1.
Optimal Risk Budgeting under a Finite Investment Horizon
Number of pages: 25
Posted: 07 Dec 2013
Last Revised: 05 Jul 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads
2,183
2.
Learning and Trusting Cointegration in Statistical Arbitrage
Number of pages: 27
Posted: 22 Feb 2013
Last Revised: 30 Sep 2014
Working Paper Series
Fitch Group
Downloads
1,912
3.
Systemic Risk and Central Clearing Counterparty Design
Swiss Finance Institute Research Paper No. 13-34
Number of pages: 46
Posted: 09 Jun 2013
Last Revised: 01 Mar 2017
Working Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads
1,703
4.
CAPM Equilibria with Prospect Theory Preferences
Number of pages: 26
Posted: 21 Jul 2003
Last Revised: 06 Aug 2012
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
Downloads
1,415
5.
Evolutionary Finance
Swiss Finance Institute Research Paper No. 08-14
Number of pages: 60
Posted: 04 Jul 2008
Last Revised: 17 Dec 2008
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads
1,243
6.
Random Fixed Points in a Stochastic Solow Growth Model
Zurich IEER Working Paper No. 65
Number of pages: 15
Posted: 07 Feb 2001
Working Paper Series
University of Applied Sciences Merseburg and University of Manchester - Department of Economics
Downloads
780
7.
Market Demand Functions in the CAPM
Number of pages: 15
Posted: 01 Feb 1997
Working Paper Series
Paris School of Economics (PSE), University of Zurich - Department of Banking and Finance and Freie Universität Berlin
Downloads
767
8.
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
Number of pages: 32
Posted: 13 Aug 2003
Last Revised: 15 May 2011
Working Paper Series
University of St. Gallen - SEPS: Economics and Political Sciences, University of Zurich - Department of Banking and Finance and Hebrew University of Jerusalem - Jerusalem School of Business Administration
There are 2 versions of this paper
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
Number of pages: 32
Posted: 13 Aug 2003
Last Revised: 15 May 2011
Downloads
712
Two Paradigms and Nobel Prizes in Economics: A Contradiction or Coexistence?
European Financial Management, Vol. 18, Issue 2, pp. 163-182, 2012
Number of pages: 20
Posted: 17 Mar 2012
Downloads
712
9.
Optimization with Tail-Dependence and Tail Risk: A Copula Based Approach for Strategic Asset Allocation
Number of pages: 30
Posted: 05 Nov 2006
Working Paper Series
Università degli Studi di Milano-Bicocca
Downloads
679
10.
Portfolio Generating Functions
Number of pages: 20
Posted: 19 Nov 1998
Working Paper Series
Allocation Strategies, LLC
Downloads
672
11.
Approximating Equilibria with Ex-Post Heterogeneity and Aggregate Risk
Swiss Finance Institute Research Paper No. 17-63
Number of pages: 45
Posted: 21 Jun 2015
Last Revised: 13 Feb 2019
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
669
12.
Currency Risk Factors in a Recursive Multi-Country Economy
Journal of Finance, Forthcoming, Simon Business School Working Paper No. FR 15-10, INSEAD Working Paper No. 2015/40/FIN
Number of pages: 51
Posted: 24 Dec 2014
Last Revised: 25 Aug 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, INSEAD and University of Oregon - Department of Finance
Downloads
669
13.
Optimal Stopping with Private Information
Number of pages: 34
Posted: 10 Jul 2013
Last Revised: 08 May 2014
Working Paper Series
University of Duisburg-Essen and University of California, Berkeley - Department of Economics
Downloads
665
14.
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
There are 2 versions of this paper
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Downloads
606
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Downloads
548
Downloads
606
15.
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Accepted Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
There are 2 versions of this paper
International Asset Pricing with Recursive Preferences
Journal of Finance, Volume 68, Issue 6, December 2013
Number of pages: 53
Posted: 23 Jul 2010
Last Revised: 10 Mar 2017
Downloads
606
International Asset Pricing with Recursive Preferences
Journal of Finance, 2013, AFA 2013 San Diego Meetings Paper
Number of pages: 53
Posted: 14 Mar 2012
Last Revised: 10 Mar 2017
Downloads
548
Downloads
548
16.
Social Behaviors, Enforcement, and Compliance Dynamics
Number of pages: 47
Posted: 02 Mar 2000
Working Paper Series
University of Illinois at Urbana-Champaign - Department of Accountancy, University of Illinois at Urbana-Champaign and University of Illinois at Urbana-Champaign
Downloads
538
17.
Migration in a Solow Growth Model
Number of pages: 15
Posted: 30 Mar 2010
Working Paper Series
Universidade Federal do Pampa (Unipampa - Campus Alegrete), Universidade Federal do Rio Grande do Sul (UFRGS), University of Bologna - Department of Mathematics for Economic and Social Sciences and Free University of Bozen-Bolzano
Downloads
475
18.
