Lorenzo Garlappi

University of British Columbia (UBC) - Sauder School of Business

2053 Main Mall

Vancouver, BC V6T 1Z2

Canada

SCHOLARLY PAPERS

18

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CITATIONS
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in Total Papers Citations

298

Scholarly Papers (18)

1.
Downloads 2,660 ( 3,219)
Citation 14

1/N

EFA 2006 Zurich Meetings
Number of pages: 54 Posted: 23 Jun 2006
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School - Department of Management Science and Operations, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 1,579 (7,777)
Citation 14

Abstract:

Portfolio choice, asset allocation, investment management

How Inefficient are Simple Asset-Allocation Strategies?

Number of pages: 77 Posted: 03 Mar 2005
Lorenzo Garlappi, Victor DeMiguel and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, London Business School - Department of Management Science and Operations and EDHEC Business School
Downloads 1,081 (14,261)
Citation 7

Abstract:

Portfolio choice, asset allocation, investment management

2.

The Troves of Academe: Asset Allocation, Risk Budgeting, and the Investment Performance of University Endowment Funds

McCombs Research Paper Series No. FIN-03-07
Number of pages: 58 Posted: 23 Apr 2007 Last Revised: 14 Jul 2008
Keith C. Brown, Cristian Ioan Tiu and Lorenzo Garlappi
University of Texas at Austin - Department of Finance, University at Buffalo and University of British Columbia (UBC) - Sauder School of Business
Downloads 1,503 (7,774)
Citation 3

Abstract:

Endowment funds, Asset allocation, Return attribution, Investment performance

3.

Financial Distress and the Cross Section of Equity Returns

Journal of Finance, Forthcoming
Number of pages: 74 Posted: 21 Mar 2007 Last Revised: 25 Jun 2010
Lorenzo Garlappi and Hong Yan
University of British Columbia (UBC) - Sauder School of Business and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 1,502 (8,186)
Citation 47

Abstract:

Financial distress, value premium, momentum, growth options

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
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
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 468 (46,488)
Citation 15

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
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
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 346 (67,071)
Citation 15

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
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
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 (517,168)
Citation 16
  • Add to Cart

Abstract:

ambiguity, diversification, investment, portfolio choice, robust control

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 492 (43,581)
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 (421,491)
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:

6.

Risk Premia and Premption in R&D Ventures

EFA 2000 Meetings Paper No. 0221; AFA 2001 New Orleans Meetings
Number of pages: 47 Posted: 08 Oct 2000
Lorenzo Garlappi
University of British Columbia (UBC) - Sauder School of Business
Downloads 423 (52,456)
Citation 4

Abstract:

Real options, R&D investments, risk premia, patent races, stochastic games

7.

Portfolio Selection with Multiple Assets and Capital Gains Taxes

Number of pages: 54 Posted: 21 Jul 2001
Lorenzo Garlappi, Vasant Naik and Joshua Slive
University of British Columbia (UBC) - Sauder School of Business, Lehman Brothers International, Europe and Bank of Canada
Downloads 334 (68,138)
Citation 6

Abstract:

Capital Gains Taxes, Portfolio Choice

8.
Downloads 314 ( 75,532)
Citation 56

Default Risk, Shareholder Advantage and Stock Returns

McCombs Research Paper Series No. FIN-05-06
Number of pages: 59 Posted: 21 Mar 2006
Lorenzo Garlappi, Tao Shu and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, University of Georgia - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 314 (75,037)
Citation 56

Abstract:

Default Risk, Stock Returns, Debt Renegotiation, Bankruptcy, Liquidation

Default Risk, Shareholder Advantage, and Stock Returns

The Review of Financial Studies, Vol. 21, Issue 6, pp. 2743-2778, 2008
Posted: 15 Dec 2008
Lorenzo Garlappi, Tao Shu and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, University of Georgia - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)

Abstract:

G12, G14, G33

9.

