SSRN logo
Public User
Advanced Search

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

  • The University of Chicago

  • Imperial College Business School

SCHOLARLY PAPERS

24

DOWNLOADS
Rank 2,477

SSRN RANKINGS

Top 2,477

in Total Papers Downloads

11,571

CITATIONS
Rank 4,583

SSRN RANKINGS

Top 4,583

in Total Papers Citations

115

Scholarly Papers (24)

Actions:
Email selected abstracts
1.

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

Downloads 1,780 ( 6,699)
Citation 8

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

5.

Speculation, Hedging, and Interest Rates

Downloads 629 ( 29,967)

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

7.

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

Downloads 581 ( 36,733)

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

13.

The Economics of Donations and Enlightened Self-Interest

Downloads 263 ( 94,711)
Citation 7

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:

Submit a Paper Section 508 Text Only Pages

Quick Links

Research Paper Series Conference Papers Partners in Publishing Organization Homepages Newsletter Sign Up

Rankings

Top Papers Top Authors Top Organizations

About

SSRN Objectives Network Directors Presidential Letter Announcements Contact us FAQs
Elsevier logo
Copyright Terms and Conditions Privacy Policy

Cookies are used by this site. To decline or learn more, visit our Cookies page. This page was processed by apollobot1 in 0.796 seconds

Relx Group logo