Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

14

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SSRN CITATIONS
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Top 3,789

in Total Papers Citations

290

CROSSREF CITATIONS

194

Scholarly Papers (14)

Option-Implied Correlations and the Price of Correlation Risk

Advanced Risk & Portfolio Management Paper
Number of pages: 47 Posted: 26 Oct 2012 Last Revised: 19 Apr 2016
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 2,152 (13,552)
Citation 22

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implied correlation, return predictability, index variance, variance risk premium, individual options

Option-Implied Correlations and the Price of Correlation Risk

Netspar Discussion Paper No. 07/2013-061
Number of pages: 48 Posted: 26 Nov 2013
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 1,510 (23,515)
Citation 31

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2.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings, Journal of Finance, Vol. 64, No. 3, 2009
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 29 Jun 2022
Joost Driessen, Pascal J. Maenhout and Grigory Vilkov
Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Frankfurt School of Finance & Management
Downloads 3,489 (6,400)
Citation 37

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Correlation risk, Dispersion trading, Index volatility, Stochastic volatility, Expected option returns

3.

Individual Stock-Option Prices and Credit Spreads

Number of pages: 56 Posted: 30 Jun 2004
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 2,332 (12,119)
Citation 26

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4.

Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry

Yale ICF Working Paper No. 06-34
Number of pages: 41 Posted: 20 Mar 2005
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 1,675 (20,419)
Citation 3

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A Portfolio Perspective on Option Pricing Anomalies

Number of pages: 52 Posted: 23 Jul 2003
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 1,254 (31,478)
Citation 27

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Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191, EFA 2006 Zurich Meetings
Number of pages: 50 Posted: 04 Mar 2005
Martijn Cremers, Joost Driessen and Pascal J. Maenhout
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 756 (62,860)
Citation 6

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Credit spreads, jump risk premium, firm value model

Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

BIS Working Paper No. 191
Number of pages: 51 Posted: 20 Sep 2007
Martijn Cremers, Joost Driessen, Pascal J. Maenhout and David Weinbaum
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management, INSEAD - Finance and Syracuse University
Downloads 350 (160,554)
Citation 48

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Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model

The Review of Financial Studies, Vol. 21, Issue 5, pp. 2209-2242, 2008
Posted: 19 Sep 2008
Martijn Cremers, Joost Driessen and Pascal J. Maenhout
University of Notre Dame, Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance

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Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Number of pages: 28 Posted: 01 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 1,105 (37,104)
Citation 11

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Hedging Demand, Intertemporal Portfolio Choice, And Mean Reversion

Stock Market Mean Reversion and the Optimal Equity Allocation of a Long-Lived Investor

Harvard Institute of Economic Research Paper No. 1899
Posted: 10 Apr 2002
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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8.
Downloads 1,003 (43,343)
Citation 33

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 892 (50,219)
Citation 36

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Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 17 Sep 2022
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 111 (460,327)

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9.

The World Price of Jump and Volatility Risk

AFA 2005 Philadelphia Meetings, Forthcoming
Number of pages: 53 Posted: 02 Jan 2005
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance
Downloads 429 (128,688)
Citation 9

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10.

Robustness and Dynamic Sentiment

Number of pages: 52 Posted: 09 Mar 2021 Last Revised: 02 Jun 2021
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 389 (143,913)

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robust control, subjective beliefs, pessimism, optimism, Cressie-Read

11.

A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium

Number of pages: 36 Posted: 21 Dec 2002
Bernard Dumas and Pascal J. Maenhout
INSEAD and INSEAD - Finance
Downloads 305 (187,156)
Citation 2

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12.

Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice and Asset Pricing

Number of pages: 67 Posted: 29 Oct 2022 Last Revised: 17 Jul 2023
Anne Balter, Pascal J. Maenhout and Hao Xing
Tilburg University, INSEAD - Finance and Boston University - Questrom School of Business
Downloads 287 (199,528)

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Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 12 Mar 2023
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 25 (940,516)

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Generalized Robustness and Dynamic Pessimism

CEPR Discussion Paper No. DP14592
Number of pages: 45 Posted: 08 May 2020
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
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Cressie Read, Pessimism, Robust control, Subjective beliefs

14.

An Empirical Portfolio Perspective on Option Pricing Anomalies

Review of Finance, Vol. 11, Issue 4, pp. 561-603, 2007
Posted: 14 Jul 2008
Joost Driessen and Pascal J. Maenhout
Tilburg University - Tilburg University School of Economics and Management and INSEAD - Finance

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G11, G12