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Uppal , Raman's
Scholarly Papers
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Total Downloads
11,649 |
Total
Citations
415 |
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1.
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Improving Portfolio Selection Using Option-Implied Volatility and Skewness
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DeMiguel, Victor London Business School Plyakha, Yuliya Goethe University Frankfurt am Main Uppal , Raman EDHEC Business School Vilkov, Grigory Goethe University Frankfurt - Department of Finance
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16 Sep 09
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Last Revised:
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18 Jun 12
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2,149
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12
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DeMiguel, Victor London Business School Plyakha, Yuliya Goethe University Frankfurt am Main Uppal , Raman EDHEC Business School Vilkov, Grigory Goethe University Frankfurt - Department of Finance
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13
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12
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium
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DeMiguel, Victor London Business School Plyakha, Yuliya Goethe University Frankfurt am Main Uppal , Raman EDHEC Business School Vilkov, Grigory Goethe University Frankfurt - Department of Finance
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16 Sep 09
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18 Jun 12
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2,136
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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization
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2.
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How Inefficient are Simple Asset-Allocation Strategies?
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business DeMiguel, Victor London Business School Uppal , Raman EDHEC Business School
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Posted:
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03 Mar 05
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Last Revised:
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17 Aug 08
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2,084
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DeMiguel, Victor London Business School Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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1,231
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Portfolio choice, asset allocation, investment management
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business DeMiguel, Victor London Business School Uppal , Raman EDHEC Business School
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Portfolio choice, asset allocation, investment management
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3.
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Plyakha, Yuliya Goethe University Frankfurt am Main Uppal , Raman EDHEC Business School Vilkov, Grigory Goethe University Frankfurt - Department of Finance
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21 Mar 11
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18 Oct 12
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1,229
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3
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stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following
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4.
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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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Posted:
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22 Jan 06
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15 Aug 10
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938
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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3
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62
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Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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Bayesian behavior, financial-market equilibrium, excess volatility, risk premia
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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526
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18
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Dynamic portfolio choice, excess volatility, general equilibrium
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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29
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18
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Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice
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Dumas, Bernard INSEAD Kurshev, Alexander London Business School Uppal , Raman EDHEC Business School
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34
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5.
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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
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DeMiguel, Victor London Business School Nogales, Francisco J. Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman EDHEC Business School
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Posted:
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17 Mar 10
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Last Revised:
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02 May 13
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763
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6
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DeMiguel, Victor London Business School Nogales, Francisco J. Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman EDHEC Business School
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1
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression
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DeMiguel, Victor London Business School Nogales, Francisco J. Universidad Carlos III de Madrid - Department of Statistics Uppal , Raman EDHEC Business School
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17 Mar 10
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26 Apr 13
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762
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6
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Serial dependence, vector autoregression, portfolio choice, out-of-sample performance
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6.
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Systemic Risk and International Portfolio Choice
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Das, Sanjiv Ranjan Santa Clara University - Leavey School of Business Uppal , Raman EDHEC Business School
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Posted:
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14 May 02
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Last Revised:
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27 Oct 09
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742
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66
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Das, Sanjiv Ranjan Santa Clara University - Leavey School of Business Uppal , Raman EDHEC Business School
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713
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66
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asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
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Das, Sanjiv Ranjan Santa Clara University - Leavey School of Business Uppal , Raman EDHEC Business School
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29
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66
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Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes
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7.
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Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
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Kogan, Leonid Massachusetts Institute of Technology (MIT) - Sloan School of Management Uppal , Raman EDHEC Business School
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Posted:
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24 Aug 00
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25 Oct 10
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737
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45
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Kogan, Leonid Massachusetts Institute of Technology (MIT) - Sloan School of Management Uppal , Raman EDHEC Business School
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25
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45
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis
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Kogan, Leonid Massachusetts Institute of Technology (MIT) - Sloan School of Management Uppal , Raman EDHEC Business School
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53
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45
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Kogan, Leonid Massachusetts Institute of Technology (MIT) - Sloan School of Management Uppal , Raman EDHEC Business School
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659
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45
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis
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8.
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Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification
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Boyle, Phelim P. Wilfrid Laurier University - School of Business & Economics Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School Wang, Tan University of British Columbia (UBC) - Division of Finance
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Posted:
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16 Feb 09
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Last Revised:
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01 Mar 10
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714
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13
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Boyle, Phelim P. Wilfrid Laurier University - School of Business & Economics Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School Wang, Tan University of British Columbia (UBC) - Division of Finance
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7
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13
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ambiguity, diversification, investment, portfolio choice, robust control
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Boyle, Phelim P. Wilfrid Laurier University - School of Business & Economics Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School Wang, Tan University of British Columbia (UBC) - Division of Finance
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| Posted: |
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19 Mar 09
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Last Revised:
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16 Sep 09
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412
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Investment, portfolio choice, ambiguity, robust control
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Boyle, Phelim P. Wilfrid Laurier University - School of Business & Economics Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School Wang, Tan University of British Columbia (UBC) - Division of Finance
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| Posted: |
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16 Feb 09
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Last Revised:
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16 Sep 09
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295
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Investment, portfolio choice, ambiguity, robust control
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9.
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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Posted:
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24 Feb 05
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Last Revised:
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29 Jul 10
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473
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79
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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0
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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24
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79
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Portfolio choice, asset allocation, estimation error, uncertainty, ambiguity, robustness
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Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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449
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79
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Portfolio choice, asset allocation, estimation
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10.
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Model Misspecification and Under-Diversification
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Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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Posted:
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16 Dec 01
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Last Revised:
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16 Sep 09
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383
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23
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Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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20
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23
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Portfolio choice, uncertainty, ambiguity, robust control
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Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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363
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11.
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Kogan, Leonid Massachusetts Institute of Technology (MIT) - Sloan School of Management Uppal , Raman EDHEC Business School
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325
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Asset pricing, derivative valuation, portfolio choice, incomplete markets
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12.
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The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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Posted:
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21 Jul 03
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Last Revised:
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24 Aug 05
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278
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6
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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25
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6
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Intertemporal optimization, decision making
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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253
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6
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Intertemporal optimization and decision making
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13.
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The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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Posted:
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15 Mar 06
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Last Revised:
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04 Dec 06
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276
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21
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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14
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General equilibrium, options, volatility, risk-sharing
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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262
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Excess volatility, general equilibrium, heterogeneous agents, prudence
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14.
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Asset Prices with Heterogeneity in Preferences and Beliefs
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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Posted:
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19 Mar 09
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Last Revised:
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08 May 13
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244
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15
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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2
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Asset Pricing, General Equilibrium
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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19 Mar 09
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Last Revised:
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08 May 13
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242
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heterogeneity, general equilibrium, stationarity, equity risk premium, volatility
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15.
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DeMiguel, Victor London Business School Uppal , Raman EDHEC Business School
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164
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14
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Portfolio choice, capital gains tax, optimization, nonlinear programming
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16.
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DeMiguel, Victor London Business School Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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42
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5
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Portfolio choice, asset allocation, investment management
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17.
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Dumas, Bernard INSEAD Wang, Tan University of British Columbia (UBC) - Division of Finance Uppal , Raman EDHEC Business School
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36
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11
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18.
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Apte, Prakash Indian Institute of Management, Bangalore Sercu, Piet Indian Institute of Management, Bangalore Uppal , Raman EDHEC Business School
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31
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19.
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Apte, Prakash Indian Institute of Management, Bangalore Sercu, Piet Indian Institute of Management, Bangalore Uppal , Raman EDHEC Business School
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21
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4
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General equilibrium, purchasing power parity, regression tests
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20.
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Dumas, Bernard INSEAD Uppal , Raman EDHEC Business School
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20
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21.
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Bhamra, Harjoat Singh University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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G12, D51, D52, D91
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DeMiguel, Victor London Business School Garlappi, Lorenzo University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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G11
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Hollifield, Burton Carnegie Mellon University - David A. Tepper School of Business Uppal , Raman EDHEC Business School
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24.
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Naik , Vasant Lehman Brothers International, Europe Uppal , Raman EDHEC Business School
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Betton, Sandra Concordia University, Quebec - Department of Finance Levi, Maurice D. University of British Columbia (UBC) - Sauder School of Business Uppal , Raman EDHEC Business School
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26.
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Sercu, Piet Van Hulle, Cynthia KU Leuven - Department of Applied Economics Uppal , Raman EDHEC Business School
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