Andrea Buraschi

The University of Chicago

Visiting Professor of Finance

5807 S. Woodlawn Avenue

Chicago, IL 60637

United States

http://www.andreaburaschi.com/

Imperial College Business School

Professor, Chair in Finance

South Kensington Campus

Exhibition Road

London SW7 2AZ, SW7 2AZ

United Kingdom

http://www.andreaburaschi.com/

Centre for Economic Policy Research (CEPR)

Fellow

77 Bastwick Street

London, EC1V 3PZ

United Kingdom

SCHOLARLY PAPERS

24

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CITATIONS
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115

Scholarly Papers (24)

When There is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Number of pages: 80 Posted: 15 Jul 2010 Last Revised: 16 Nov 2013
Andrea Buraschi, Robert Kosowski and Fabio Trojani
The University of Chicago, Imperial College Business School and University of Geneva
Downloads 1,780 (6,548)
Citation 8

Abstract:

Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

When There Is No Place to Hide - Correlation Risk and the Cross-Section of Hedge Fund Returns

Review of Financial Studies, 2014, Vol. 27 No.2, 581-616
Posted: 12 Oct 2013 Last Revised: 08 Apr 2014
Andrea Buraschi, Robert Kosowski and Fabio Trojani
The University of Chicago, Imperial College Business School and University of Geneva

Abstract:

Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

2.

Correlation Risk and Optimal Portfolio Choice

AFA 2008 New Orleans Meetings Paper
Number of pages: 58 Posted: 14 Jun 2006 Last Revised: 16 Feb 2009
Andrea Buraschi, Paolo Porchia and Fabio Trojani
The University of Chicago, IE Business School and University of Geneva
Downloads 1,698 (6,669)
Citation 35

Abstract:

Dynamic Porfolio Choice, Stochastic Correlation, Intertemporal Hedging

3.

Is Volatility Risk Priced in the Option Market?

Number of pages: 46 Posted: 19 Apr 1999
Andrea Buraschi and Jens Carsten Jackwerth
The University of Chicago and University of Konstanz - Department of Economics
Downloads 1,461 (8,894)
Citation 7

Abstract:

4.

When Uncertainty Blows in the Orchard: Comovement and Equilibrium Volatility Risk Premia

Journal of Finance, Forthcoming
Number of pages: 52 Posted: 17 Feb 2009 Last Revised: 16 Sep 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 922 (15,084)
Citation 16

Abstract:

Disagreement, Correlation Risk Premium, Uncertainty, Volatility Risk Premium

Speculation, Hedging, and Interest Rates

Number of pages: 67 Posted: 17 Jul 2011 Last Revised: 04 Jan 2017
Andrea Buraschi and Paul Whelan
The University of Chicago and Copenhagen Business School
Downloads 629 (32,527)
Citation 7

Abstract:

Fixed income, Bond Risk Premia, Heterogeneous Agents, Speculation

Macroeconomic Uncertainty, Difference in Beliefs, and Bond Risk Premia

CAREFIN Research Paper No. 27/2010
Posted: 05 Apr 2011
Andrea Buraschi and Paul Whelan
The University of Chicago and Copenhagen Business School

Abstract:

Fixed income, difference in beliefs, heterogeneous economies, term structure

6.

Economic Uncertainty, Disagreement, and Credit Markets

Management Science, Forthcoming
Number of pages: 38 Posted: 07 Aug 2008 Last Revised: 13 Oct 2013
Andrea Buraschi, Fabio Trojani and Andrea Vedolin
The University of Chicago, University of Geneva and London School of Economics and Political Science
Downloads 589 (31,386)
Citation 14

Abstract:

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

AFA 2012 Chicago Meetings Paper
Number of pages: 83 Posted: 20 Mar 2011 Last Revised: 28 May 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
The University of Chicago, Imperial College Business School and Imperial College Business School
Downloads 581 (36,179)

Abstract:

Optimal portfolio choice, Euler equation, hedge fund performance

Incentives and Endogenous Risk Taking: A Structural View of Hedge Funds Alphas

Journal of Finance, Forthcoming
Posted: 15 Sep 2013
Andrea Buraschi, Robert Kosowski and Worrawat Sritrakul
The University of Chicago, Imperial College Business School and Imperial College Business School

Abstract:

Optimal portfolio choice, Euler equation, Hedge fund performance

8.

