Search Results
JEL Code: C62

78,101 Total downloads

Viewing: 1 - 50 of 792 papers

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 2 versions of this paper

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

Multiple version iconThere are 4 versions of this paper

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.
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