Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

13

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188

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189

Scholarly Papers (13)

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1.

The Price of Correlation Risk: Evidence from Equity Options

EFA 2005 Moscow Meetings
Number of pages: 60 Posted: 25 Feb 2005 Last Revised: 14 Jul 2008
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 3,066 (5,585)
Citation 37

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

2.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 3,020 ( 5,728)
Citation 44

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 1,836 (12,534)
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 1,184 (24,456)
Citation 31

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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 2,280 (8,941)
Citation 10

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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 1,622 (15,511)
Citation 3

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5.

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 1,166 (25,435)
Citation 27

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6.

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

Downloads 1,047 ( 29,724)
Citation 11

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
John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit
Downloads 1,047 (29,299)
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
John Y. Campbell, Joao F. Cocco, Francisco Gomes, Pascal J. Maenhout and Luis M. Viceira
Harvard University - Department of Economics, London Business School, London Business School, INSEAD - Finance and Harvard Business School - Finance Unit

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7.

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

Downloads 1,013 ( 31,164)
Citation 30

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 725 (48,677)
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 288 (146,282)
Citation 26

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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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G12, G13

8.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 912 ( 36,135)
Citation 36

Investing Retirement Wealth: A Life-Cycle Model

Harvard Institute of Economic Research Paper No. 1896
Number of pages: 50 Posted: 15 Aug 2000
John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 825 (40,945)
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: 18 Mar 2022
John Y. Campbell, Joao F. Cocco, Francisco Gomes and Pascal J. Maenhout
Harvard University - Department of Economics, London Business School, London Business School and INSEAD - Finance
Downloads 87 (394,455)

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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 394 (104,618)
Citation 9

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10.

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 282 (150,175)
Citation 2

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11.

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 209 (200,697)

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

12.

Generalized Robustness and Dynamic Pessimism

Downloads 7 (806,036)

Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 12 Mar 2022
Pascal J. Maenhout, Andrea Vedolin and Hao Xing
INSEAD - Finance, Boston University - Department of Finance & Economics and Boston University - Questrom School of Business
Downloads 7 (837,752)

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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

13.

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