Paul Karehnke

ESCP Europe - Department of Finance

Paris Campus

79, Avenue de la Republique

Paris, 75011

France

http://sites.google.com/site/paulkarehnke/

SCHOLARLY PAPERS

8

DOWNLOADS

1,326

SSRN CITATIONS

7

CROSSREF CITATIONS

11

Scholarly Papers (8)

1.

A Simple Skewed Distribution with Asset Pricing Applications

Review of Finance, Forthcoming, 28th Australasian Finance and Banking Conference
Number of pages: 53 Posted: 18 Aug 2015 Last Revised: 28 Jul 2016
Frans de Roon and Paul Karehnke
Tilburg University - Department of Finance and ESCP Europe - Department of Finance
Downloads 384 (80,538)
Citation 1

Abstract:

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Skewness, Value-at-Risk, Expected Shortfall, Portfolio Choice, Asset Pricing

2.

Time-Varying State Variable Risk Premia in an ICAPM

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 46 Posted: 17 Mar 2017 Last Revised: 01 Feb 2020
Pedro Barroso, Martijn Boons and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, New University of Lisbon - Nova School of Business and Economics and ESCP Europe - Department of Finance
Downloads 266 (120,865)
Citation 2

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Conditional Asset Pricing Models, State Variable Risk Premiums, Intertemporal CAPM, Time-Varying Consumption Predictability

3.

Crowding and Tail Risk in Momentum Returns

Number of pages: 65 Posted: 01 Oct 2017 Last Revised: 18 Feb 2020
Pedro Barroso, Roger M. Edelen and Paul Karehnke
UNSW Australia Business School, School of Banking and Finance, Virginia Tech and ESCP Europe - Department of Finance
Downloads 224 (143,599)
Citation 5

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Momentum, crash risk, institutional investors, crowded trade, destabilize

4.

Spanning Tests for Assets with Option-Like Payoffs: The Case of Hedge Funds

Number of pages: 55 Posted: 01 Oct 2015 Last Revised: 17 Jun 2019
Paul Karehnke and Frans de Roon
ESCP Europe - Department of Finance and Tilburg University - Department of Finance
Downloads 136 (222,645)
Citation 4

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hedge funds; mutual funds; writing options; performance evaluation; mean-variance-skewness spanning; prudence; portfolio choice

5.

On Portfolio Choice with Savoring and Disappointment

Management Science, Forthcoming
Number of pages: 25 Posted: 10 Jul 2013
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 126 (236,237)
Citation 1

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endogenous beliefs, anticipatory feelings, disappointment, optimism, portfolio choice, skewness, under-diversification

6.

Skewness Preferences in Choice under Risk

Number of pages: 93 Posted: 26 Nov 2019
Sebastian Ebert and Paul Karehnke
Frankfurt School of Finance & Management gemeinnützige GmbH and ESCP Europe - Department of Finance
Downloads 95 (288,082)

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risk preferences, downside risk aversion, prudence, skewness preferences, orders of skewness preferences

7.

Stereotypes, Underconfidence and Decision-Making with an Application to Gender and Math

Journal of Economic Behavior and Organization, Forthcoming
Number of pages: 28 Posted: 21 Feb 2018
Elyes Jouini, Paul Karehnke and Clotilde Napp
Univ. Paris Dauphine - CEREMADE, ESCP Europe - Department of Finance and CNRS and Université Paris-Dauphine
Downloads 70 (345,682)

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stereotype, gender gap, self-confidence, subjective ability

8.

Two Skewed Risks

Number of pages: 57 Posted: 31 Mar 2020
Arthur Beddock and Paul Karehnke
Université Paris Dauphine - Department of Finance and ESCP Europe - Department of Finance
Downloads 25 (517,589)

Abstract:

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Skewness, Co-Skewness, Conditional Expected Shortfall, Conditional Value-at-Risk, Portfolio Choice, Asset Pricing