The Term Structures of Coentropy in International Financial Markets
Fisher College of Business Working Paper No. 2013-03-17, Charles A. Dice Center Working Paper No. 2013-17
Number of pages: 54
Posted: 24 Oct 2013
Last Revised: 22 Sep 2017
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management and University of North Carolina Kenan-Flagler Business School
Downloads
462
19.
Sum of All Black-Scholes-Merton Models: An Efficient Pricing Method for Spread, Basket, and Asian Options
Journal of Futures Markets, 38(6):627-644, 2018
Number of pages: 25
Posted: 08 Feb 2017
Last Revised: 02 Jun 2018
Accepted Paper Series
Peking University - HSBC School of Business
Downloads
456
20.
The Effectiveness of Simple Decision Heuristics: A Case Study of Experts' Forecasts of the Commercial Success of Early-Stage Ventures
Number of pages: 30
Posted: 03 Mar 2013
Working Paper Series
HEC Paris - Economics and Decision Sciences and University of Waterloo - Department of Management Sciences
Downloads
448
21.
Recursive Equilibrium in Krusell and Smith (1998)
Number of pages: 100
Posted: 03 Nov 2016
Last Revised: 23 Sep 2018
Working Paper Series
Georgetown University - Department of Economics
Downloads
424
22.
Risk Adjusted Growth Portfolio in a Finite Investment Horizon (Presentation Slides)
Number of pages: 44
Posted: 29 Jun 2015
Working Paper Series
Cornell University - Operations Research & Industrial Engineering, Vince Strategies LLC and Western Michigan University
Downloads
418
23.
Volatility Risk Pass-Through
Number of pages: 50
Posted: 27 Nov 2015
Last Revised: 12 Nov 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University, The University of Hong Kong - Faculty of Business and Economics and University of Wisconsin - Madison
There are 4 versions of this paper
Volatility Risk Pass-Through
Number of pages: 50
Posted: 27 Nov 2015
Last Revised: 12 Nov 2018
Downloads
417
Downloads
5
Volatility Risk Pass-Through
CEPR Discussion Paper No. DP13325
Number of pages: 53
Posted: 19 Nov 2018
Downloads
417
24.
The Solow Model in Discrete Time and Decreasing Population Growth Rate
Economics Bulletin, Vol. 3, No. 41, pp. 1-14, 2008
Number of pages: 14
Posted: 02 Nov 2007
Last Revised: 06 Mar 2018
Accepted Paper Series
Universidad de la República and Universidad de la República - Facultad de Ciencias Económicas
Downloads
394
25.
A Proof of the Outperformance of Beta Arbitrage Strategies
Number of pages: 13
Posted: 20 Apr 2010
Working Paper Series
Pictet Asset Management SA and Ersel Asset Management SGR s.p.a.
Downloads
392
26.
Stable Group Purchasing Organizations
Marshall School of Business Working Paper No. FBE 20-10
Number of pages: 45
Posted: 02 Jun 2008
Last Revised: 23 Nov 2010
Working Paper Series
University of British Columbia (UBC) - Sauder School of Business, University of Southern California - Marshall School of Business and University of Southern California - Marshall School of Business
Downloads
384
27.
Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics
Number of pages: 62
Posted: 23 Jul 2010
Last Revised: 03 Apr 2018
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics, Students
Downloads
383
28.
Business Cycle Phenomena in Overlapping Generations Economies with Stochastic Production
Zurich IEER Working Paper No. 30
Number of pages: 22
Posted: 06 Nov 2000
Working Paper Series
Bielefeld University and University of Manchester - Department of Economics
Downloads
371
29.
Geometric Arbitrage Theory and Market Dynamics
Number of pages: 72
Posted: 27 Mar 2008
Last Revised: 19 Jul 2015
Working Paper Series
Core Dynamics GmbH
Downloads
361
30.
The Evolution of Moral Codes of Behavior
Number of pages: 47
Posted: 21 Jun 2006
Last Revised: 07 Oct 2009
Working Paper Series
University of Graz - Department of Economics and Pontifical Catholic University of Chile
Downloads
358
31.
A Confidence Representation Theorem for Ambiguous Sources with Applications to Financial Markets and Trade Algorithm
Proceedings of Foundations and Applications of Utility, Risk and Decision Theory (FUR) XV. Forthcoming
Number of pages: 51
Posted: 01 May 2012
Last Revised: 14 May 2012
Accepted Paper Series
University of Leicester
Downloads
355
32.
Equity Portfolios Generated by Functions of Ranked Market Weights
Number of pages: 17
Posted: 15 Jan 1999
Working Paper Series
Allocation Strategies, LLC
There are 2 versions of this paper
Equity Portfolios Generated by Functions of Ranked Market Weights
Number of pages: 17
Posted: 15 Jan 1999
Downloads
346
Equity Portfolios Generated by Functions of Ranked Market Weights
Forthcoming in Finance and Stochastics
Posted: 23 May 2001
Downloads
346
33.
QWERTY Is Dead, Long Live Path Dependence
Research Policy, 2013
Number of pages: 4
Posted: 22 Apr 2013
Last Revised: 12 Nov 2013
Accepted Paper Series
Western University - Ivey Business School
Downloads
334
34.
