1.
Optimal Risk Budgeting under a Finite Investment Horizon
Number of pages: 17
Posted: 07 Dec 2013
Last Revised: 03 Sep 2019
Working Paper Series
Cornell University - Operations Research & Industrial EngineeringAbu Dhabi Investment Authority, Vince Strategies LLC and Western Michigan University
Downloads
2,827
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
2,172
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
Georgia State University, Ecole Polytechnique Fédérale de Lausanne and Cornell University
There are 2 versions of this paper
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
Downloads
1,917
Systemic Risk in Networks with a Central Node
Forthcoming, SIAM Journal on Financial Mathematics, Swiss Finance Institute Research Paper No. 20-04
Number of pages: 43
Posted: 24 Jan 2020
Downloads
105
Downloads
1,917
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
1,487
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
1,381
6.
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
859
7.
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
841
8.
Global DSGE Models
Number of pages: 63
Posted: 15 Apr 2020
Last Revised: 03 Jun 2021
Working Paper Series
Georgetown University - Department of Economics, Tsinghua University - School of Economics & Management and Shanghai University of Finance and Economics
Downloads
827
9.
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
788
10.
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
784
11.
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
740
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
740
12.
Optimal Stopping with Private Information
Number of pages: 34
Posted: 10 Jul 2013
Last Revised: 08 May 2014
Working Paper Series
Justus-Liebig-University Giessen and Yale, Department of Economics
Downloads
718
13.
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
704
14.
Portfolio Generating Functions
Number of pages: 20
Posted: 19 Nov 1998
Working Paper Series
Allocation Strategies, LLC
Downloads
704
15.
Migration in a Solow Growth Model
Number of pages: 15
Posted: 30 Mar 2010
Working Paper Series
Universidade Federal do Rio Grande do Sul (UFRGS), 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
659
16.
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
651
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
603
Downloads
651
17.
Recursive Equilibrium in Krusell and Smith (1998)
Journal of Economic Theory, Forthcoming
Number of pages: 106
Posted: 03 Nov 2016
Last Revised: 11 Dec 2019
Accepted Paper Series
Georgetown University - Department of Economics
Downloads
648
18.
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
651
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
603
Downloads
603
19.
'Quantum Equilibrium-Disequilibrium': Asset Price Dynamics, Symmetry Breaking, and Defaults as Dissipative Instantons
Number of pages: 51
Posted: 15 Aug 2018
Last Revised: 29 May 2019
Working Paper Series
Fidelity Investments, Inc. and Illinois Institute of Technology - Stuart School of Business, IIT
Downloads
600
20.
Volatility Risk Pass-Through
Number of pages: 66
Posted: 27 Nov 2015
Last Revised: 18 Oct 2021
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: 66
Posted: 27 Nov 2015
Last Revised: 18 Oct 2021
Downloads
574
Downloads
17
Volatility Risk Pass-Through
CEPR Discussion Paper No. DP13325
Number of pages: 53
Posted: 19 Nov 2018
Volatility Risk Pass-Through
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Posted: 01 Oct 2018
Last Revised: 29 Apr 2021
Downloads
574
21.
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 EngineeringAbu Dhabi Investment Authority, Vince Strategies LLC and Western Michigan University
Downloads
558
22.
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
547
23.
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
530
24.
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
498
25.
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
490
26.
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 El Colegio de MéxicoUniversidad de la República - Facultad de Ciencias Económicas
Downloads
477
27.
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
436
28.
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
University College London - School of Management
Downloads
423
29.
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
413
30.
Recursive Allocations and Wealth Distribution with Multiple Goods: Existence, Survivorship, and Dynamics
Number of pages: 62
Posted: 23 Jul 2010
Last Revised: 14 Apr 2020
Working Paper Series
University of North Carolina Kenan-Flagler Business School, Finance Department, Bocconi University and Duke University, Department of Economics
Downloads
410
31.
Non-Equilibrium Skewness, Market Crises, and Option Pricing: Non-Linear Langevin Model of Markets with Supersymmetry
Number of pages: 45
Posted: 14 Jan 2021
Working Paper Series
Fidelity Investments, Inc.
Downloads
407
32.
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 El Colegio de MéxicoUniversidad de la República - Facultad de Ciencias Económicas
Downloads
398
33.
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
397
34.
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
390
35.
Matching with Multilateral Contracts
Number of pages: 35
Posted: 06 Jul 2017
Last Revised: 06 Feb 2019
Working Paper Series
University of Wisconsin - Madison and University of Georgia - C. Herman and Mary Virginia Terry College of Business - Department of Economics
Downloads
383
36.
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
374
37.
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
373
38.
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 CES Univ. Paris 1
Downloads
369
39.
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
366
Downloads
366
40.
Raffles
Number of pages: 23
Posted: 15 Feb 2017
Working Paper Series
Microsoft Research, Microsoft Research, Northwestern University - Kellogg School of Management and Microsoft
Downloads
347
41.
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
343
42.
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
340
43.
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
336
44.
The Ramsey Model with Logitic Population Growth
Number of pages: 7
Posted: 07 Feb 2006
Working Paper Series
Universidad Autonoma Metropolitana and Universidad de la República
Downloads
334
45.
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
321
46.
Risk Arbitrage Opportunities for Stock Index Options
Number of pages: 44
Posted: 15 May 2018
Last Revised: 04 Dec 2019
Working Paper Series
Graduate School of Business of Nazarbayev University and Stockholm University - Stockholm Business School
Downloads
321
47.
Speculation and Financial Wealth Distribution Under Belief Heterogeneity
Economic Journal Forthcoming
Number of pages: 64
Posted: 02 Sep 2015
Last Revised: 27 Aug 2017
Working Paper Series
Georgetown University - Department of Economics
Downloads
319
48.
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
313
49.
Existence and Uniqueness of Recursive Equilibria With Aggregate and Idiosyncratic Risk
Number of pages: 53
Posted: 10 Oct 2018
Last Revised: 16 Feb 2021
Working Paper Series
University of Amsterdam - Amsterdam School of Economics (ASE)
Downloads
309
50.
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
308
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