Eduardo S. Schwartz

University of California, Los Angeles (UCLA) - Finance Area

Prof.

Los Angeles, CA 90095-1481

United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

39

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15,555

CITATIONS
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in Total Papers Citations

310

Scholarly Papers (39)

1.

Valuation of Information Technology Investments as Real Options

AFA 2001 New Orleans Meetings
Number of pages: 37 Posted: 20 Nov 2000
Carlos Zozaya-Gorostiza and Eduardo S. Schwartz
Instituto Tecnológico Autónomo de México (ITAM) and University of California, Los Angeles (UCLA) - Finance Area
Downloads 2,562 (3,247)
Citation 2

Abstract:

2.

The Relative Valuation of Caps and Swaptions: Theory and Empirical Evidence

Anderson School at UCLA Working Paper #4-00
Number of pages: 45 Posted: 09 Jun 2000
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 1,418 (8,693)
Citation 43

Abstract:

3.

Liquidity and The Law of One Price: The Case of the Cash/Futures Basis

Number of pages: 50 Posted: 09 Nov 2004
Eduardo S. Schwartz, Richard Roll and Avanidhar Subrahmanyam
University of California, Los Angeles (UCLA) - Finance Area, California Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 994 (15,482)
Citation 23

Abstract:

Market efficiency, liquidity, arbitrage

4.

Optimal Exploration Investments under Price and Geological-Technical Uncertainty: A Real Options Model

EFMA 2000 Athens
Number of pages: 29 Posted: 31 Dec 2000
Gonzalo Cortazar, Eduardo S. Schwartz and Jaime Casassus
Pontificia Universidad Catolica de Chile, University of California, Los Angeles (UCLA) - Finance Area and Pontificia Universidad Catolica de Chile
Downloads 952 (16,816)
Citation 8

Abstract:

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, vol. 22, no. 11, p. 4423-4461, 2009
Number of pages: 55 Posted: 03 Mar 2008 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 879 (19,091)
Citation 34

Abstract:

Stochastic volatility, HJM model, futures, options, Kalman filter

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

NBER Working Paper No. w12744
Number of pages: 52 Posted: 13 Dec 2006
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 50 (314,146)
Citation 34

Abstract:

Unspanned Stochastic Volatility and the Pricing of Commodity Derivatives

Review of Financial Studies, vol. 22, no. 11, p. 4423-4461, 2009
Posted: 08 Dec 2009 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

6.

Throwing Away a Billion Dollars: The Cost of Suboptimal Exercise Strategies in the Swaption Market

Number of pages: 49 Posted: 02 Jul 1999
Francis A. Longstaff, Eduardo S. Schwartz and Pedro Santa-Clara
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and New University of Lisbon - Nova School of Business and Economics
Downloads 922 (17,923)
Citation 24

Abstract:

7.
Downloads 877 ( 19,518)
Citation 2

The Swaption Cube

Review of Financial Studies, vol. 27, no. 8, p. 2307-2353, 2014
Number of pages: 87 Posted: 28 Oct 2010 Last Revised: 10 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 853 (19,920)
Citation 2

Abstract:

An Empirical Analysis of the Swaption Cube

NBER Working Paper No. w16549
Number of pages: 53 Posted: 22 Nov 2010
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 24 (413,199)
Citation 2

Abstract:

8.
Downloads 784 ( 22,977)
Citation 15

Are All Credit Default Swap Databases Equal?

Number of pages: 53 Posted: 22 Nov 2010 Last Revised: 17 Jan 2013
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 754 (23,913)
Citation 15

Abstract:

Credit Default Swap Prices, Databases, Liquidity

Are All Credit Default Swap Databases Equal?

NBER Working Paper No. w16590
Posted: 13 Dec 2010
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 30 (383,873)
Citation 15

Abstract:

Are All Credit Default Swap Databases Equal?

European Financial Management, Vol. 20, Issue 4, pp. 677-713, 2014
Number of pages: 37 Posted: 16 Sep 2014
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 0
Citation 15

Abstract:

credit default swap prices, databases, liquidity

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Number of pages: 66 Posted: 06 Mar 2007 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 719 (25,576)
Citation 10

Abstract:

Stochastic volatility, HJM model, Kalman filter, swaptions, caps

A General Stochastic Volatility Model for the Pricing of Interest Rate Derivatives

Review of Financial Studies, vol. 22, no. 5, p. 2007-2057, 2009
Posted: 13 Apr 2009 Last Revised: 11 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

E43, G13

10.

Variance Risk Premia in Energy Commodities

Journal of Derivatives, vol. 17, p. 15-32, 2010
Number of pages: 30 Posted: 15 Jul 2008 Last Revised: 10 Feb 2016
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 526 (34,953)
Citation 12

Abstract:

Crude oil, natural gas, stochastic variance, risk premia

11.

