Raman Uppal

EDHEC Business School

Professor

58 rue du Port

Lille, 59046

France

Centre for Economic Policy Research (CEPR)

Fellow

90-98 Goswell Road

London, EC1V 7RR

United Kingdom

View CV
SCHOLARLY PAPERS

35

DOWNLOADS
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Top 1,175

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19,514

CITATIONS
Rank 1,295

SSRN RANKINGS

Top 1,295

in Total Papers Citations

428

Scholarly Papers (35)

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,034 (2,678)
Citation 12

Abstract:

mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

CEPR Discussion Paper No. DP7686
Number of pages: 49 Posted: 01 Mar 2010
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (493,487)
Citation 13
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Abstract:

mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

2.
Downloads 2,790 ( 3,175)
Citation 14

1/N

EFA 2006 Zurich Meetings
Number of pages: 54 Posted: 23 Jun 2006
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 1,669 (7,585)
Citation 14

Abstract:

Portfolio choice, asset allocation, investment management

How Inefficient are Simple Asset-Allocation Strategies?

Number of pages: 77 Posted: 03 Mar 2005
University of British Columbia (UBC) - Sauder School of Business, London Business School and EDHEC Business School
Downloads 1,121 (14,305)
Citation 7

Abstract:

Portfolio choice, asset allocation, investment management

3.

Equal or Value Weighting? Implications for Asset-Pricing Tests

Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 29 Jan 2016
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 2,638 (1,962)
Citation 1

Abstract:

empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,095 (14,849)
Citation 7

Abstract:

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

CEPR Discussion Paper No. DP9456
Number of pages: 64 Posted: 02 May 2013
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (567,844)
Citation 7
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Abstract:

out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Swiss Finance Institute Research Paper No. 06-19, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 10 Mar 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 588 (36,385)
Citation 16

Abstract:

Dynamic portfolio choice, excess volatility, general equilibrium

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Swiss Finance Institute Research Paper No. 07-37
Number of pages: 54 Posted: 11 Dec 2007
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 354 (68,675)
Citation 63

Abstract:

Bayesian behavior, financial-market equilibrium, excess volatility, risk premia

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

NBER Working Paper No. w11803
Number of pages: 47 Posted: 22 Jan 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 39 (373,470)
Citation 16

Abstract:

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

CEPR Discussion Paper No. 5367
Number of pages: 49 Posted: 13 Feb 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 29 (415,262)
Citation 16
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Abstract:

Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

NBER Working Paper No. w13401
Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 15 Aug 2010
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 28 (420,056)
Citation 63

Abstract:

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

CEPR Discussion Paper No. DP6455
Number of pages: 53 Posted: 30 May 2008
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 3 (559,721)
Citation 63
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Abstract:

Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia

6.
Downloads 872 ( 21,354)
Citation 70

Systemic Risk and International Portfolio Choice

AFA 2003 Washington, DC Meetings
Number of pages: 55 Posted: 30 Nov 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 843 (22,018)
Citation 70

Abstract:

asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Systemic Risk and International Portfolio Choice

CEPR Discussion Paper No. 3305
Number of pages: 59 Posted: 14 May 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 29 (415,262)
Citation 70
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Abstract:

Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

AFA 2010 Atlanta Meetings Paper
Number of pages: 44 Posted: 19 Mar 2009 Last Revised: 16 Sep 2009
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 474 (48,111)
Citation 17

Abstract:

Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 16 Sep 2009
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 348 (70,085)
Citation 17

Abstract:

Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification

CEPR Discussion Paper No. DP7687
Number of pages: 45 Posted: 01 Mar 2010
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 7 (538,658)
Citation 18
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Abstract:

ambiguity, diversification, investment, portfolio choice, robust control

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

EFA 0278
Number of pages: 63 Posted: 24 Aug 2000
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 691 (29,245)
Citation 43

Abstract:

Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

NBER Working Paper No. w8609
Number of pages: 36 Posted: 17 Nov 2001
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 69 (285,166)
Citation 43

Abstract:

