George Chacko

Santa Clara University - Finance Department

Associate Professor

Santa Clara, CA 95053

United States

  • Santa Clara University - Finance Department

SCHOLARLY PAPERS

13

DOWNLOADS

7,405

TOTAL CITATIONS

139

Scholarly Papers (13)

Actions:
Email selected abstracts
1.

Liquidity Risk in the Corporate Bond Markets

Number of pages: 47 Posted: 18 Mar 2005
George Chacko
Santa Clara University - Finance Department
Downloads 1,827 (19,917)
Citation 24

Abstract:

Loading...

Liquidity, Corporate Bonds

2.

Cephalon, Inc. Taking Risk Management Theory Seriously

Downloads 1,444 (28,489)
Citation 1

Cephalon, Inc. Taking Risk Management Theory Seriously

Number of pages: 48 Posted: 30 Nov 2000
George Chacko, Geoffrey Verter and Peter Tufano
Santa Clara University - Finance Department, Harvard Business School and Harvard Business School
Downloads 1,353 (30,762)
Citation 1

Abstract:

Loading...

Cephalon, Inc. Taking Risk Management Theory Seriously

NBER Working Paper No. w7748
Number of pages: 60 Posted: 17 Jul 2000 Last Revised: 04 Sep 2022
George Chacko, Geoffrey Verter and Peter Tufano
Santa Clara University - Finance Department, Harvard Business School and Harvard Business School
Downloads 91 (599,403)

Abstract:

Loading...

3.

Strategic Asset Allocation in a Continuous-Time VAR Model

Downloads 972 (50,394)
Citation 8

Strategic Asset Allocation in a Continuous-Time VAR Model

Harvard Institute Reseach Working Paper No. 1973
Number of pages: 24 Posted: 24 Oct 2002
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 827 (61,903)
Citation 5

Abstract:

Loading...

Strategic Asset Allocation in a Continuous-Time VAR Model

NBER Working Paper No. w9547
Number of pages: 25 Posted: 08 Mar 2003 Last Revised: 04 Aug 2022
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 120 (490,478)

Abstract:

Loading...

Strategic Asset Allocation in a Continuous-Time VAR Model

Number of pages: 38 Posted: 12 Jan 2004
John Y. Campbell, George Chacko, Jorge F. Rodriguez and Luis M. Viceira
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 25 (1,074,905)
Citation 3
  • Add to Cart

Abstract:

Loading...

4.

The Price of Immediacy

HBS Finance Working Paper No. 07-017
Number of pages: 39 Posted: 03 Oct 2006
George Chacko, Jakub W. Jurek and Erik Stafford
Santa Clara University - Finance Department, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 859 (59,701)
Citation 17

Abstract:

Loading...

Liquidity, transaction cost, limit order, American option, early exercise

5.

Spectral GMM Estimation of Continuous-Time Processes

EFA 0429
Number of pages: 40 Posted: 28 Nov 2000
George Chacko and Luis M. Viceira
Santa Clara University - Finance Department and Harvard Business School - Finance Unit
Downloads 601 (95,108)
Citation 31

Abstract:

Loading...

Continuous-time, Estimation, Stochastic Volatility, Characteristic Function

6.

A Forward-Solving Numerical Technique for Dynamic Consumption and Portfolio Allocation Problems

Number of pages: 44 Posted: 18 Mar 2005
George Chacko, Maxim Golts, Mihir A. Desai and Vladimir Novakovsky
Santa Clara University - Finance Department, 4x4invest, Harvard Business School - Finance Unit and Harvard University
Downloads 491 (122,090)

Abstract:

Loading...

Numerical, Consumption, Portfolio Choice, Asset Allocation

7.

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

Downloads 455 (133,829)

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. S-DRP-05-08
Number of pages: 60 Posted: 05 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Mallik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, State Street Global Markets and New York University (NYU) - Leonard N. Stern School of Business
Downloads 295 (214,896)

Abstract:

Loading...

The Determinants of Liquidity in the Corporate Bond Markets: An Application of Latent Liquidity

NYU Working Paper No. FIN-05-037
Number of pages: 60 Posted: 03 Nov 2008
George Chacko, Sriketan Mahanti, Gaurav Malik and Marti G. Subrahmanyam
Santa Clara University - Finance Department, State Street Global Markets, affiliation not provided to SSRN and New York University (NYU) - Leonard N. Stern School of Business
Downloads 160 (387,284)

Abstract:

Loading...

8.

Latent Liquidity: A New Measure of Liquidity, with an Application Corporate Bonds

NYU Working Paper No. FIN-07-012
Number of pages: 29 Posted: 03 Nov 2008
Sriketan Mahanti, Amrut J. Nashikkar, Marti G. Subrahmanyam, George Chacko and Gaurav Mallik
affiliation not provided to SSRN, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 291 (219,661)
Citation 2

Abstract:

Loading...

Fixed Income, Corporate Bonds, Liquidity, Asset Pricing, Market Microstructure

9.

Latent Liquidity: A New Measure of Liquidity, with an Application to Corporate Bonds

NYU Working Paper No. FIN-06-024
Number of pages: 54 Posted: 03 Nov 2008
Sriketan Mahanti, Amrut J. Nashikkar, Marti G. Subrahmanyam, George Chacko and Gaurav Mallik
State Street Global Markets, New York University (NYU) - Department of Finance, New York University (NYU) - Leonard N. Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 247 (259,537)
Citation 7

Abstract:

Loading...

10.

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Downloads 149 (411,355)
Citation 49

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

NBER Working Paper No. w7377
Number of pages: 62 Posted: 29 Mar 2000 Last Revised: 29 Aug 2022
George Chacko and Luis M. Viceira
Santa Clara University - Finance Department and Harvard Business School - Finance Unit
Downloads 107 (535,587)

Abstract:

Loading...

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

Number of pages: 63 Posted: 14 Jun 2005
George Chacko and Luis M. Viceira
Santa Clara University - Finance Department and Harvard Business School - Finance Unit
Downloads 42 (895,892)
Citation 49
  • Add to Cart

Abstract:

Loading...

Long-horizon investing, dynamic portfolio choice, intertemporal hedging, stochastic volatility, spectral GMM, recursive utility

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

The Review of Financial Studies, Vol. 18, Issue 4, pp. 1369-1402, 2005
Posted: 29 Feb 2008
George Chacko and s M. Viceira
Santa Clara University - Finance Department and affiliation not provided to SSRN

Abstract:

Loading...

brain metastases, HRQoL, stereotactic radiosurgery

11.

Average Interest

NBER Working Paper No. w6045
Number of pages: 39 Posted: 16 Jul 2000 Last Revised: 10 Jul 2022
George Chacko and Sanjiv Ranjan Das
Santa Clara University - Finance Department and Santa Clara University - Leavey School of Business
Downloads 69 (693,666)

Abstract:

Loading...

12.

Deutsche Bank: Finding Relative Value Trades

HBS Publishing Case No.: 9-205-059; Teaching Note No.: 5-205-042
Posted: 30 Sep 2005
George Chacko, Peter Andrew Hecht, Vincent Dessain and Anders Sjoman
Santa Clara University - Finance Department, Harvard Business School, Harvard Business School - Finance Unit; European Research Center and Harvard Business School - Finance Unit; European Research Center

Abstract:

Loading...

13.

Pine Street Capital

Harvard Business School Case No.: N9-201-071
Posted: 11 Oct 2001
George Chacko and Eli Peter Strick
Santa Clara University - Finance Department and Harvard Business School

Abstract:

Loading...