Term Structure Estimation in Low-Frequency Transaction Markets: A Kalman Filter Approach with Incomplete Panel-Data

EFA 2004 Maastricht Meetings Paper No. 3102
Number of pages: 38 Posted: 26 Jul 2004
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, University of California, Los Angeles (UCLA) - Finance Area and University of Miami - Department of Finance
Downloads 511 (37,435)
Citation 3

Abstract:

12.

O/S: The Relative Trading Activity in Options and Stock

Journal of Financial Economics (JFE), Forthcoming
Number of pages: 52 Posted: 28 May 2009 Last Revised: 02 Oct 2009
Richard Roll, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 497 (34,496)
Citation 25

Abstract:

derivatives volume, stock volume, market efficiency

A Model of R&D Valuation and the Design of Research Incentives

Insurance: Mathematics and Economics, Vol. 43, No. 3, pp. 350-367, 2008
Number of pages: 67 Posted: 31 Dec 2007 Last Revised: 03 Jan 2017
Jason C. Hsu and Eduardo S. Schwartz
Rayliant Global Advisors and University of California, Los Angeles (UCLA) - Finance Area
Downloads 311 (74,204)
Citation 6

Abstract:

real option, incentive design, R&D valuation

A Model of R&D Valuation and the Design of Research Incentives

NBER Working Paper No. w10041
Number of pages: 65 Posted: 27 Oct 2003
Jason C. Hsu and Eduardo S. Schwartz
Rayliant Global Advisors and University of California, Los Angeles (UCLA) - Finance Area
Downloads 104 (205,065)
Citation 6

Abstract:

14.
Downloads 386 ( 58,182)
Citation 1

Growth Options and Firm Valuation

Number of pages: 35 Posted: 05 Feb 2013 Last Revised: 07 Oct 2015
Holger Kraft, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 201 (117,880)
Citation 1

Abstract:

firm valuation, real options, volatility, R&D expenses

Growth Options and Firm Valuation

SAFE Working Paper No. 6
Number of pages: 36 Posted: 27 Feb 2013 Last Revised: 07 Oct 2015
Holger Kraft, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 177 (132,970)
Citation 1

Abstract:

Firm valuation, Real options, Volatility, R&D expenses

Growth Options and Firm Valuation

NBER Working Paper No. w18836
Number of pages: 35 Posted: 01 Mar 2013
Holger Kraft, Eduardo S. Schwartz and Farina Weiss
Goethe University Frankfurt, University of California, Los Angeles (UCLA) - Finance Area and Goethe University Frankfurt
Downloads 8 (502,624)
Citation 1

Abstract:

15.

Commercial Office Space: Tests of a Real Options Model with Competitive Interactions

AFA 2004 San Diego Meetings
Number of pages: 21 Posted: 08 Dec 2003
Walter N. Torous and Eduardo S. Schwartz
Massachusetts Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 365 (60,408)
Citation 6

Abstract:

Cash Flow Multipliers and Optimal Investment Decisions

Number of pages: 44 Posted: 02 Mar 2010 Last Revised: 25 Sep 2013
Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 308 (75,017)

Abstract:

Firm valuation, Valuation multiples, Real options

Cash Flow Multipliers and Optimal Investment Decisions

NBER Working Paper No. w15807
Number of pages: 51 Posted: 15 Mar 2010
Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 31 (379,496)

Abstract:

Cash Flow Multipliers and Optimal Investment Decisions

European Financial Management, Vol. 21, Issue 3, pp. 399-429, 2015
Number of pages: 31 Posted: 02 Jun 2015
Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 1 (544,640)

Abstract:

firm valuation, valuation multiples, real options

17.

Options Trading Activity and Firm Valuation

Number of pages: 32 Posted: 06 Feb 2008
Eduardo S. Schwartz, Avanidhar Subrahmanyam and Richard Roll
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and California Institute of Technology
Downloads 314 (71,726)
Citation 16

Abstract:

18.
Downloads 307 ( 75,793)
Citation 13

R&D Investments with Competitive Interactions

EFA 2003 Annual Conference Paper No. 430
Number of pages: 51 Posted: 20 Jul 2003
Kristian R. Miltersen and Eduardo S. Schwartz
Copenhagen Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 283 (82,589)
Citation 13

Abstract:

R&D Investments with Competitive Interactions

NBER Working Paper No. w10258
Number of pages: 48 Posted: 14 Jul 2010
Kristian R. Miltersen and Eduardo S. Schwartz
Copenhagen Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 24 (413,199)
Citation 12

Abstract:

19.