An Approach to Evaluating Relative Effectiveness in Non-Profit Institutions
Number of pages: 36
Posted: 07 May 2006
Working Paper Series
Rutgers Business School - Newark & New Brunswick, Hang Seng Management College and Rutgers Business School - New Brunswick
Downloads
331
35.
International Asset Pricing with Risk-Sensitive Agents
Number of pages: 41
Posted: 05 Feb 2010
Last Revised: 03 Oct 2012
Working Paper Series
University of North Carolina Kenan-Flagler Business School and Finance Department, Bocconi University
Downloads
329
36.
Survival and Evolutionary Stability of the Kelly Rule
Swiss Finance Institute Research Paper No. 09-32
Number of pages: 17
Posted: 07 Sep 2009
Working Paper Series
University of Manchester - Economics, School of Social Sciences, University of Zurich - Department of Banking and Finance and University of Manchester - Department of Economics
Downloads
324
37.
Financial Crisis Dynamics: Attempt to Define a Market Instability Indicator
Number of pages: 31
Posted: 06 Oct 2010
Last Revised: 19 Dec 2011
Working Paper Series
Montclair State University - Department of Mathematical Sciences and Riskdata
Downloads
323
38.
The Robustness of the CAPM: A Computational Approach
Tilburg University, CentER Working Paper No. 1999-54
Number of pages: 34
Posted: 14 Mar 2000
Working Paper Series
Maastricht University and University of Zurich
Downloads
301
39.
Nash and Walras Equilibrium
Yale Cowles Foundation Discussion Paper No. 1131RR
Number of pages: 19
Posted: 16 Jul 2001
Working Paper Series
Yale University - Cowles Foundation
Downloads
296
40.
'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
Number of pages: 52
Posted: 15 Aug 2018
Working Paper Series
New York University (NYU) - NYU Tandon School of Engineering and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
290
41.
Pricing Risk Under Risk Measures: An Introduction to Stochastic-Endogenous Equilibria
Number of pages: 45
Posted: 04 Aug 2011
Working Paper Series
University of Cambridge - Judge Business School and Catholic University of Louvain (UCL) - Center for Operations Research and Econometrics (CORE)
Downloads
284
42.
Asset Price Anomalies Under Bounded Rationality
CEIS Tor Vergata Research Paper Series No. 19
Number of pages: 22
Posted: 06 Jun 2003
Working Paper Series
University of Pisa - Department of Economics, University of Rome Tor Vergata - Dipartimento di Studi Economici, Finanziari e Metodi quantitativi (SEFEMEQ) and University of Verona - Department of Economics
Downloads
277
43.
Representation Theory for Risk on Markowitz-Tversky-Kahneman Topology
Number of pages: 27
Posted: 11 Jun 2012
Last Revised: 12 Jun 2012
Working Paper Series
University of Leicester
Downloads
273
44.
Poverty Traps and Business Cycles in a Stochastic Overlapping Generations Economy with S-Shaped Law of Motion
U of Copenhagen, Economics Discussion Paper No. 02-13
Number of pages: 16
Posted: 03 Dec 2002
Working Paper Series
University of Manchester - Department of Economics
Downloads
270
45.
Dynamic Supernetworks for the Integration of Social Networks and Supply Chains with Electronic Commerce: Modeling and Analysis of Buyer-Seller Relationships with Computations
Number of pages: 47
Posted: 13 Jul 2004
Working Paper Series
Eugene M. Isenberg School of Management - Department of Finance & Operations Management and University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management
Downloads
262
46.
Raffles
Number of pages: 23
Posted: 15 Feb 2017
Working Paper Series
Microsoft Research, Microsoft Research, Northwestern University - Kellogg School of Management and Microsoft Research New York City
Downloads
259
47.
To Fully Net or Not to Net: Adverse Effects of Partial Multilateral Netting
Operations Research, Forthcoming, Swiss Finance Institute Research Paper No. 14-63
Number of pages: 22
Posted: 01 Nov 2014
Last Revised: 18 Jan 2016
Accepted Paper Series
Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Fédérale de Lausanne and Cornell University
Downloads
247
48.
Dynamics of International Financial Networks with Risk Management
Number of pages: 43
Posted: 28 Sep 2003
Working Paper Series
University of Massachusetts Amherst - Isenberg School of Management - Department of Operations and Information Management and University of Massachusetts at Amherst
Downloads
245
49.
Verifiability and Group Formation in Markets
Number of pages: 68
Posted: 21 Sep 2015
Working Paper Series
University of California - Department of Economics (Deceased) and University of California, Berkeley - Department of Economics
Downloads
242
50.
The Ramsey Model in Discrete Time and Decreasing Population Growth Rate
Number of pages: 20
Posted: 28 Mar 2014
Working Paper Series
Universidad de la República, Universidad de la Republica and Universidad de la República - Facultad de Ciencias Económicas
Downloads
241
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