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

CEPR Discussion Paper No. 3306
Number of pages: 39 Posted: 16 May 2002
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 26 (430,339)
Citation 43
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Abstract:

Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Asset Prices with Heterogeneity in Preferences and Beliefs

AFA 2010 Atlanta Meetings Paper
Number of pages: 71 Posted: 19 Mar 2009 Last Revised: 08 Jan 2015
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 527 (42,043)
Citation 15

Abstract:

heterogeneity, general equilibrium, stationarity, equity risk premium, volatility

Asset Prices with Heterogeneity in Preferences and Beliefs

CEPR Discussion Paper No. DP9459
Number of pages: 78 Posted: 08 May 2013
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 5 (548,868)
Citation 15
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Abstract:

Asset Pricing, General Equilibrium

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

EFA 2005 Moscow Meetings Paper, Sauder School of Business Working Paper
Number of pages: 52 Posted: 24 Feb 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 505 (44,388)
Citation 78

Abstract:

Portfolio choice, asset allocation, estimation

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

CEPR Discussion Paper No. 5148
Number of pages: 47 Posted: 17 Aug 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 24 (441,388)
Citation 78
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Abstract:

Portfolio choice, asset allocation, estimation error, uncertainty, ambiguity, robustness

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

The Review of Financial Studies, Vol. 20, Issue 1, pp. 41-81, 2007
Posted: 29 Feb 2008
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School

Abstract:

11.
Downloads 434 ( 54,299)
Citation 23

Model Misspecification and Under-Diversification

EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 31 Posted: 16 Dec 2001
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 414 (56,963)
Citation 23

Abstract:

Model Misspecification and Under-Diversification

CEPR Discussion Paper No. 3304
Number of pages: 33 Posted: 09 May 2002
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 20 (464,384)
Citation 23
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Abstract:

Portfolio choice, uncertainty, ambiguity, robust control

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
INSEAD, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 294 (85,080)

Abstract:

Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
INSEAD, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 66 (292,337)

Abstract:

Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

13.

Non-Redundant Derivatives in a Dynamic General Equilibrium Economy

London Business School Working Paper; EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 53 Posted: 20 Mar 2002
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 332 (72,597)

Abstract:

Asset pricing, derivative valuation, portfolio choice, incomplete markets

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

Sauder School of Business Working Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 40 Posted: 15 Mar 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 302 (82,478)
Citation 20

Abstract:

Excess volatility, general equilibrium, heterogeneous agents, prudence

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

CEPR Discussion Paper No. 5726
Number of pages: 30 Posted: 16 Aug 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 14 (499,447)
Citation 20
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Abstract:

General equilibrium, options, volatility, risk-sharing

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 307 (80,908)
Citation 1

Abstract:

portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

CEPR Discussion Paper No. DP10437
Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
Citation 1
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Abstract:

alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

EFA 2003 Annual Conference Paper No. 267, Sauder School of Business Working Paper
Number of pages: 28 Posted: 21 Jul 2003
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 282 (89,169)
Citation 6

Abstract:

Intertemporal optimization and decision making

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

CEPR Discussion Paper No. 5020
Number of pages: 32 Posted: 24 Aug 2005
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 25 (435,825)
Citation 6
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Abstract:

Intertemporal optimization, decision making

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 59 Posted: 12 Dec 2013
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 151 (163,917)

Abstract:

Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 60 Posted: 18 Feb 2014
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 108 (213,611)

Abstract:

liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

18.

Portfolio Investment with the Exact Tax Basis via Nonlinear Programming

EFA 2004 Maastricht Meetings Paper No. 1599
Number of pages: 47 Posted: 01 Jul 2004
Victor DeMiguel and Raman Uppal
London Business School and EDHEC Business School
Downloads 171 (139,727)
Citation 16

Abstract:

Portfolio choice, capital gains tax, optimization, nonlinear programming

19.

How Inefficient is the 1/N Asset-Allocation Strategy?

