Robert H. Litzenberger

University of Pennsylvania - Finance Department

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

  • University of Pennsylvania - Finance Department

SCHOLARLY PAPERS

6

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Top 27,299

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2,919

SSRN CITATIONS
Rank 1,607

SSRN RANKINGS

Top 1,607

in Total Papers Citations

173

CROSSREF CITATIONS

663

Scholarly Papers (6)

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1.

Prices of State-Contingent Claims Implicit in Option Prices

Journal of Business, Vol. 51, No. 4, 1978
Number of pages: 32 Posted: 12 Aug 2015
Douglas T. Breeden and Robert H. Litzenberger
Duke University Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 1,337 (23,240)
Citation 99

Abstract:

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2.

Crisis and Non-Crisis Risk in Financial Markets: A Unified Approach to Risk Management

Number of pages: 31 Posted: 18 Jul 2008
Robert H. Litzenberger and David Modest
University of Pennsylvania - Finance Department and Azimuth Alternative Assets Management LLLP
Downloads 995 (35,719)
Citation 6

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3.

Empirical Tests of the Consumption-Oriented CAPM

Journal of Finance, Vol. 44, No. 2, 1989
Number of pages: 33 Posted: 12 Aug 2015
Douglas T. Breeden, Robert R. Gibbons and Robert H. Litzenberger
Duke University Fuqua School of Business, University of Pennsylvania - Finance Department and University of Pennsylvania - Finance Department
Downloads 331 (141,482)
Citation 38

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Empirical tests, consumption, CAPM, Time aggregation, Maximum correlation portfolio

4.

Central Bank Policy Impacts on the Distribution of Future Interest Rates

Number of pages: 59 Posted: 12 Aug 2015
Douglas T. Breeden and Robert H. Litzenberger
Duke University Fuqua School of Business and University of Pennsylvania - Finance Department
Downloads 256 (184,465)
Citation 4

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Interest rates, risk neutral densities, state prices, Sovereign debt crisis, option prices, caps, floors

5.

The Impacts of Automation and High Frequency Trading on Market Quality

Annual Review of Financial Economics, Vol. 4, pp. 59-98, 2012
Posted: 04 Nov 2012
Robert H. Litzenberger, Jeff Castura and Richard Gorelick
University of Pennsylvania - Finance Department, RGM Advisors, LLC and RGM Advisors, LLC

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6.

Backwardation in Oil Futures Markets: Theory and Empirical Evidence

Posted: 22 Aug 1998
Robert H. Litzenberger and Nir Rabinowitz
University of Pennsylvania - Finance Department and affiliation not provided to SSRN

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