Sergey Isaenko

Concordia University, Quebec - Department of Finance

Doctor

John Molson School of Business

Concordia University. 1455 de Maisonneuve Blvd.W.

Montreal, Quebec, H3G 1M8

Canada

SCHOLARLY PAPERS

12

DOWNLOADS
Rank 12,650

SSRN RANKINGS

Top 12,650

in Total Papers Downloads

3,780

SSRN CITATIONS
Rank 24,236

SSRN RANKINGS

Top 24,236

in Total Papers Citations

3

CROSSREF CITATIONS

26

Scholarly Papers (12)

1.

Optimal Dynamic Trading Strategies with Risk Limits

Operations Research, Vol. 56, pp. 358-368, 2008
Number of pages: 26 Posted: 14 Jul 2004 Last Revised: 05 Dec 2011
Domenico Cuoco, Hua He and Sergey Isaenko
University of Pennsylvania - Finance Department, Yale University - School of Management and Concordia University, Quebec - Department of Finance
Downloads 1,151 (17,696)
Citation 3

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Risk management, value at risk, tail conditional expectation

2.

Equilibrium Theory of Stock Market Crashes

Journal of Economic Dynamics and Control, 2015, Volume 60, 73-94
Number of pages: 41 Posted: 02 Jul 2010 Last Revised: 09 Aug 2017
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 483 (58,417)

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General Equilibrium, Financial Crisis, Liquidity, Asset Pricing

3.

Portfolio Choice under Transitory Price Impact

Journal of Economic Dynamics and Control, Vol. 34, No. 11, pp. 2375-2389, November 2010
Number of pages: 28 Posted: 19 Mar 2010 Last Revised: 27 Oct 2011
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 395 (74,490)

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Portfolio Choice, Liquidity, Transaction Costs

4.

Diversification in Illiquid Market

Number of pages: 33 Posted: 20 Sep 2006 Last Revised: 30 Jun 2010
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 303 (100,533)

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Portfolio Choice, Liquidity, Transaction Costs

5.

Liquidity Premium in the Presence of Stock Market Crises and Background Risk

Quantitative Finance, Vol 15(1), 79-90, 2015
Number of pages: 27 Posted: 18 Jan 2011 Last Revised: 02 Apr 2017
Sergey Isaenko and Rui Zhong
Concordia University, Quebec - Department of Finance and The University of Western Australia - UWA Business School
Downloads 274 (112,020)

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Portfolio Choice, Liquidity

6.
Downloads 265 (116,008)
Citation 2

Dynamic Equilibrium with Overpriced Put Options

Number of pages: 26 Posted: 04 Apr 2006
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 241 (127,379)
Citation 2

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Derivatives, equilibrium, arbitrage

Dynamic Equilibrium with Overpriced Put Options

Economic Notes, Vol. 36, No. 1, pp. 1-26, February 2007
Number of pages: 26 Posted: 01 Jun 2007
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 24 (518,786)
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7.

The Term Structure of Interest Rate in an Economy Where Investors Have Heterogeneous Recursive Preferences

The Quarterly Review of Economics and Finance, Vol. 48, pp. 457-481, 2008
Number of pages: 33 Posted: 04 Apr 2006 Last Revised: 18 Nov 2010
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 209 (146,837)

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Equilibrium, Recursive Utility, Asset Pricing, Term Structure

8.

Slow-Moving Capital and Stock Returns

Number of pages: 48 Posted: 01 May 2014 Last Revised: 07 Jun 2019
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 199 (153,788)

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General Equilibrium; Asset Pricing; Risk Premium Puzzle; Slow Capital Movement

9.

On the Super-Replicating Approach When Trading a Derivative is Limited

Quantitative Finance, 2008,Vol. 8, No. 3, 285-297
Number of pages: 28 Posted: 04 Apr 2006 Last Revised: 13 Nov 2017
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 184 (165,217)

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Derivatives, Arbitrage

10.

Optimal Mean-Reversion Strategy in the Presence of Bid-Ask Spread and Delays in Capital Allocations

Number of pages: 31 Posted: 23 Sep 2016 Last Revised: 18 Sep 2017
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 182 (166,838)

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Portfolio Choice, Mean-Reverting security, Transaction Costs

11.

Can Vanishing Transaction Costs Have Non-Vanishing Effect on Equilibrium Prices? The Affirmative Answer

Number of pages: 41 Posted: 24 Mar 2018 Last Revised: 02 Feb 2019
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 78 (312,267)

Abstract:

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Equilibrium, Asset Pricing, Transaction Costs

12.

Short-Term Reversal and the Frequency of Time-Series

Number of pages: 29 Posted: 17 Jun 2019 Last Revised: 19 Sep 2019
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 57 (368,763)

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Reversal; high frequency data; Estimates of stock return