Semyon Malamud

Ecole Polytechnique Federale de Lausanne

Lausanne, 1015

Switzerland

Centre for Economic Policy Research (CEPR)

London

United Kingdom

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

  • Ecole Polytechnique Federale de Lausanne

  • Centre for Economic Policy Research (CEPR)

SCHOLARLY PAPERS

63

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494

CROSSREF CITATIONS

208

Scholarly Papers (63)

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1.

The Virtue of Complexity in Return Prediction

Downloads 6,929 ( 1,750)
Citation 18

The Virtue of Complexity in Return Prediction

Swiss Finance Institute Research Paper No. 21-90, Journal of Finance, forthcoming
Number of pages: 122 Posted: 15 Dec 2021 Last Revised: 09 Jan 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 6,912 (1,733)
Citation 16

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity in Return Prediction

NBER Working Paper No. w30217
Number of pages: 116 Posted: 08 Jul 2022 Last Revised: 26 Jul 2023
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 14 (939,750)
Citation 3
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The Virtue of Complexity in Return Prediction

CEPR Discussion Paper No. DP17194
Number of pages: 103 Posted: 27 May 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 3 (1,046,372)
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benign overfit, Machine Learning, overparameterization, Portfolio choice, random matrix theory

2.

Machine Learning and the Implementable Efficient Frontier

Swiss Finance Institute Research Paper No. 22-63
Number of pages: 70 Posted: 18 Aug 2022 Last Revised: 19 Aug 2022
Theis Ingerslev Jensen, Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Copenhagen Business School, Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 4,713 (3,384)
Citation 2

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asset pricing, machine learning, transaction costs, economic significance, investments

3.

Principal Portfolios

Downloads 4,577 ( 3,549)
Citation 8

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 98 Posted: 06 Aug 2020 Last Revised: 26 May 2021
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 4,480 (3,619)
Citation 1

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Portfolio choice, asset pricing tests, optimization, expected returns, predictability

Principal Portfolios

NBER Working Paper No. w27388
Number of pages: 72 Posted: 22 Jun 2020 Last Revised: 03 May 2023
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 97 (448,537)

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4.

Risk Adjusted Time Series Momentum

Swiss Finance Institute Research Paper No. 14-71
Number of pages: 65 Posted: 23 Jun 2014 Last Revised: 06 Jan 2015
Martin Dudler, Bruno Gmuer and Semyon Malamud
Quantica Capital, Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 3,220 (6,413)
Citation 5

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momentum, risk, return, volatility, trend following

5.

The Virtue of Complexity Everywhere

Downloads 1,671 (18,041)

The Virtue of Complexity Everywhere

Number of pages: 43 Posted: 25 Jul 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 1,329 (25,042)

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

The Virtue of Complexity Everywhere

Swiss Finance Institute Research Paper No. 22-57
Number of pages: 45 Posted: 25 Jul 2022 Last Revised: 02 Aug 2022
Bryan T. Kelly, Semyon Malamud and Kangying Zhou
Yale SOM, Ecole Polytechnique Federale de Lausanne and Yale School of Management
Downloads 342 (146,358)
Citation 1

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Portfolio choice, machine learning, random matrix theory, benign overfit, overparameterization

6.

Deep Learning from Implied Volatility Surfaces

Swiss Finance Institute Research Paper No. 23-60
Number of pages: 92 Posted: 04 Aug 2023 Last Revised: 28 Aug 2023
Bryan T. Kelly, Boris Kuznetsov, Semyon Malamud and Teng Andrea Xu
Yale SOM, Swiss Finance Institute, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,188 (30,031)

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7.

Capital Supply Uncertainty, Cash Holdings, and Investment

Swiss Finance Institute Research Paper No. 11-44
Number of pages: 84 Posted: 15 Aug 2010 Last Revised: 07 May 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,166 (30,886)
Citation 41

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Capital supply uncertainty, cash management, lumpy investment, inventory models

8.

Complexity in Factor Pricing Models

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Complexity in Factor Pricing Models

Swiss Finance Institute Research Paper No. 23-19
Number of pages: 139 Posted: 14 Mar 2023 Last Revised: 12 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 1,034 (36,148)

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Stochastic discount factor (SDF), asset pricing test, pricing error, alpha, cross section of returns, portfolio choice

Complexity in Factor Pricing Models

NBER Working Paper No. w31689
Number of pages: 138 Posted: 18 Sep 2023
Antoine Didisheim, Shikun Ke, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale School of Management, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 5 (1,029,413)
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9.

A Dynamic Equilibrium Model of ETFs

Downloads 844 (48,627)
Citation 16

A Dynamic Equilibrium Model of ETFs

Swiss Finance Institute Research Paper No. 15-37
Number of pages: 74 Posted: 19 Sep 2015
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 596 (75,791)
Citation 9

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exchange-traded funds, liquidity, volatility, co-movement, mis-pricing

A Dynamic Equilibrium Model of ETFs

Number of pages: 76 Posted: 02 Aug 2016
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 243 (208,622)
Citation 15

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exchange-traded funds, liquidity, volatility, co-movement, mis-pricing

A Dynamic Equilibrium Model of ETFs

CEPR Discussion Paper No. DP11469
Number of pages: 100 Posted: 30 Aug 2016
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 5 (1,029,413)
Citation 1
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exchange traded funds, Limits to Arbitrage, liquidity

10.

Deep Regression Ensembles

Swiss Finance Institute Research Paper No. 22-20, 2022
Number of pages: 29 Posted: 08 Mar 2022
Antoine Didisheim, Bryan T. Kelly and Semyon Malamud
Swiss Finance Institute, UNIL, Yale SOM and Ecole Polytechnique Federale de Lausanne
Downloads 800 (52,184)

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Deep learning, Neural network, Random features, Ensembles

11.