Dynamic Networks and Asset Pricing

AFA 2013 San Diego Meetings Paper
Number of pages: 33 Posted: 19 Mar 2012 Last Revised: 23 Dec 2012
Andrea Buraschi and Paolo Porchia
The University of Chicago and IE Business School
Downloads 558 (30,546)
Citation 1

Abstract:

Dynamic Networks, Cross-Section of Expected Returns, Lucas Orchard

9.

The Geography of Risk Capital

Chicago Booth Research Paper No. 13-44, Fama-Miller Working Paper
Number of pages: 60 Posted: 04 Apr 2013 Last Revised: 09 Jul 2014
Andrea Buraschi, Murat Cahit Meguturk and Emrah Sener
The University of Chicago, Imperial College London and Ozyegin University
Downloads 325 (55,300)

Abstract:

Limits to Arbitrage, Market Anomalies, Financial Constraints, Frictions, Wholesale Financing

10.

The Dynamics of Limits to Arbitrage: Evidence from International Cross-Sectional Data

AFA 2012 Chicago Meetings Paper
Number of pages: 46 Posted: 16 Mar 2011 Last Revised: 11 Jan 2013
Andrea Buraschi, Emrah Sener and Murat Cahit Meguturk
The University of Chicago, Ozyegin University and Imperial College London
Downloads 307 (72,829)

Abstract:

Limits to Arbitrage, Market Anomalies, Liquidity, Financial Constraints

11.

Monetary Policy and Treasury Risk Premia

Number of pages: 41 Posted: 21 Mar 2014
Andrea Buraschi, Andrea Carnelli and Paul Whelan
The University of Chicago, Imperial College London and Copenhagen Business School
Downloads 290 (85,055)

Abstract:

12.

The Cross-Section of Expected Stock Returns: Learning about Distress and Predictability in Heterogeneous Orchards

AFA 2011 Denver Meetings Paper
Number of pages: 84 Posted: 22 Mar 2010 Last Revised: 26 Oct 2010
Andrea Buraschi, Paolo Porchia and Fabio Trojani
The University of Chicago, IE Business School and University of Geneva
Downloads 266 (82,810)
Citation 4

Abstract:

General Equilibrium, Event Risk, Learning

The Economics of Donations and Enlightened Self-Interest

Number of pages: 43 Posted: 17 Sep 2002 Last Revised: 15 May 2013
Andrea Buraschi and Francesca Cornelli
The University of Chicago and London Business School
Downloads 240 (103,767)
Citation 7

Abstract:

Donations, altruism, charities, public good

Donations

CEPR Discussion Paper No. 3488
Number of pages: 65 Posted: 18 Sep 2002
Andrea Buraschi and Francesca Cornelli
The University of Chicago and London Business School
Downloads 23 (439,134)
Citation 7

Abstract:

Donations, altruism, charities, economics of arts

14.

Differences in Beliefs and Currency Risk Premia

Number of pages: 48 Posted: 27 Feb 2007 Last Revised: 15 Dec 2009
Alessandro Beber, Francis Breedon and Andrea Buraschi
Cass Business School, University of London, Queen Mary - School of Economics and Finance and The University of Chicago
Downloads 244 (95,103)
Citation 12

Abstract:

Option pricing, difference in beliefs, incomplete markets, foreign exchange

15.