Pricing Expropriation Risk in Natural Resource Contracts - A Real Options Approach

Published in William Hogan and Federico Sturzenegger, eds.: The Natural Resource Trap, MIT press, 2010
Number of pages: 28 Posted: 05 Feb 2008 Last Revised: 10 Feb 2016
Eduardo S. Schwartz and Anders B. Trolle
University of California, Los Angeles (UCLA) - Finance Area and Ecole Polytechnique Fédérale de Lausanne
Downloads 241 (90,651)
Citation 3

Abstract:

Real options, crude oil contracts, expropriation risk

20.
Downloads 177 (133,033)
Citation 9

Homeownership as a Constraint on Asset Allocation

Number of pages: 42 Posted: 22 Mar 2005
Stephen Day Cauley, Andrey D. Pavlov and Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area, Simon Fraser University (SFU) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 177 (132,970)
Citation 9

Abstract:

Asset allocation, housing

Homeownership as a Constraint on Asset Allocation

Journal of Real Estate Finance and Economics, Vol. 34, No. 3, 2007
Posted: 11 Oct 2006
Stephen Day Cauley, Eduardo S. Schwartz and Andrey D. Pavlov
University of California, Los Angeles (UCLA) - Finance Area, University of California, Los Angeles (UCLA) - Finance Area and Simon Fraser University (SFU) - Finance Area

Abstract:

21.

Towards a Common European Monetary Union Risk Free Rate

Number of pages: 32 Posted: 14 Mar 2010 Last Revised: 23 Feb 2012
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Banco de España, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 162 (140,128)
Citation 3

Abstract:

Euro government bonds, Credit quality, Liquidity, Macro factors

22.
Downloads 152 (151,925)
Citation 24

Patents and R&D as Real Options

NBER Working Paper No. w10114
Number of pages: 50 Posted: 26 Nov 2003
Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area
Downloads 112 (194,254)
Citation 24

Abstract:

Patents and R&D as Real Options

Economic Notes, Vol. 33, No. 1, pp. 23-54, February 2004
Number of pages: 32 Posted: 03 Jul 2004
Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area
Downloads 40 (345,449)
Citation 24

Abstract:

23.

Trading Activity in the Equity Market and Its Contingent Claims: An Empirical Investigation

Number of pages: 55 Posted: 10 Dec 2010 Last Revised: 31 Mar 2012
Richard Roll, Eduardo S. Schwartz and Avanidhar Subrahmanyam
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area
Downloads 145 (143,914)
Citation 1

Abstract:

volume, market efficiency

24.

Illiquid Assets and Optimal Portfolio Choice

NBER Working Paper No. w12633
Number of pages: 66 Posted: 20 Nov 2006
Claudio Tebaldi and Eduardo S. Schwartz
Bocconi University, IGIER and CAREFIN and University of California, Los Angeles (UCLA) - Finance Area
Downloads 134 (168,618)
Citation 8

Abstract:

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

SAFE Working Paper No. 92
Number of pages: 50 Posted: 18 Mar 2015 Last Revised: 22 Aug 2016
Christoph Hambel, Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 69 (266,402)

Abstract:

Climate change economics, carbon abatement, social cost of carbon, GDP growth, stochastic differential utility

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

Number of pages: 47 Posted: 15 Mar 2015 Last Revised: 22 Aug 2016
Christoph Hambel, Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 54 (302,865)

Abstract:

Climate change economics, carbon abatement, social cost of carbon, GDP growth, stochastic differential utility

Optimal Carbon Abatement in a Stochastic Equilibrium Model with Climate Change

NBER Working Paper No. w21044
Number of pages: 52 Posted: 30 Mar 2015
Christoph Hambel, Holger Kraft and Eduardo S. Schwartz
Goethe University Frankfurt, Goethe University Frankfurt and University of California, Los Angeles (UCLA) - Finance Area
Downloads 5 (518,175)

Abstract:

26.

A General Stochastic Volatility Model for the Pricing and Forecasting of Interest Rate Derivatives

NBER Working Paper No. w12337
Number of pages: 64 Posted: 14 Jul 2006
Anders B. Trolle and Eduardo S. Schwartz
Ecole Polytechnique Fédérale de Lausanne and University of California, Los Angeles (UCLA) - Finance Area
Downloads 53 (281,218)
Citation 10

Abstract:

27.

Real Options with Uncertain Maturity and Competition

NBER Working Paper No. w12990
Number of pages: 51 Posted: 23 Mar 2007
Kristian R. Miltersen and Eduardo S. Schwartz
Copenhagen Business School and University of California, Los Angeles (UCLA) - Finance Area
Downloads 50 (293,371)
Citation 2

Abstract:

28.

Commercial Office Space: Testing the Implications of Real Options Models With Competitive Interactions

Real Estate Economics, Vol. 35, No. 1, pp. 1-20, Spring 2007
Number of pages: 20 Posted: 16 Feb 2007
Walter N. Torous and Eduardo S. Schwartz
Massachusetts Institute of Technology and University of California, Los Angeles (UCLA) - Finance Area
Downloads 37 (348,610)
Citation 4

Abstract:

29.

