Marcel Rindisbacher

Questrom School of Business, Boston University

Associate Professor of Finance

595 Commonwealth Avenue

Boston, MA MA 02215

United States

Center for Interuniversity Research and Analysis on Organization (CIRANO)

2020 rue University, 25th Floor

Montreal, Quebec H3C 3J7

Canada

  • Questrom School of Business, Boston University

    • Email
    • Tel: 617 353 4152
    • Fax: 617 353 999

  • Center for Interuniversity Research and Analysis on Organization (CIRANO)

SCHOLARLY PAPERS

11

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5,131

SSRN CITATIONS
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SSRN RANKINGS

Top 21,887

in Total Papers Citations

23

CROSSREF CITATIONS

30

Scholarly Papers (11)

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1.

A Monte Carlo Method for Optimal Portfolios

Downloads 1,979 (14,330)

A Monte Carlo Method for Optimal Portfolios

Number of pages: 52 Posted: 16 Nov 2000
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University
Downloads 1,979 (14,066)
Citation 24

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A Monte Carlo Method for Optimal Portfolios

Journal of Finance, Vol. 58, pp. 401-446, 2003
Posted: 04 Aug 2003
Jerome Detemple, René Garcia and Marcel Rindisbacher
Boston University Questrom School of Business, Université de Montréal and Questrom School of Business, Boston University

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2.

Life Cycle Finance and the Design of Pension Plans

Downloads 1,240 (29,169)
Citation 4

Life Cycle Finance and the Design of Pension Plans

Annual Review of Financial Economics, Forthcoming, Boston U. School of Management Research Paper Series No. 2009-5
Number of pages: 54 Posted: 30 Apr 2009 Last Revised: 06 Apr 2010
Zvi Bodie, Jerome Detemple and Marcel Rindisbacher
Boston University, Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 1,240 (28,685)
Citation 4

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Life cycle finance, portfolio choice, pension, consumption, leisure

3.

Asset Pricing with Regime-Dependent Preferences and Learning

Downloads 479 (103,389)
Citation 5

Asset Pricing with Regime-Dependent Preferences and Learning

27th Australasian Finance and Banking Conference 2014 Paper
Number of pages: 82 Posted: 04 Oct 2013 Last Revised: 15 Aug 2014
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 265 (197,091)
Citation 5

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Asset pricing puzzles, regime-dependent preferences, incomplete information, equity premium, riskless rate, equity volatility, term structure, bond volatility, dividend strips, implied recession probability, recession detection

Asset Pricing with Regime-Dependent Preferences and Learning

Swiss Finance Institute Research Paper No. 13-44
Number of pages: 79 Posted: 22 Aug 2013 Last Revised: 28 Oct 2013
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 214 (242,934)
Citation 4

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Asset pricing puzzles, regime-dependent preferences, incomplete information, equity premium, riskless rate, equity volatility, term structure, bond volatility, dividend strips, implied recession probability, recession detection

4.

Optimal Portfolio Allocations with Hedge Funds

Paris December 2010 Finance Meeting EUROFIDAI - AFFI
Number of pages: 64 Posted: 24 Oct 2010
Jerome Detemple, Marcel Rindisbacher and René Garcia
Boston University Questrom School of Business, Questrom School of Business, Boston University and Université de Montréal
Downloads 445 (112,750)
Citation 7

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Asset Allocation, Hedge Funds, Performance Measurement, Market Timing, Market Price of Risk

5.

Insider Information, Arbitrage and Optimal Portfolio and Consumption Policies

Number of pages: 65 Posted: 04 Mar 2002
Marcel Rindisbacher
Questrom School of Business, Boston University
Downloads 257 (204,195)
Citation 1

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insider information, free lunch, arbitrage, contingent claim, utility maximization, portfolio policies, enlargements of filtrations, Malliavin calculus

6.

Heterogenous Preferences and Equilibrium Trading Volume

Swiss Finance Institute Research Paper
Number of pages: 38 Posted: 19 Apr 2005 Last Revised: 28 Oct 2008
Tony Berrada, Julien Hugonnier and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), École Polytechnique Fédérale de Lausanne and Questrom School of Business, Boston University
Downloads 244 (214,814)
Citation 2

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General equilibrium, trading volume, heterogenous agents, multiple goods, incomplete markets, no-trade theorem

7.

Dynamic Noisy Rational Expectations Equilibrium with Insider Information

Econometrica, Forthcoming
Number of pages: 58 Posted: 02 Jul 2020
Jerome Detemple, Marcel Rindisbacher and Scott Robertson
Boston University Questrom School of Business, Questrom School of Business, Boston University and Questrom School of Business, Boston University
Downloads 207 (251,060)

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Rational Expectations Equilibrium, Heterogenous Information, Diffusions, Prices, Risk Premia, Volatility, Portfolios

8.

Vanishing Contagion Spreads

Number of pages: 57 Posted: 15 Dec 2017 Last Revised: 29 Dec 2020
Diogo Duarte, Rodolfo Prieto, Marcel Rindisbacher and Yuri Saporito
Florida International University, INSEAD, Questrom School of Business, Boston University and Getulio Vargas Foundation (FGV) - EMAp - School of Applied Mathematics
Downloads 181 (283,115)

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Credit Risk, Credit Spreads, Contagion, Exchange Economy, Equilibrium, Idiosyncratic shocks, Risk Premia Representation

9.

Volatility during the COVID-19 Pandemic

Swiss Finance Institute Research Paper No. 23-95
Number of pages: 71 Posted: 19 Oct 2023 Last Revised: 20 Oct 2023
Tony Berrada, Jerome Detemple and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), Boston University Questrom School of Business and Questrom School of Business, Boston University
Downloads 99 (455,647)

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volatility, COVID-19, SEIRD, shelter-in-place, jumps, beliefs-dependent preferences, mitigation.

10.

Lifecycle Consumption-Investment Policies and Pension Plans: A Dynamic Analysis

Journal of Investment Management (JOIM), First Quarter, 2012
Posted: 24 May 2012
Zvi Bodie, Jerome Detemple and Marcel Rindisbacher
Boston University, Boston University Questrom School of Business and Questrom School of Business, Boston University

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Lifecycle finance, consumption, labor, portfolio, hedging, wealth, pension plan, target-date-funds, dynamic analysis

11.

Dynamic Asset-Liability Management for Defined-Benefit Pension Plans

Paris December 2007 Finance International Meeting AFFI-EUROFIDAI Paper
Posted: 10 Jan 2008
Jerome Detemple, Marcel Rindisbacher and Jing Zhou
Boston University Questrom School of Business, Questrom School of Business, Boston University and affiliation not provided to SSRN

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