Adam Farago

University of Gothenburg - Centre for Finance

Assistant Professor

Box 640

Gothenburg, 405 30

Sweden

SCHOLARLY PAPERS

4

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Scholarly Papers (4)

1.
Downloads 202 (131,520)

Asymmetries and Portfolio Choice

Swedish House of Finance Research Paper No. 15-09
Number of pages: 51 Posted: 13 May 2015 Last Revised: 20 Jul 2016
Stockholm School of Economics, University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 202 (131,228)

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Asset allocation, disappointment aversion, downside risk, loss aversion, reference-dependent preferences, skewness.

Asymmetries and Portfolio Choice

CEPR Discussion Paper No. DP10706
Number of pages: 52 Posted: 13 Jul 2015
Stockholm School of Economics, University of Gothenburg - Centre for Finance and ESSEC Business School
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Asset allocation, Downside risk

2.

Volatility Downside Risk

Number of pages: 54 Posted: 23 Dec 2012
Adam Farago and Roméo Tédongap
University of Gothenburg - Centre for Finance and ESSEC Business School
Downloads 122 (160,522)

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Generalized Disappointment Aversion, Option Payoffs, Downside Risks, Cross-Section

3.

Stock Price Co-Movement and the Foundations of Pairs Trading

Journal of Financial and Quantitative Analysis (JFQA), Forthcoming
Number of pages: 55 Posted: 10 Feb 2018
Adam Farago and Erik Hjalmarsson
University of Gothenburg - Centre for Finance and University of Gothenburg - Centre for Finance
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Pairs trading, Stock price co-movement, Cointegration

4.

Downside Risks and the Cross-Section of Asset Returns

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 88 Posted: 10 Feb 2017 Last Revised: 02 Mar 2017
Adam Farago and Roméo Tédongap
University of Gothenburg - Centre for Finance and ESSEC Business School
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Generalized Disappointment Aversion, Downside Risks, Cross-Section