Default Risk, Shareholder Advantage, and Stock Returns*

8th Annual Texas Finance Festival
Number of pages: 56 Posted: 07 Apr 2006
Lorenzo Garlappi, Tao Shu and Hong Yan
University of British Columbia (UBC) - Sauder School of Business, University of Georgia - Department of Finance and Shanghai Jiao Tong University (SJTU) - Shanghai Advanced Institute of Finance (SAIF)
Downloads 246 (95,783)
Citation 54

Abstract:

Default Risk, Stock Returns, Debt Renegotiatin, Bankruptcy, Liquidation

10.

From Location to Allocation: Taxable and Tax-Deferred Investing with Portfolio Constraints

Number of pages: 38 Posted: 07 May 2004
Jennifer C. Huang and Lorenzo Garlappi
University of Texas at Austin - Department of Finance and University of British Columbia (UBC) - Sauder School of Business
Downloads 244 (90,434)
Citation 2

Abstract:

Portfolio selection, tax-deferred accounts, borrowing and short-selling constraints

11.

A State-Variable Decomposition Approach for Solving Portfolio Choice Problems

EFA 2008 Athens Meetings Paper
Number of pages: 51 Posted: 09 Mar 2008
Lorenzo Garlappi and Georgios Skoulakis
University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 234 (99,902)
Citation 1

Abstract:

dynamic portfolio choce, approximation techniques

12.

Are Stocks Desirable in Tax-Deferred Accounts?

Journal of Public Economics, Forthcoming
Number of pages: 38 Posted: 30 Aug 2006
Lorenzo Garlappi and Jennifer C. Huang
University of British Columbia (UBC) - Sauder School of Business and University of Texas at Austin - Department of Finance
Downloads 167 (135,069)
Citation 7

Abstract:

Portfolio selection, tax-deferred accounts, borrowing and short-selling constraints

13.

Public Sector Science and the Strategy of the Commons

Economics of Innovation and New Technology, 2007
Number of pages: 38 Posted: 03 Aug 2006
Lorenzo Garlappi and Ajay Agrawal
University of British Columbia (UBC) - Sauder School of Business and University of Toronto - Rotman School of Management
Downloads 59 (277,720)
Citation 4

Abstract:

Entry deterrence, intellectual property, university research, welfare loss

14.

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

CEPR Discussion Paper No. 5142
Number of pages: 64 Posted: 17 Aug 2005
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School - Department of Management Science and Operations, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 42 (339,231)
Citation 5
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Abstract:

Portfolio choice, asset allocation, investment management

15.

Ambiguity and the Corporation: Group Decisions, Time Inconsistency and Underinvestment

Number of pages: 49 Posted: 17 Oct 2014
Lorenzo Garlappi, Ron Giammarino and Ali Lazrak
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Sauder School of Business
Downloads 38 (271,033)
Citation 1

Abstract:

ambiguity, group decisions, dynamic consistency, dynamic real investment, security issuance.

16.

Heterogeneous Innovations, Firm Creation and Destruction, and Asset Prices

Number of pages: 54 Posted: 12 Mar 2015 Last Revised: 25 Sep 2015
Jan Bena, Lorenzo Garlappi and Patrick GrĂ¼ning
University of British Columbia - Sauder School of Business, University of British Columbia (UBC) - Sauder School of Business and Bank of Lithuania - CEFER
Downloads 36 (206,759)

Abstract:

Economic uncertainty, Creative destruction, Innovation, Firm entry, Long-run risk

17.

The Carry Trade and Uncovered Interest Parity When Markets Are Incomplete

Number of pages: 60 Posted: 23 May 2015 Last Revised: 29 May 2015
Jack Favilukis, Lorenzo Garlappi and Sajjad Neamati
University of British Columbia (UBC) - Division of Finance, University of British Columbia (UBC) - Sauder School of Business and University of British Columbia (UBC) - Division of Finance
Downloads 27 (248,812)

Abstract:

uncovered interest parity, carry trade, incomplete markets, non-traded goods, Backus-Smith puzzle, Balassa-Samuelson effect, sovereign default

18.

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
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School - Department of Management Science and Operations, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

G11