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 Engineering, Vince Strategies LLC and Western Michigan University
Downloads
2,690
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
2,092
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
J. Mack Robinson College of Business, 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
1,843
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
87
Downloads
1,843
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
1,461
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
1,303
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
790
7.
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
787
8.
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
777
9.
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
777
10.
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
734
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
734
11.
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
701
12.
Portfolio Generating Functions
Number of pages: 20
Posted: 19 Nov 1998
Working Paper Series
Allocation Strategies, LLC
Downloads
697
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
693
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
632
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
589
Downloads
632
15.
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
596
16.
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
632
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
589
Downloads
589
17.
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
589
18.
'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
557
19.
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
543
20.
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
530
21.
Global DSGE Models
Number of pages: 55
Posted: 15 Apr 2020
Last Revised: 11 May 2020
Working Paper Series
Georgetown University - Department of Economics, Tsinghua University - School of Economics & Management and Shanghai University of Finance and Economics
Downloads
522
22.
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
521
Volatility Risk Pass-Through
Jacobs Levy Equity Management Center for Quantitative Financial Research Paper
Number of pages: 50
Posted: 01 Oct 2018
Downloads
11
Downloads
6
Volatility Risk Pass-Through
CEPR Discussion Paper No. DP13325
Number of pages: 53
Posted: 19 Nov 2018
Downloads
521
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
510
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
486
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
479
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 Universidad de la República - Facultad de Ciencias Económicas
Downloads
463
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
424
28.
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
403
29.
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, Students
Downloads
396
30.
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
395
31.
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
390
32.
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
382
33.
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
34.
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
367
35.
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
355
Downloads
355
36.
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
354
37.
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
348
38.
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
337
39.
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
335
40.
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
334
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
334
42.
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
311
43.
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
307
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
305
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
303
46.
Nash and Walras Equilibrium
Number of pages: 19
Posted: 16 Jul 2001
Working Paper Series
Yale University
Downloads
298
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
There are 2 versions of this paper
Speculation and Financial Wealth Distribution Under Belief Heterogeneity
Economic Journal Forthcoming
Number of pages: 64
Posted: 02 Sep 2015
Last Revised: 27 Aug 2017
Downloads
298
Speculation and Financial Wealth Distribution Under Belief Heterogeneity
The Economic Journal, Vol. 128, Issue 614, pp. 2258-2281, 2018
Number of pages: 24
Posted: 17 Sep 2018
Downloads
298
48.
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
287
49.
Asset Price Anomalies Under Bounded Rationality
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
282
50.
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
278
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