Mark D. Schroder

Michigan State University - The Eli Broad Graduate School of Management

323 Eppley Center

East Lansing, MI 48824-1121

United States

SCHOLARLY PAPERS

14

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CITATIONS
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in Total Papers Citations

47

Scholarly Papers (14)

1.

Short-Sale Constraints, Information Acquisition, and Asset Prices

Number of pages: 49 Posted: 28 Apr 2013 Last Revised: 15 Sep 2017
Pedram Nezafat, Mark D. Schroder and Qinghai Wang
Michigan State University, Michigan State University - The Eli Broad Graduate School of Management and University of Central Florida - College of Business Administration
Downloads 394 (73,624)
Citation 3

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Return volatility, Short-selling bans, Financial crises, Information production, Asset prices

2.

Optimal Consumption and Portfolio Selection with Stochastic Differential Utility

KGSM, Department of Finance Working Paper No. 226
Number of pages: 62 Posted: 19 Feb 1999
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 338 (87,906)
Citation 5

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3.

Monotonicity of the Stochastic Discount Factor and Expected Option Returns

Number of pages: 76 Posted: 19 Feb 2009 Last Revised: 11 Feb 2015
Ranadeb Chaudhuri and Mark D. Schroder
Oakland University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 272 (111,334)
Citation 8

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SDF, Risk Premium, Derivatives, Expected Returns

4.

Information, Imperfect Competition, and Volatility

Number of pages: 65 Posted: 17 Jan 2016 Last Revised: 30 Oct 2018
Pedram Nezafat and Mark D. Schroder
Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 208 (145,561)

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\Imperfect competition, information production, excess volatility, information complementarity, adverse selection, exchange traded funds (ETFs)

5.

Optimal Lifetime Consumption-Portfolio Strategies Under Trading Constraints and Generalized Recursive Preferences

Stochastic Processes and their Applications, Vol. 108, pp. 155-202, December 2003
Number of pages: 51 Posted: 21 Nov 2002
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 197 (153,121)
Citation 8

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Portfolio Choice, Recursive Utility, Optimal Consumption, Incomplete Markets, Short Sale Constraints

6.

An Isomorphism between Asset Pricing Models with and Without Linear Habit Formation

Northwestern University Finance Working Paper No. 247
Number of pages: 32 Posted: 14 Mar 2000
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 164 (180,382)
Citation 2

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7.

Optimal Debt Contracts and Product Market Competition with Exit and Entry

Number of pages: 43 Posted: 25 Mar 2008
Naveen Khanna and Mark D. Schroder
Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 139 (206,848)
Citation 1

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8.

Lifetime Consumption-Portfolio Choice Under Trading Constraints, Recursive Preferences and Nontradeable Income

Kellogg School of Management, Finance Working Paper No. 324
Number of pages: 40 Posted: 14 May 2003
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 132 (215,697)
Citation 5

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9.

A Simple Proof of Functional ItĂ´'s Lemma for Semimartingales with an Application

Number of pages: 14 Posted: 19 May 2013
Shlomo Levental, Mark D. Schroder and Sumit Sinha
Michigan State University, Michigan State University - The Eli Broad Graduate School of Management and Michigan State University
Downloads 102 (260,295)

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functional Ito

10.

The Effects of Competition and Monitoring on R&D Investment: A Dynamic Approach

Number of pages: 39 Posted: 31 Jul 2017
Mohammad Rezaei and Mark D. Schroder
University of California, Berkeley - Real Estate Group, Students and Michigan State University - The Eli Broad Graduate School of Management
Downloads 71 (325,092)

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real options; Brownian motion; Nash equilibrium; open loop; closed loop

11.

Private Information, Securities Lending, and Asset Prices

31st Australasian Finance and Banking Conference 2018
Number of pages: 45 Posted: 30 Jul 2018 Last Revised: 31 Jul 2018
Pedram Nezafat and Mark D. Schroder
Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
Downloads 63 (346,377)

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Short Selling, Asset Prices, Equity Lending Fees, Information Asymmetry

12.
Downloads 39 (426,293)
Citation 1

Linked Recursive Preferences and Optimality

Mathematical Finance, Forthcoming
Number of pages: 36 Posted: 16 May 2013
Shlomo Levental, Mark D. Schroder and Sumit Sinha
Michigan State University, Michigan State University - The Eli Broad Graduate School of Management and Michigan State University
Downloads 39 (435,452)

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recursive preferences, BSDE, portfolio selection, Jones, behavioral contract theory

Linked Recursive Preferences and Optimality

Mathematical Finance, Vol. 26, Issue 1, pp. 86-121, 2016
Number of pages: 36 Posted: 13 Jan 2016
Shlomo Levental, Sumit Sinha and Mark D. Schroder
Michigan State University, Michigan State University and Michigan State University - The Eli Broad Graduate School of Management
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BSDE, recursive preferences, translation‐invariant preferences, team contract, Pareto optimality, behavioral contract theory, optimization

13.

Optimality and State Pricing in Constrained Financial Markets with Recursive Utility Under Continuous and Discontinuous Information

Mathematical Finance, Vol. 18, Issue 2, pp. 199-238, April 2008
Number of pages: 40 Posted: 12 Mar 2008
Mark D. Schroder and Costis Skiadas
Michigan State University - The Eli Broad Graduate School of Management and Northwestern University - Kellogg School of Management
Downloads 9 (585,642)
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14.

Changes of Numeraire for Pricing Futures, Forwards and Options

Review of Financial Studies, Vol. 12, Iss. 5
Posted: 25 Oct 1999
Mark D. Schroder
Michigan State University - The Eli Broad Graduate School of Management

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