Rodolfo Prieto

INSEAD

Boulevard de Constance

77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

8

DOWNLOADS

1,588

SSRN CITATIONS
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Top 34,592

in Total Papers Citations

18

CROSSREF CITATIONS

13

Scholarly Papers (8)

1.

Uncovering Sparsity and Heterogeneity in Firm-Level Return Predictability Using Machine Learning

Journal of Financial and Quantitative Analysis, forthcoming
Number of pages: 71 Posted: 25 May 2020 Last Revised: 21 Feb 2023
Theodoros Evgeniou, Ahmed Guecioueur and Rodolfo Prieto
INSEAD, INSEAD and INSEAD
Downloads 400 (141,600)

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Characteristics, Sparsity, Heterogeneity, Industries, Lasso, Clustering, Return Prediction, Big Data

2.

Dynamic Equilibrium with Heterogeneous Agents and Risk Constraints

Number of pages: 55 Posted: 15 Sep 2010 Last Revised: 17 Oct 2011
Rodolfo Prieto
INSEAD
Downloads 240 (241,583)
Citation 15

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Asset pricing bubbles, Endogenous regimes, General equilibrium, Risk constraints, Stochastic volatility

3.

Asset Pricing with Arbitrage Activity

Swiss Finance Institute Research Paper No. 13-57
Number of pages: 56 Posted: 08 Nov 2013
Julien Hugonnier and Rodolfo Prieto
École Polytechnique Fédérale de Lausanne and INSEAD
Downloads 237 (244,553)
Citation 10

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Limits of arbitrage; Rational bubbles; Wealth constraints; Excess volatility; Leverage effect

4.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 29 Dec 2020
Florida International University, INSEAD, Boston University - Questrom School of Business and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 195 (293,233)
Citation 1

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Credit Risk, Credit Spreads, Contagion, Exchange Economy, Equilibrium, Idiosyncratic shocks, Risk Premia Representation

Asset pricing with costly short sales

Swiss Finance Institute Research Paper No. 22-21, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 58 Posted: 09 Mar 2022 Last Revised: 26 Oct 2022
Theodoros Evgeniou, Julien Hugonnier and Rodolfo Prieto
INSEAD, École Polytechnique Fédérale de Lausanne and INSEAD
Downloads 162 (345,468)

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Shorting fees, Securities lending, Heterogeneous beliefs, Dynamic equilibrium.

Asset Pricing with Costly Short Sales

CEPR Discussion Paper No. DP17099
Number of pages: 58 Posted: 29 Mar 2022
Theodoros Evgeniou, Julien Hugonnier and Rodolfo Prieto
INSEAD, École Polytechnique Fédérale de Lausanne and INSEAD
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Dynamic equilibrium, heterogeneous beliefs, Securities lending, Shorting costs

6.

Optimal Liquidity and Asset Bubbles

Number of pages: 56 Posted: 02 Aug 2023
Jerome Detemple, Yerkin Kitapbayev and Rodolfo Prieto
Boston University - Questrom School of Business, Khalifa University and INSEAD
Downloads 140 (389,119)

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Credit lines, Pecuniary externality, Welfare analysis, Bubble formation.

7.

Equilibrium Implications of Interest Rate Smoothing

Number of pages: 48 Posted: 17 Oct 2017 Last Revised: 21 Jul 2018
Diogo Duarte and Rodolfo Prieto
Florida International University and INSEAD
Downloads 114 (455,275)

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Dynamic monetary equilibrium, Long term growth, McCallum rule, Nominal spread, Quantitative easing

8.

Technology Traps and Long Discount Rates

Number of pages: 40 Posted: 27 Mar 2018 Last Revised: 09 Feb 2021
Rodolfo Prieto
INSEAD
Downloads 100 (500,172)

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Endogenous R&D; Intensity control; Long-run risk; Long yields; Production economy; Technology adoption