Suleyman's
Scholarly Papers
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column.
Aggregate Statistics
Total 40,498
Total Citations 445
1.
Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
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Shapiro, Alex New York University (NYU) - Department of Finance
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
24 Mar 00
Last Revised:
07 Apr 09
6,071(387)
110
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
237
109
Risk Management, VaR, Portfolio Choice, Asset Pricing, Volatility
Shapiro, Alex New York University (NYU) - Department of Finance
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
Risk Management, VaR, Portfolio Choice, Asset Pricing, Volatility
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
5,834
110
2.
Risk Management with Benchmarking
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
Posted:
03 Mar 02
Last Revised:
22 Dec 08
5,164(512)
21
Basak, Suleyman Centre for Economic Policy Research (CEPR)
60
21
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
116
21
Benchmarking, Investments, Shortfall Risk, Tracking Errors, Value-at-Risk
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
45
21
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
42
21
Benchmarking, Investments, shortfall Risk, Tracking Error, value-at-risk
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
104
21
Benchmarking, Investments, Shortfall Risk, Tracking error, Value-at-Risk
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
49
21
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
0
Benchmarking, Investments, Shortfall Risk, Tracking Error, Value-at-Risk
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
35
21
Benchmarking, investments, shortfall risk, tracking error, value-at-risk
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Tepla, Lucie INSEAD
4,713
21
Benchmarking, Investments, Shortfall Risk, Tracking Error, Value-at-Risk
3.
A Model of Credit Risk, Optimal Policies, and Asset Prices
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Posted:
21 Mar 01
Last Revised:
23 Dec 08
4,311(709)
1
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
59
1
Credit Risk, Defaultable Debt, Investments, Assets Pricing, Volatility
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
45
1
Credit Risk, Defaultable Debt, Investments, Asset Pricing, Volatility
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
35
1
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
32
1
Credit risk, defaultable debt, investments, asset pricing, volatility
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
4,140
1
4.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
3,558(1,019)
16
Portfolio insurance, pure-exchange, production, volatility, trend-chasing
5.
Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
Posted:
05 May 03
Last Revised:
31 Dec 08
2,391(2,080)
24
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
79
24
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
83
24
Fund Flows, Implicit Incentives, Risk Taking, Benchmarking, Risk Management, Portfolio Choice
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
51
24
Fund Flows, Implicit Incentives, Risk Taking, Benchmarking, Risk Management, Portfolio Choice
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
52
24
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
23
24
Fund flows, implicit incentives, risk taking, benchmarking, risk management, portfolio choice
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
2,103
24
Fund Flows, Implicit Incentives, Risk Taking, Benchmarking, Risk Management, Portfolio Choice
6.
Dynamic Mean-Variance Asset Allocation
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
Posted:
27 Feb 07
Last Revised:
19 May 09
2,297(2,227)
17
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
2
17
Dynamic Programming, Incomplete Markets, Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
Posted:
27 Feb 07
Last Revised:
09 Apr 09
2,295
17
Mean-Variance Analysis, Multi-Period Portfolio Choice, Stochastic Investment Opportunities, Time-Consistency, Incomplete Markets
7.
Asset Pricing with Heterogeneous Beliefs
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
30 Nov 03
Last Revised:
19 Jul 05
2,260(2,279)
92
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
Heterogeneous beliefs, asset pricing, equilibrium, market price of risk, survey
Basak, Suleyman Centre for Economic Policy Research (CEPR)
2,260
92
Heterogeneous Beliefs, Asset Pricing, Equilibrium, Market Price of Risk, Survey
8.
Monopoly Power and the Firm's Valuation: A Dynamic Analysis of Short versus Long-Term Policies
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Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
16 Sep 00
Last Revised:
15 Jan 10
1,913(3,041)
5
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
Monopoly, Asset pricing theory, General equilibrium, Short-sighted, Time-consistency, Coase conjecture
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
24
5
Monopoly, asset pricing theory, general equilibrium, short-sighted, time-consistency
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
1,889
5
Monopoly; Asset Pricing Theory; General Equilibrium; Short-Sighted; Time-Consistency; Coase Conjecture
9.
Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Yan, Hongjun Yale University - International Center for Finance
Posted:
29 Nov 04
Last Revised:
08 Sep 09
1,833(3,252)
11
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Yan, Hongjun Yale University - International Center for Finance
2
11
Asset Pricing, Bounded Rationality, Equilibrium, Expected Inflation, Money Illusion, New Keynesian
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Yan, Hongjun Yale University - International Center for Finance
Posted:
08 Oct 08
Last Revised:
05 Aug 09
765
11
Money Illusion, Asset Pricing, New Keynesian, Bounded Rationality, Equilibrium, Expected Inflation
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Yan, Hongjun Yale University - International Center for Finance
Posted:
29 Nov 04
Last Revised:
15 Aug 08
1,066
11
Money Illusion, Asset Pricing, New Keynesian, Bounded Rationality, Equilibrium, Expected Inflation
10.
On the Role of Arbitrageurs in Rational Markets
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Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
04 Dec 03
Last Revised:
19 Oct 05
1,346(5,635)
21
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Croitoru, Benjamin McGill University - Desautels Faculty of Management
0
Arbitrage, asset pricing, margin requirements, non-competitive markets, risk-sharing
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
23
21
Arbitrage, asset pricing, margin requirements, non-competitive markets, risk-sharing
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
1,323
21
arbitrage, asset pricing, margin requirements, noncompetitive markets, risk-sharing
11.
Dynamic Hedging in Incomplete Markets: A Simple Solution
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
Posted:
07 Nov 08
Last Revised:
26 May 11
1,165(7,168)
4
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
6
4
benchmarking, correlation risk, derivatives, discrete hedging, hedging, incomplete markets, minimum-variance criterion, Poisson jumps, risk management, time-consistency
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Chabakauri, Georgy London School of Economics and Political Science
Posted:
07 Nov 08
Last Revised:
12 May 11
1,159
4
Hedging, incomplete markets, minimum-variance criterion, risk management, time-consistency, discrete hedging, derivatives, benchmarking, correlation risk, Poisson jumps
12.
International Good Market Segmentation and Financial Innovation
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Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
14 Jan 03
Last Revised:
30 May 06
1,052(8,534)
4
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Croitoru, Benjamin McGill University - Desautels Faculty of Management
0
Market Segmentation, Financial Innovation, International Capital Flows, Dynamic Equilibrium
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
1,052
4
Market Segmentation, Financial Innovation, International Capital Flows, Dynamic Equilibrium
13.
Optimal Asset Allocation and Risk Shifting in Money Management
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
Posted:
30 Jan 06
Last Revised:
29 Jul 10
1,035(8,774)
37
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
G11, G20, D60, D81
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
20
37
Fund flows, implicit incentives, risk taking, relative performance, risk management, portfolio choice
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
1,015
37
Fund Flows, Implicit Incentives, Risk Taking, Relative Performance, Risk Management, Portfolio Choice
14.
Strategic Asset Allocation in Money Management
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
03 Feb 09
Last Revised:
31 May 12
994(9,340)
5
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
2
5
fund flows, incentives, Money Managers, portfolio choice, relative performance, risk shifting, strategic interactions, tournaments
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
03 Feb 09
Last Revised:
31 May 12
992
5
Money Managers, Strategic Interaction, Portfolio Choice, Relative Performance, Incentives, Risk Shifting, Fund Flows, Tournaments
15.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Gallmeyer, Michael F. University of Virginia (UVA) - McIntire School of Commerce
922(10,504)
10
16.
Asset Prices and Institutional Investors
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Posted:
17 Mar 10
Last Revised:
28 Sep 12
801(13,101)
6
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
5
6
asset class, Asset pricing, general equilibrium, indexing, institutions, money management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Posted:
17 Mar 10
Last Revised:
27 Aug 12
796
6
Asset pricing, indexing, institutions, money management, general equilibrium
17.
A Dynamic Model with Import Quota Constraints
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Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
05 Mar 02
Last Revised:
02 Mar 04
631(18,548)
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
18
Quota, international economics and finance, asset pricing, integral constraints
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
613
Quota, International Economics and Finance, Asset Pricing, Integral Constraints
18.
Multiplicity in General Financial Equilibrium with Portfolio Constraints
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Cass (deceased), David Deceased
Licari, Juan Manuel University of Pennsylvania - Department of Economics
Posted:
27 Mar 06
Last Revised:
28 Jan 08
577(20,992)
5
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Cass (deceased), David Deceased
Licari, Juan Manuel University of Pennsylvania - Department of Economics
14
5
Multiple equilibria, asset pricing, portfolio constraints, indeterminacy, financial equilibrium
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Cass (deceased), David Deceased
Licari, Juan Manuel University of Pennsylvania - Department of Economics
0
Multiple Equilibria, Asset Pricing, Portfolio Constraints, Indeterminacy, Financial Equilibrium
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Cass (deceased), David Deceased
Licari, Juan Manuel University of Pennsylvania - Department of Economics
563
5
Multiple equilibria, asset pricing, portfolio constraints, indeterminacy, financial equilibrium
19.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Gallmeyer, Michael F. University of Virginia (UVA) - McIntire School of Commerce
511(24,750)
15
20.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Shapiro, Alex New York University (NYU) - Department of Finance
Posted:
18 Aug 06
Last Revised:
17 Dec 07
492(25,957)
22
Benchmarking, Fund Flows, Implicit Incentives, Risk Taking, Risk Management, Portfolio Choice
21.
Difference in Interim Performance and Risk Taking with Short-Sale Constraints
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
09 Mar 08
Last Revised:
10 Sep 11
488(26,254)
5
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
4
5
mutual fund tournament, portfolio choice, relative performance, risk-taking incentives, short-sale constraints
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
09 Mar 08
Last Revised:
10 Sep 11
484
5
Relative Performance, Risk-Taking Incentives, Portfolio Choice, Short-Sale Constraints
22.
Strategic Asset Allocation with Relative Performance Concerns
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
11 Sep 07
Last Revised:
11 May 08
466(27,897)
5
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
131
5
Money Managers, Strategic Interaction, Portfolio Choice, Relative Performance, Incentives, Risk Shifting, Fund Flows, Envy, Tournaments
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
335
5
Money Managers, Strategic Interaction, Portfolio Choice, Relative Performance, Incentives, Risk Shifting, Fund Flows, Envy, Tournaments
23.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Pavlova, Anna London Business School
Posted:
18 Jan 13
Last Revised:
10 May 13
149(98,966)
asset pricing, indexing, commodities, futures, institutions, money management, asset class
24.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Makarov, Dmitry New Economic School
Posted:
04 Mar 10
Last Revised:
17 Apr 13
26(257,721)
Competition, Portfolio Choice, Asset Specialization, Relative Performance, Cost-Benefit Analysis
25.
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
25(257,721)
4
Market segmentation, financial innovation, risk sharing, international capital flows
26.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
20(274,767)
5
Heterogenous beliefs, asset pricing, equilibrium, market price of risk, survey
27.
Pavlova, Anna London Business School
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Posted:
07 Aug 06
Last Revised:
21 Mar 08
Fund Flows, Implicit Incentives, Risk Taking, Relative Performance, Risk Management, Portfolio Choice
28.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Shapiro, Alex New York University (NYU) - Department of Finance
Credit risk, defaultable debt, investments, asset pricing, volatility
29.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
30.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
31.
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
32.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
33.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
34.
Croitoru, Benjamin McGill University - Desautels Faculty of Management
Basak, Suleyman Centre for Economic Policy Research (CEPR)
35.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
36.
Basak, Suleyman Centre for Economic Policy Research (CEPR)
37.
An Equilibrium Model with Restricted Stock Market Participation
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Cuoco, Domenico University of Pennsylvania - Finance Department
Posted:
09 Apr 97
Last Revised:
05 Dec 11
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Cuoco, Domenico University of Pennsylvania - Finance Department
0
Basak, Suleyman Centre for Economic Policy Research (CEPR)
Cuoco, Domenico University of Pennsylvania - Finance Department
0
38.
A General Equilibrium Model of Portfolio Insurance
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Basak, Suleyman Centre for Economic Policy Research (CEPR)
Posted:
07 Sep 94
Last Revised:
01 Jul 98
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
Basak, Suleyman Centre for Economic Policy Research (CEPR)
0