Term Structures of Interest Rates and Inflation in Economies With Habit Formation

Number of pages: 62 Posted: 16 Apr 2003
Andrea Buraschi and Alexei Jiltsov
The University of Chicago and London Business School
Downloads 224 (106,530)

Abstract:

Term structure, bond prices, habit persistence, time non-separable preferences

16.

Model Uncertainty and Option Markets in Heterogeneous Economies

Number of pages: 60 Posted: 02 Mar 2005
Andrea Buraschi and Alexei Jiltsov
The University of Chicago and London Business School
Downloads 213 (107,440)
Citation 5

Abstract:

Options, Heterogeneity, Beliefs, Trading Volume, Open Interest

17.

Understanding Short and Long-Run Risk Premia

Number of pages: 39 Posted: 18 Mar 2012 Last Revised: 25 May 2013
Andrea Buraschi and Andrea Carnelli
The University of Chicago and Imperial College London
Downloads 163 (127,112)

Abstract:

equity risk premium, predictability, dividend prices, asset pricing models, term structure

18.

Bond Markets and Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. 2015 John Wiley Sons, Inc.
Number of pages: 25 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
The University of Chicago and Copenhagen Business School
Downloads 30 (192,955)

Abstract:

interest rates, conventional, monetary policy, taylor rules, FOMC, risk premia

19.

Believe It or Not: Taylor Rule Uncertainty

Developments in Macro-Finance Yield Curve Modelling, edited by Jagjit S. Chadha, Alain Durré, Michael A. S. Joyce, Lucio Sarno, 2013,
Number of pages: 38 Posted: 03 Apr 2013 Last Revised: 19 Oct 2014
Andrea Buraschi, Andrea Carnelli and Paul Whelan
The University of Chicago, Imperial College London and Copenhagen Business School
Downloads 29 (318,965)

Abstract:

Monetary Policy, Taylor Rules, Uncertainty, Differences in Beliefs

20.

Bond Markets and Unconventional Monetary Policy

Handbook of Fixed-Income Securities, First Edition. Edited by Pietro Veronesi. c 2015 John Wiley Sons, Inc.
Number of pages: 40 Posted: 24 Jun 2015 Last Revised: 02 Jul 2015
Andrea Buraschi and Paul Whelan
The University of Chicago and Copenhagen Business School
Downloads 16 (215,686)

Abstract:

Interest Rates, Monetary Policy, Quantitative Easing, LSAPs, Financial Crisis

21.

Understanding Short‐ Versus Long‐Run Risk Premia

European Financial Management, Vol. 20, Issue 4, pp. 714-738, 2014
Number of pages: 25 Posted: 16 Sep 2014
Andrea Buraschi and Andrea Carnelli
The University of Chicago and Imperial College London
Downloads 1 (540,193)

Abstract:

equity risk premium, predictability, dividend prices, asset pricing models

22.

Expected Term Structures

Saïd Business School WP 2016-36,
Number of pages: 57 Posted: 19 Jan 2017 Last Revised: 08 Feb 2017
Andrea Buraschi, Ilaria Piatti and Paul Whelan
The University of Chicago, University of Oxford - Said Business School and Copenhagen Business School
Downloads 0 (244,779)

Abstract:

Rational Expectations, Cross-Section of Beliefs, Bond Risk Premia, Spanning, Expectation Formation

23.

The Economics of Donations and Enlightened Self‐Interest

European Financial Management, Vol. 20, Issue 1, pp. 1-32, 2014
Number of pages: 32 Posted: 12 Dec 2013
Andrea Buraschi and Francesca Cornelli
The University of Chicago and London Business School
Downloads 0 (553,475)

Abstract:

donations, charity, altruism

24.

The Price of a Smile: Hedging and Spanning in Option Markets

Review of Financial Studies, Vol. 14, No. 2
Posted: 17 Mar 2001
Andrea Buraschi and Jens Carsten Jackwerth
The University of Chicago and University of Konstanz - Department of Economics

Abstract: