Valery Polkovnichenko

Board of Governors of the Federal Reserve System

20th Street and Constitution Avenue NW

Washington, DC 20551

United States

  • Board of Governors of the Federal Reserve System

SCHOLARLY PAPERS

17

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SSRN CITATIONS
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145

CROSSREF CITATIONS

32

Scholarly Papers (17)

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1.

Household Portfolio Diversification: A Case for Rank Dependent Preferences

Downloads 1,112 ( 24,079)

Household Portfolio Diversification: A Case for Rank Dependent Preferences

Number of pages: 47 Posted: 17 Dec 2001
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 1,112 (23,679)
Citation 83

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Diversification, portfolio choice, rank dependent preferences

Household Portfolio Diversification: A Case for Rank-Dependent Preferences

The Review of Financial Studies, Vol. 18, Issue 4, pp. 1467-1502, 2005
Posted: 29 Feb 2008
Valery Polkovnichenko
Board of Governors of the Federal Reserve System

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brain metastases, HRQoL, stereotactic radiosurgery

2.

Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk

Downloads 509 ( 69,059)
Citation 37

Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk

Number of pages: 42 Posted: 19 Jul 2003
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 509 (68,335)
Citation 37

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Habit formation, portfolio choice, life cycle

Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Labor Income Risk

The Review of Financial Studies, Vol. 20, Issue 1, pp. 83-124, 2007
Posted: 29 Feb 2008
Valery Polkovnichenko
Board of Governors of the Federal Reserve System

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3.

Human Capital and the Private Equity Premium

Number of pages: 14 Posted: 30 Jul 2002
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 483 (73,678)
Citation 4

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Human capital, private equity, entrepreneurhsip

4.

Limited Stock Market Participation and the Equity Premium

Number of pages: 17 Posted: 17 Dec 2001
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 460 (78,136)
Citation 13

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limited stock market participation, equity premium

5.

Heterogeneity in Preferences and Asset Market Outcomes

Number of pages: 21 Posted: 21 Jan 2005
David A. Chapman and Valery Polkovnichenko
McIntire School, University of Virginia and Board of Governors of the Federal Reserve System
Downloads 311 (121,905)
Citation 3

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Asset Prices, Aggregation, Rank-Dependent Expected Utility

6.

Optimal Savings with Taxable and Tax-Deferred Accounts

Number of pages: 49 Posted: 14 Sep 2004
Valery Polkovnichenko, Francisco Gomes and Alexander Michaelides
Board of Governors of the Federal Reserve System, London Business School and Imperial College Business School
Downloads 302 (125,794)
Citation 21

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Portfolio Choice, Tax-Deferred Accounts, Retirement Savings, Liquidity Constraints, Uninsurable Labor Income Risk

7.

Ambiguity Aversion and the Arbitrage Pricing Theory

Number of pages: 35 Posted: 19 Jun 2010 Last Revised: 08 Jul 2010
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 248 (153,990)
Citation 1

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Ambiguity aversion, arbitrage pricing, linear factor model, learning under ambiguity

8.

Cautious Risk-Takers: Investor Preferences and Demand for Active Management

Number of pages: 63 Posted: 21 Mar 2012 Last Revised: 15 Dec 2012
Valery Polkovnichenko, Kelsey D. Wei and Feng Zhao
Board of Governors of the Federal Reserve System, University of Texas at Dallas and University of Texas at Dallas - Jindal School of Management
Downloads 217 (175,059)
Citation 3

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tail-sensitive preferences, probability weighting function, active management, mutual funds

9.

Downside Consumption Risk and Expected Returns

Number of pages: 31 Posted: 01 Nov 2006 Last Revised: 18 Dec 2008
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 212 (178,883)

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Donwside risk, Consumption-based asset pricing, rank-dependent utility

10.

Probability Weighting Functions Implied in Options Prices

Number of pages: 62 Posted: 15 Dec 2012
Valery Polkovnichenko and Feng Zhao
Board of Governors of the Federal Reserve System and University of Texas at Dallas - Jindal School of Management
Downloads 200 (188,869)
Citation 20

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pricing kernel, non-parametric estimation, probability weighting, rank-dependent utility

11.

The Long and Short of Cash Flow Shocks and Debt Financing

Number of pages: 65 Posted: 14 Aug 2018 Last Revised: 18 Nov 2019
Seong K. Byun, Valery Polkovnichenko and Michael J. Rebello
Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate, Board of Governors of the Federal Reserve System and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 149 (243,414)
Citation 2

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capital structure, permanent and transitory shocks

12.

Composition of Cash Flow Shocks, Firm Investment, and Cash Holdings

Number of pages: 60 Posted: 16 Oct 2016 Last Revised: 18 Nov 2019
Seong K. Byun, Valery Polkovnichenko and Michael J. Rebello
Virginia Commonwealth University (VCU) - Department of Finance, Insurance & Real Estate, Board of Governors of the Federal Reserve System and University of Texas at Dallas - Naveen Jindal School of Management
Downloads 146 (247,419)
Citation 4

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Persistent and transitory shocks, corporate savings, corporate investment

13.

On the (Im)Possibility of Estimating Expected Return from Risk-Neutral Variance

Number of pages: 50 Posted: 18 Apr 2019 Last Revised: 20 Mar 2020
Valery Polkovnichenko
Board of Governors of the Federal Reserve System
Downloads 97 (334,469)
Citation 1

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cross-section of expected returns, risk-neutral distribution

14.

Quantifying the Distortionary Fiscal Cost of ‘The Bailout’

Number of pages: 47 Posted: 03 Jun 2010 Last Revised: 06 Oct 2010
Francisco Gomes, Alexander Michaelides and Valery Polkovnichenko
London Business School, Imperial College Business School and Board of Governors of the Federal Reserve System
Downloads 82 (368,783)
Citation 9

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15.

Ambiguity Aversion and Portfolio Efficiency Tests

Number of pages: 40 Posted: 18 Apr 2019
Valery Polkovnichenko and Hui Wang
Board of Governors of the Federal Reserve System and Bentley University - Department of Finance
Downloads 67 (412,849)

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ambiguity, portfolio efficiency test

16.

Wealth Accumulation and Portfolio Choice with Taxable and Tax-Deferred Accounts

Number of pages: 56 Posted: 11 May 2005
Alexander Michaelides, Francisco Gomes and Valery Polkovnichenko
Imperial College Business School, London Business School and Board of Governors of the Federal Reserve System
Downloads 23 (615,056)
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Portfolio choice, tax-deferred accounts, retirement savings, liquidity constraints, uninsurable labor income risk

17.

Quantifying the Distortionary Fiscal Cost of 'The Bailout'

CEPR Discussion Paper No. DP7941
Number of pages: 45 Posted: 28 Jul 2010
Francisco Gomes, Alexander Michaelides and Valery Polkovnichenko
London Business School, Imperial College Business School and Board of Governors of the Federal Reserve System
Downloads 5 (750,121)
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Bailout, Fiscal Policy, Government Debt, Incomplete Financial Markets., Tax Distortions