CEPR Discussion Paper No. 5142
Number of pages: 64 Posted: 17 Aug 2005
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 42 (355,679)
Citation 5
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Abstract:

Portfolio choice, asset allocation, investment management

20.

Efficient Intertemporal Allocations with Recursive Utility

NBER Working Paper No. t0231
Number of pages: 33 Posted: 26 Aug 2000
Bernard Dumas, Tan Wang and Raman Uppal
INSEAD, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 39 (349,221)
Citation 12

Abstract:

21.

The Equilibrium Approach to Exchange Rates: Theory and Tests

NBER Working Paper No. w5748
Number of pages: 44 Posted: 07 Nov 1996 Last Revised: 04 Oct 2010
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 35 (362,363)
Citation 1

Abstract:

22.

Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods

NBER Working Paper No. w6994
Number of pages: 34 Posted: 07 Apr 1999 Last Revised: 12 Oct 2010
Bernard Dumas and Raman Uppal
INSEAD and EDHEC Business School
Downloads 22 (438,669)
Citation 11

Abstract:

23.

The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests

CEPR Discussion Paper No. 3343
Number of pages: 25 Posted: 04 Jun 2002
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 21 (443,800)
Citation 6
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Abstract:

General equilibrium, purchasing power parity, regression tests

24.

Financial Innovation and Asset Prices

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 64 Posted: 09 Aug 2017 Last Revised: 16 Sep 2017
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0 (166,548)

Abstract:

Financial Innovation, Heterogeneous Beliefs, Parameter Uncertainty, Rational Learning, Spillover Effects, Recursive Utility, Alternative Assets

25.

A Portfolio Perspective on the Multitude of Firm Characteristics

Number of pages: 75 Posted: 08 Feb 2017
London Business School, Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 0 (32,772)

Abstract:

anomalies, risk, transaction costs, out of sample performance

26.

Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?

Number of pages: 56 Posted: 04 Jan 2017
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0 (295,883)

Abstract:

behavioral finance, ambiguity aversion, underdiversification, aggregate growth, investment

27.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0 (77,004)

Abstract:

stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following

28.

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Number of pages: 63 Posted: 27 Jan 2016
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0 (159,163)

Abstract:

Portfolio choice, underdiversification, familiarity bias, growth, social welfare

29.

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

Number of pages: 92 Posted: 03 Dec 2015 Last Revised: 12 Jul 2016
Raman Uppal and Paolo Zaffaroni
EDHEC Business School and Imperial College Business School
Downloads 0 (76,158)

Abstract:

Active and passive portfolios, pricing errors, managerial skill, factor models, mean-variance portfolio, global-minimum-variance portfolio, estimation error, robust estimation

30.

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion

The Review of Financial Studies, Vol. 22, Issue 6, pp. 2303-2330, 2009
Posted: 01 Jun 2009
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School

Abstract:

G12, D51, D52, D91

31.

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1915-1953, 2009
Posted: 13 Apr 2009
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

G11

32.

A Test of Uncovered Interest Rate Parity in Segmented International Commodity Markets

Posted: 31 Dec 1998
Burton Hollifield and Raman Uppal
Carnegie Mellon University - David A. Tepper School of Business and EDHEC Business School

Abstract:

33.

Leverage Constraints and the Optimal Hedging of Stock and Bond Options

J of Financial and Quantitative Analysis, Vol. 29, No. 2, June 1994
Posted: 20 Dec 1998
Vasant Naik and Raman Uppal
Lehman Brothers International, Europe and EDHEC Business School

Abstract:

34.

Index-Induced Errors and Purchasing Power Parity: Bounding the Possible Bias

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, Vol 5 (2/3) 1995
Posted: 24 Aug 1998
Sandra Betton, Maurice D. Levi and Raman Uppal
Concordia University, Quebec - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

35.

The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity

JOURNAL OF FINANCE, Vol 50 No 4, September 1995
Posted: 15 Jul 1998
Piet Sercu, Cynthia Van Hulle and Raman Uppal
FEB at KU Leuven, KU Leuven - Department of Applied Economics and EDHEC Business School

Abstract: