George Chacko

Santa Clara University - Finance Department

Associate Professor

Santa Clara, CA 95053

United States

SCHOLARLY PAPERS

13

DOWNLOADS
Rank 5,971

SSRN RANKINGS

Top 5,971

in Total Papers Downloads

5,856

CITATIONS
Rank 1,698

SSRN RANKINGS

Top 1,698

in Total Papers Citations

328

Scholarly Papers (13)

1.

Liquidity Risk in the Corporate Bond Markets

Number of pages: 47 Posted: 18 Mar 2005
George Chacko
Santa Clara University - Finance Department
Downloads 1,273 (9,947)
Citation 19

Abstract:

Liquidity, Corporate Bonds

2.
Downloads 1,266 ( 11,699)
Citation 6

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 University of Oxford - Said Business School
Downloads 1,219 (12,127)
Citation 6

Abstract:

Cephalon, Inc. Taking Risk Management Theory Seriously

NBER Working Paper No. w7748
Number of pages: 60 Posted: 17 Jul 2000
George Chacko, Geoffrey Verter and Peter Tufano
Santa Clara University - Finance Department, Harvard Business School and University of Oxford - Said Business School
Downloads 47 (337,065)
Citation 6

Abstract:

Strategic Asset Allocation in a Continuous-Time VAR Model

Harvard Institute Reseach Working Paper No. 1973
Number of pages: 24 Posted: 24 Oct 2002
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 769 (24,402)
Citation 61

Abstract:

Strategic Asset Allocation in a Continuous-Time VAR Model

NBER Working Paper No. w9547
Number of pages: 25 Posted: 08 Mar 2003
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 50 (327,695)
Citation 61

Abstract:

Strategic Asset Allocation in a Continuous-Time VAR Model

CEPR Discussion Paper No. 4160
Number of pages: 38 Posted: 12 Jan 2004
Harvard University - Department of Economics, Santa Clara University - Finance Department, Merrill Lynch and Harvard Business School - Finance Unit
Downloads 23 (436,263)
Citation 61

Abstract:

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 687 (27,856)
Citation 16

Abstract:

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 504 (42,710)
Citation 63

Abstract:

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
Santa Clara University - Finance Department, Acadian Asset Management, Harvard Business School - Finance Unit and Harvard University
Downloads 360 (59,542)
Citation 1

Abstract:

Numerical, Consumption, Portfolio Choice, Asset Allocation

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
Santa Clara University - Finance Department, State Street Global Markets, State Street Global Markets and New York University - Stern School of Business
Downloads 164 (148,608)
Citation 6

Abstract:

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
Santa Clara University - Finance Department, State Street Global Markets, affiliation not provided to SSRN and New York University - Stern School of Business
Downloads 103 (215,372)
Citation 6

Abstract:

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
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 201 (113,478)
Citation 32

Abstract:

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
State Street Global Markets, New York University (NYU) - Department of Finance, New York University - Stern School of Business, Santa Clara University - Finance Department and State Street Global Markets
Downloads 105 (188,046)
Citation 33

Abstract:

Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets

CEPR Discussion Paper No. 4913
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 40 (360,506)
Citation 83

Abstract:

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

NBER Working Paper No. w7377
Number of pages: 62 Posted: 29 Mar 2000
George Chacko and Luis M. Viceira
Santa Clara University - Finance Department and Harvard Business School - Finance Unit
Downloads 39 (364,089)
Citation 83

Abstract:

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:

brain metastases, HRQoL, stereotactic radiosurgery

11.

Average Interest

NBER Working Paper No. w6045
Number of pages: 39 Posted: 16 Jul 2000
George Chacko and Sanjiv Ranjan Das
Santa Clara University - Finance Department and Santa Clara University - Leavey School of Business
Downloads 45 (337,328)
Citation 6

Abstract:

12.

Deutsche Bank: Finding Relative Value Trades

HBS Publishing Case No.: 9-205-059; Teaching Note No.: 5-205-042
Posted: 30 Sep 2005
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:

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: