Pascal J. Maenhout

INSEAD - Finance

Assistant Professor of Finance

Boulevard de Constance

F-77305 Fontainebleau Cedex

France

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 3,120

SSRN RANKINGS

Top 3,120

in Total Papers Downloads

14,397

SSRN CITATIONS
Rank 3,692

SSRN RANKINGS

Top 3,692

in Total Papers Citations

175

CROSSREF CITATIONS

190

Scholarly Papers (13)

Actions:
Email selected abstracts
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 2,951 (4,971)
Citation 37

Abstract:

Loading...

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

2.

Option-Implied Correlations and the Price of Correlation Risk

Downloads 2,832 ( 5,321)
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 1,734 (11,606)
Citation 22

Abstract:

Loading...

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 1,098 (23,494)
Citation 31

Abstract:

Loading...

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 2,243 (7,804)
Citation 9

Abstract:

Loading...

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 1,592 (13,524)
Citation 3

Abstract:

Loading...

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 1,146 (22,450)
Citation 27

Abstract:

Loading...

6.

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

Downloads 1,035 ( 26,028)
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 1,035 (25,633)
Citation 11

Abstract:

Loading...

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

Abstract:

Loading...

7.

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

Downloads 969 ( 28,604)
Citation 28

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 702 (44,023)
Citation 6

Abstract:

Loading...

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 267 (139,205)
Citation 23

Abstract:

Loading...

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

Abstract:

Loading...

G12, G13

8.

Investing Retirement Wealth: A Life-Cycle Model

Downloads 883 ( 32,645)
Citation 35

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 804 (36,561)
Citation 36

Abstract:

Loading...

Investing Retirement Wealth: a Life-Cycle Model

NBER Working Paper No. w7029
Number of pages: 49 Posted: 20 Apr 1999 Last Revised: 12 Oct 2010
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 79 (372,805)

Abstract:

Loading...

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 382 (94,828)
Citation 9

Abstract:

Loading...

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 277 (134,622)
Citation 2

Abstract:

Loading...

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 82 (361,092)

Abstract:

Loading...

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

12.

Generalized Robustness and Dynamic Pessimism

Downloads 5 (733,858)

Generalized Robustness and Dynamic Pessimism

NBER Working Paper No. w26970
Number of pages: 43 Posted: 20 Apr 2020 Last Revised: 12 Mar 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 5 (764,862)
  • Add to Cart

Abstract:

Loading...

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
Downloads 0
  • Add to Cart

Abstract:

Loading...

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

Abstract:

Loading...

G11, G12