Karl Schmedders

IMD

Ch. de Bellerive 23

P.O. Box 915

CH-1001 Lausanne

Switzerland

SCHOLARLY PAPERS

33

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116

CROSSREF CITATIONS

66

Scholarly Papers (33)

1.

Optimal and Naive Diversification in Currency Markets

Swiss Finance Institute Research Paper No. 12-36
Number of pages: 36 Posted: 11 Dec 2012 Last Revised: 04 Feb 2016
Fabian Ackermann, Walt Pohl, Walt Pohl and Karl Schmedders
Zurcher Kantonalbank, NHH Norwegian School of EconomicsUniversity of Zurich and IMD
Downloads 1,072 (38,377)
Citation 11

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Carry trade, currency, mean-variance analysis, portfolio optimization.

2.

Asset Pricing with Heterogeneous Agents and Long-Run Risk

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 76 Posted: 09 Nov 2017 Last Revised: 05 Nov 2020
Walt Pohl, Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of EconomicsUniversity of Zurich, IMD and University of Hamburg
Downloads 608 (82,082)
Citation 7

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belief differences, asset pricing, long-run risk, recursive preferences, heterogeneous agents

3.

Bond Ladders and Optimal Portfolios

Swiss Finance Institute Research Paper No. 08-32
Number of pages: 44 Posted: 27 Oct 2008 Last Revised: 23 Feb 2018
Kenneth L. Judd, Felix Kubler and Karl Schmedders
Stanford University - The Hoover Institution on War, Revolution and Peace, University of Zurich and IMD
Downloads 588 (85,605)
Citation 1

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Bond ladders, reinvestment risk, portfolio choice, bonds, consol

4.
Downloads 463 (114,913)
Citation 22

Collateral Requirements and Asset Prices

Swiss Finance Institute Research Paper No. 11-10
Number of pages: 35 Posted: 27 Mar 2011 Last Revised: 13 Jan 2014
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and IMD
Downloads 422 (126,805)
Citation 10

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Bubbles, collateral constraints, collateral premium, endogenous margins.

Collateral Requirements and Asset Prices

Bundesbank Discussion Paper No. 44/2013
Number of pages: 41 Posted: 21 Jun 2016
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and IMD
Downloads 41 (783,759)
Citation 5

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collateral constraints, collateral premium, endogenous margins, heterogeneous agents, leverage

5.

Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices

Swiss Finance Institute Research Paper No. 10-21
Number of pages: 37 Posted: 19 May 2010 Last Revised: 12 Sep 2015
Felix Kubler and Karl Schmedders
University of Zurich and IMD
Downloads 439 (122,300)
Citation 13

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OLG economy, heterogeneous beliefs, wealth distribution, asset price volatility

6.

Asset Pricing with Disagreement about Climate Risks

Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2023
Number of pages: 49 Posted: 08 Jun 2023 Last Revised: 11 Jan 2024
RWTH-Aachen University, NHH Norwegian School of EconomicsUniversity of Zurich, IMD, RWTH Aachen University and University of Hamburg
Downloads 431 (125,370)
Citation 3

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Asset pricing, carbon premium, climate news, climate risk, heterogeneous beliefs, long-run risk, risk sharing

7.

Higher-Order Effects in Asset-Pricing Models with Long-Run Risks

Journal of Finance, 73(3), 1061-1111, 2018.
Number of pages: 60 Posted: 20 Dec 2014 Last Revised: 05 Nov 2020
Walt Pohl, Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of EconomicsUniversity of Zurich, IMD and University of Hamburg
Downloads 424 (127,433)
Citation 41

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Asset pricing, discretization, log-linearization, nonlinear dynamics, projection methods

8.

A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry

Swiss Finance Institute Research Paper No. 16-04
Number of pages: 44 Posted: 04 Feb 2016
University of Zurich, Students, Zurich Insurance Group, University of Zurich - Institute of Business Administration and IMD
Downloads 396 (137,786)

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Insurance regulation; liability cash flows; linear programming; out-of-sample tests; replicating portfolios; Solvency II

9.

A Polynomial Optimization Approach to Principal-Agent Problems

Econometrica, Forthcoming, Swiss Finance Institute Research Paper No. 12-35
Number of pages: 49 Posted: 03 Dec 2012 Last Revised: 15 Oct 2014
Philipp Renner and Karl Schmedders
Lancaster University and IMD
Downloads 371 (148,269)
Citation 8

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Principal-agent model, moral hazard, first order approach, polynomials

10.

Two-Fund Separation in Dynamic General Equilibrium

Number of pages: 24 Posted: 15 Jun 2006
Karl Schmedders
IMD
Downloads 342 (162,110)
Citation 4

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portfolio separation, dynamically complete markets, consol, one-period bond

11.

The Fundamental Problem with ESG? Conflicting Letters

Journal of Financial Transformation, # 57, 2023
Number of pages: 10 Posted: 08 Aug 2023
Christos Cabolis, Maude Lavanchy and Karl Schmedders
IMD, IMD and IMD
Downloads 324 (173,501)

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ESG; excludability; just transition; tragedy of the commons; tragedy of the horizon; regulation

Re-Use of Collateral: Leverage, Volatility, and Welfare

Swiss Finance Institute Research Paper No. 17-04
Number of pages: 31 Posted: 07 Feb 2017
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and IMD
Downloads 192 (286,556)
Citation 3

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heterogeneous agents, leverage, re-use of collateral, volatility, welfare

Re-use of Collateral: Leverage, Volatility, and Welfare

ECB Working Paper No. 2218
Number of pages: 42 Posted: 20 Dec 2018
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and IMD
Downloads 60 (659,632)
Citation 6

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heterogeneous agents, leverage, re-use of collateral, volatility, welfare

13.

A Note on the Non-Proportionality of Winning Probabilities in Bitcoin

Number of pages: 18 Posted: 17 Jun 2019 Last Revised: 19 Feb 2021
José Parra-Moyano, Gregor Reich and Karl Schmedders
Copenhagen Business School, Tsumcor Research AG and IMD
Downloads 224 (249,268)
Citation 2

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Bitcoin, Blockchain, Choice Models

14.

Asset Prices with Non-Permanent Shocks to Consumption

Journal of Economic Dynamics and Control, Vol. 69, 2016
Number of pages: 44 Posted: 15 Jun 2014 Last Revised: 05 Nov 2020
Walt Pohl, Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of EconomicsUniversity of Zurich, IMD and University of Hamburg
Downloads 218 (255,713)
Citation 2

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Asset prices, equity premium, unit root, non-permanent shocks.

15.
Downloads 217 (256,818)
Citation 7

Margin Regulation and Volatility

Swiss Finance Institute Research Paper No. 13-59
Number of pages: 40 Posted: 13 Dec 2013
Johannes Brumm, Michael Grill, Felix Kubler and Karl Schmedders
Karlsruhe Institute of Technology, European Central Bank (ECB), University of Zurich and IMD
Downloads 160 (337,090)
Citation 5

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collateral constraints, general equilibrium, heterogeneous agents, margin requirements, Regulation T.

Margin Regulation and Volatility

ECB Working Paper No. 1698
Number of pages: 41 Posted: 27 Jul 2014
Johannes Brumm, Felix Kubler, Michael Grill and Karl Schmedders
Karlsruhe Institute of Technology, University of Zurich, European Central Bank (ECB) and IMD
Downloads 57 (676,902)
Citation 4

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collateral constraints, general equilibrium, heterogeneous agents, margin requirements, Regulation T

16.

Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences

Number of pages: 75 Posted: 08 Aug 2019 Last Revised: 28 Mar 2023
Walt Pohl, Walt Pohl, Karl Schmedders and Ole Wilms
NHH Norwegian School of EconomicsUniversity of Zurich, IMD and University of Hamburg
Downloads 215 (259,038)
Citation 2

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Asset pricing, existence, jumps, long-run risk, recursive utility

17.

Long-Run UIP Holds Even in the Short Run

Swiss Finance Institute Research Paper No. 13-31
Number of pages: 27 Posted: 30 May 2013 Last Revised: 01 Jul 2013
Fabian Ackermann, Walt Pohl, Walt Pohl and Karl Schmedders
Zurcher Kantonalbank, NHH Norwegian School of EconomicsUniversity of Zurich and IMD
Downloads 210 (264,727)

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currencies, long-term interest rates, uncovered interest parity

18.

Carbon Risk and Equity Prices

Number of pages: 40 Posted: 19 Jun 2023
RWTH Aachen University, RWTH-Aachen University, IMD and RWTH Aachen University
Downloads 208 (267,124)
Citation 1

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Carbon emissions, carbon risk, climate change, equity returns, factor model, institutional investors

19.

Discrete Time Dynamic Principal--Agent Models: Contratction Mapping Theorem and Computational Treatment

Swiss Finance Institute Research Paper No. 16-26
Number of pages: 41 Posted: 14 Apr 2016 Last Revised: 08 Oct 2019
Philipp Renner and Karl Schmedders
Lancaster University and IMD
Downloads 199 (278,065)
Citation 2

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Optimal unemployment tax, principal-agent model, repeated moral hazard

20.

Nonlinear Dynamics in Conditional Volatility

Proceedings of Paris December 2020 Finance Meeting EUROFIDAI - ESSEC
Number of pages: 48 Posted: 08 May 2020 Last Revised: 13 Oct 2020
Friedrich Lorenz, Karl Schmedders and Malte Schumacher
University of Münster - Finance Center Muenster, IMD and University of Zurich - Department of Business Administration
Downloads 190 (290,031)
Citation 6

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asset pricing, conditional volatility, variance risk premium

21.

Finding All Pure-Strategy Equilibria in Games with Continuous Strategies

Quantitative Economics 3 (2 2012), Swiss Finance Institute Research Paper No. 10-45
Number of pages: 52 Posted: 05 Nov 2010 Last Revised: 15 Oct 2014
Kenneth L. Judd, Philipp Renner and Karl Schmedders
Stanford University - The Hoover Institution on War, Revolution and Peace, Lancaster University and IMD
Downloads 188 (292,806)
Citation 2

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Polynomial Equations, Multiple Equilibria, Static Games, Dynamic Games, Markovperfect Equilibria

Non-Parametric Counterfactual Analysis in Dynamic General Equilibrium

Swiss Finance Institute Research Paper No. 09-05
Number of pages: 26 Posted: 30 Mar 2009
Felix Kubler and Karl Schmedders
University of Zurich and IMD
Downloads 98 (492,894)
Citation 1

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Dynamic general equilibrium, non-parametric analysis, observable restrictions

Non-Parametric Counterfactual Analysis in Dynamic General Equilibrium

PIER Working Paper No. 07-027
Number of pages: 26 Posted: 19 Sep 2007
Felix Kubler and Karl Schmedders
University of Zurich and IMD
Downloads 74 (588,243)
Citation 2

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Dynamic general equilibrium, non-parametric analysis, observable restrictions.

23.

Competitive Equilibria in Semi-Algebraic Economies

PIER Working Paper No. 07-013
Number of pages: 37 Posted: 28 Mar 2007
Felix Kubler and Karl Schmedders
University of Zurich and IMD
Downloads 164 (329,965)
Citation 7

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Computable general equilibrium, semi-algebraic economy, Groebner bases

24.

The Perils of Performance Measurement in the German Mutual-Fund Industry

Swiss Finance Institute Research Paper No. 13-30
Number of pages: 42 Posted: 27 May 2013
Philip Böhme, Walt Pohl, Walt Pohl and Karl Schmedders
Allianz Global Investors Europe, NHH Norwegian School of EconomicsUniversity of Zurich and IMD
Downloads 150 (355,498)

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CAPM regression, Dimson correction, mutual funds, net asset values, performance measurement

25.

A Solution Method for Incomplete Asset Markets Wih Heterogeneous Agents

Number of pages: 27 Posted: 14 Jun 2006
Karl Schmedders, Kenneth L. Judd and Felix Kubler
IMD, Stanford University - The Hoover Institution on War, Revolution and Peace and University of Zurich
Downloads 147 (361,351)
Citation 3

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26.

Statistical Approximation of High-Dimensional Climate Models

Swiss Finance Institute Research Paper No. 16-76
Number of pages: 19 Posted: 19 Dec 2016 Last Revised: 04 Jan 2017
CER-ETH - Center of Economic Research at ETH Zurich, Stanford University - The Hoover Institution on War, Revolution and Peace, University of Zurich and IMD
Downloads 144 (367,437)

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Climate Change, Greenhouse Gas, Single Equation Models

27.

Optimal Rules for Patent Races

Number of pages: 41 Posted: 30 Mar 2011
Kenneth L. Judd, Karl Schmedders and Sevin Yeltekin
Stanford University - The Hoover Institution on War, Revolution and Peace, IMD and Tepper School of Business, Carnegie Mellon University
Downloads 137 (381,861)

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Patent Race, Patent Policy, Stochastic Dynamic Games, Markov-perfect Equilibria

28.

On Price Caps Under Uncertainty

Number of pages: 28 Posted: 14 Jun 2006
Karl Schmedders, Robert Earle and Tymon Tatur
IMD, CRA International and Princeton University - Department of Economics
Downloads 124 (412,658)
Citation 2

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Price caps, demand uncertainty, monotone comparative statics

29.

Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs

U of Maastricht, METEOR Working Paper No. RM/00/34
Number of pages: 57 Posted: 08 Nov 2003
P. Jean-Jacques Herings and Karl Schmedders
Tilburg University and IMD
Downloads 121 (420,090)
Citation 1

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30.

New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'

Swiss Finance Institute Research Paper No. 16-32
Number of pages: 15 Posted: 14 May 2016
Vanessa Kummer, Maik Meusel, Philipp Renner and Karl Schmedders
University of Zurich, University of Zurich, Lancaster University and IMD
Downloads 80 (555,127)

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Career concerns, dynamic agent model, multi-period contracts

31.

Computing Economic Equilibria Using Projection Methods

Annual Review of Economics, Vol. 12, pp. 317-353, 2020
Posted: 14 Aug 2020
Alena Miftakhova, Karl Schmedders and Malte Schumacher
CER-ETH - Center of Economic Research at ETH Zurich, IMD and University of Zurich - Department of Business Administration

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32.

Increasing the Value of Search Subscriptions for Housing Market Analyses

Posted: 01 Nov 2017 Last Revised: 19 Dec 2018
Andy Egger, Vanessa Kummer, Maik Meusel and Karl Schmedders
Realmatch360, University of Zurich, University of Zurich and IMD

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Demand Forecasting, Imputation, Machine Learning, Real Estate

33.

Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents

Posted: 18 Oct 2003
Kenneth L. Judd, Felix Kubler and Karl Schmedders
Stanford University - The Hoover Institution on War, Revolution and Peace, University of Zurich and IMD

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