Towards a Common European Monetary Union Risk Free Rate

NBER Working Paper No. w15353
Number of pages: 61 Posted: 21 Sep 2009
Sergio Mayordomo, Juan Ignacio Peña and Eduardo S. Schwartz
Universidad Carlos III de Madrid, Universidad Carlos III de Madrid - Department of Business Administration and University of California, Los Angeles (UCLA) - Finance Area
Downloads 23 (391,536)
Citation 3

Abstract:

30.

Commodity and Asset Pricing Models: An Integration

NBER Working Paper No. w19167
Number of pages: 44 Posted: 29 Jun 2013
Gonzalo Cortazar, Ivo Kovacevic and Eduardo S. Schwartz
Pontificia Universidad Catolica de Chile, Pontifical Catholic University of Chile and University of California, Los Angeles (UCLA) - Finance Area
Downloads 11 (441,004)

Abstract:

31.

Commodity Price Forecasts, Futures Prices and Pricing Models

NBER Working Paper No. w22991
Number of pages: 35 Posted: 11 Jan 2017
Pontificia Universidad Catolica de Chile, Pontificia Universidad Catolica de Chile, University of California, Los Angeles (UCLA) - Finance Area and Pontifical Catholic University of Chile
Downloads 0 (481,161)

Abstract:

32.

Term-Structure Estimation in Markets with Infrequent Trading

Cortazar, G., Schwartz, E. S. and Naranjo, L. F. (2007), Term-Structure Estimation in Markets with Infrequent Trading. Int. J. Fin. Econ., 12: 353–369,
Posted: 15 Sep 2013
Gonzalo Cortazar, Eduardo S. Schwartz and Lorenzo Naranjo
Pontificia Universidad Catolica de Chile, University of California, Los Angeles (UCLA) - Finance Area and University of Miami - Department of Finance

Abstract:

Term-structure estimation, emerging markets, infrequent trading

33.

The Valuation of Forestry Resources Under Stochastic Prices & Inventories

Journal of Financial & Quantitative Analysis. 24(4) 473-487, Dec. 1989, University of Alberta School of Business Research Paper No. 2013-636
Posted: 08 Jun 2013
Randall Morck, Eduardo S. Schwartz and David A. Stangeland
National Bureau of Economic Research (NBER), University of California, Los Angeles (UCLA) - Finance Area and University of Manitoba - Department of Accounting and Finance

Abstract:

34.

Convergence Within the EU: Evidence from Interest Rates

Economic Notes, Vol. 29, No. 2, July 2000
Posted: 11 Jul 2000
Teresa Corzo Santamaria and Eduardo S. Schwartz
University of Navarra and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

35.

Electronic Screen Trading and the Transmission of Information: An Empirical Examination

JOURNAL OF FINANCIAL INTERMEDIATION Vol 3 No 2, 1994
Posted: 26 Oct 1999
Andreas Grünbichler, Eduardo S. Schwartz and Francis A. Longstaff
University of St. Gallen - Swiss Institute of Banking and Finance, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

36.

A Simple Approach to Valuing Risky Fixed and Floating Rate Debt and Determining Swap Spreads

Posted: 30 Dec 1998
Francis A. Longstaff and Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

37.

Valuing American Options by Simulation: A Simple Least-Squares Approach

Posted: 26 Oct 1998
Francis A. Longstaff and Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

38.

Contemporary Issues: Valuing Long-Term Commodity Assets

Financial Management, "Spring 1998"
Posted: 15 Jun 1998
Eduardo S. Schwartz
University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate

REAL ESTATE ECONOMICS, Vol. 24 No. 1
Posted: 19 Apr 1996
Bradford Cornell, Eduardo S. Schwartz and Francis A. Longstaff
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Throwing Good Money After Bad? Cash Infusions and Distressed Real Estate

UCLA Working Paper No 4-94
Posted: 18 Jul 1994
Bradford Cornell, Francis A. Longstaff and Eduardo S. Schwartz
California Institute of Technology, University of California, Los Angeles (UCLA) - Finance Area and University of California, Los Angeles (UCLA) - Finance Area

Abstract:

Other Papers (1)

Total Downloads: 11    Citations: 8
1.

Illiquid Assets and Optimal Portfolio Choice

UCLA Anderson School of Management Paper No. 18-04
Number of pages: 48 Posted: 04 Mar 2005
Claudio Tebaldi and Eduardo S. Schwartz
Bocconi University, IGIER and CAREFIN and University of California, Los Angeles (UCLA) - Finance Area
Downloads 0 (168,618)
Citation 8

Abstract:

Dynamic portfolio choice