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

  • Concordia University, Quebec - Department of Finance

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SCHOLARLY PAPERS

13

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Top 20,473

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4,336

SSRN CITATIONS
Rank 24,993

SSRN RANKINGS

Top 24,993

in Total Papers Citations

20

CROSSREF CITATIONS

24

Scholarly Papers (13)

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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 1,288 (27,558)
Citation 8

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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 512 (95,364)
Citation 1

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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 417 (121,670)

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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 320 (162,992)

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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 291 (180,095)

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Portfolio Choice, Liquidity

6.

Dynamic Equilibrium with Overpriced Put Options

Number of pages: 26 Posted: 04 Apr 2006
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 264 (198,775)
Citation 2

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Derivatives, equilibrium, arbitrage

7.

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 244 (214,814)
Citation 2

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

8.

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 237 (220,954)

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Portfolio Choice, Mean-Reverting security, Transaction Costs

9.

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 219 (238,310)

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Equilibrium, Recursive Utility, Asset Pricing, Term Structure

10.

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 202 (256,808)

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Derivatives, Arbitrage

11.

Transaction Costs, Frequent Trading, and Stock Prices.

Journal of Financial Markets, Forthcoming
Number of pages: 53 Posted: 24 Mar 2018 Last Revised: 26 Jul 2022
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 169 (300,423)
Citation 2

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Equilibrium, Asset Pricing, Transaction Costs

12.

Trading Strategies and the Frequency of Time-Series

Number of pages: 35 Posted: 17 Jun 2019 Last Revised: 14 Sep 2022
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 137 (356,844)

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Reversal; high frequency data; estimates of stock return

13.

Equilibrium Stock Returns and Transaction Costs

Number of pages: 31 Posted: 11 Oct 2023 Last Revised: 06 Nov 2023
Sergey Isaenko
Concordia University, Quebec - Department of Finance
Downloads 36 (747,009)

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Equilibrium, asset pricing, frequent trading, transaction costs