Financial Markets Equilibrium with Heterogeneous Agents

Downloads 779 (54,130)
Citation 29

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010
Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 436 (110,877)
Citation 2

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Heterogeneous beliefs, heterogeneous preferences, heterogeneous time preference rates, contracyclical market price of risk, procyclical interest rate, term structure of interest rates, preferred habitat theory, long term risk

Financial Markets Equilibrium with Heterogeneous Agents

Swiss Finance Institute Research Paper No. 09-45
Number of pages: 56 Posted: 10 Dec 2009
Jaksa Cvitanic, Elyes Jouini, Semyon Malamud and Clotilde Napp
California Institute of Technology - Division of the Humanities and Social Sciences, Univ. Paris Dauphine - CEREMADE, Ecole Polytechnique Federale de Lausanne and CNRS and Université Paris-Dauphine
Downloads 343 (145,913)
Citation 15

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equilibrium, heterogeneous agents, volatility, optimal portfolios, survival, yield curve, long yield

12.

Non-Myopic Betas

Journal of Financial Economics (JFE), Vol. 129, No. 2, 2018
Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 29 Jun 2022
Semyon Malamud and Grigory Vilkov
Ecole Polytechnique Federale de Lausanne and Frankfurt School of Finance & Management
Downloads 706 (61,737)
Citation 4

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Asset prices, beta, CAPM, hedging, asset allocation, portfolio management, mutual funds

13.

Forecasting Realized Volatility of Daily Futures Returns

Number of pages: 49 Posted: 01 Dec 2013 Last Revised: 24 Jun 2014
Bruno Gmuer and Semyon Malamud
Quantica Capital and Ecole Polytechnique Federale de Lausanne
Downloads 623 (72,429)

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Realized Volatility, Forecasting, Regression

14.

Market Consistent Pricing of Insurance Products

Number of pages: 32 Posted: 15 Mar 2007
Semyon Malamud, Eugene Trubowitz and Mario V. Wuthrich
Ecole Polytechnique Federale de Lausanne, Swiss Federal Institute of Technology Zurich and RiskLab, ETH Zurich
Downloads 538 (86,901)
Citation 14

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insurance, hedging, incomplete markets, utility indifference, market consistent

15.

Portfolio Selection with Options and Transaction Costs

Swiss Finance Institute Research Paper No. 14-08
Number of pages: 58 Posted: 20 Feb 2014 Last Revised: 24 Jun 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 518 (91,136)
Citation 3

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portfolio selection, dynamic trading, options, Greeks, transaction costs

16.

Liquidity, Innovation, and Endogenous Growth

Downloads 497 (95,780)
Citation 20

Liquidity, Innovation, and Endogenous Growth

Swiss Finance Institute Research Paper No. 15-41
Number of pages: 72 Posted: 04 Jan 2017 Last Revised: 07 Dec 2018
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 391 (125,947)
Citation 5

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Innovation; Cash management; Financing frictions; Endogenous growth

Liquidity, Innovation, and Endogenous Growth

ECB Working Paper No. 1919
Number of pages: 66 Posted: 19 Jun 2016
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 105 (424,342)

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innovation, cash management, financial constraints, endogenous growth

Liquidity, Innovation, and Endogenous Growth

CEPR Discussion Paper No. DP10840
Number of pages: 62 Posted: 29 Sep 2015
Semyon Malamud and Francesca Zucchi
Ecole Polytechnique Federale de Lausanne and European Central Bank
Downloads 1 (1,064,027)
Citation 4
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Cash management, Creative destruction, Endogenous growth, Financial constraints, Innovation

17.

Price Impact and Portfolio Impact

Swiss Finance Institute Research Paper No. 10-26
Number of pages: 80 Posted: 18 Jun 2010
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 442 (110,207)
Citation 13

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Survival, Price Impact, Equilibrium, Heterogeneous Agents, Optimal Portfolios

18.

Dominant Currency Debt

Downloads 420 (117,022)
Citation 14

Dominant Currency Debt

Swiss Finance Institute Research Paper No. 18-55
Number of pages: 95 Posted: 22 Aug 2018 Last Revised: 11 Jan 2021
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 292 (173,176)
Citation 13

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Dollar debt, dominant currency, exchange rates, inflation

Dominant Currency Debt

BIS Working Paper No. 783
Number of pages: 96 Posted: 22 May 2019
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 127 (368,581)

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dollar debt, dominant currency, exchange rates, inflation, debt deflation

Dominant Currency Debt

CEPR Discussion Paper No. DP13391
Number of pages: 99 Posted: 17 Dec 2018
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
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dollar debt, dominant currency, Exchange Rates, inflation

19.

An Intermediation-Based Model of Exchange Rates

Downloads 400 (123,803)
Citation 9

An Intermediation-Based Model of Exchange Rates

Swiss Finance Institute Research Paper No. 18-14
Number of pages: 58 Posted: 06 Mar 2018 Last Revised: 01 Sep 2020
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 344 (145,437)
Citation 10

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Financial Intermediation, Exchange Rates, Currency Crashes, Uncovered Interest Parity, Covered Interest Parity

An Intermediation-Based Model of Exchange Rates

BIS Working Paper No. 743
Number of pages: 52 Posted: 30 Oct 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 55 (621,671)

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financial intermediation, exchange rates, safe haven, covered interest

An Intermediation-Based Model of Exchange Rates

CEPR Discussion Paper No. DP13182
Number of pages: 86 Posted: 17 Sep 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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covered interest parity deviations, Exchange Rates, Financial Intermediation, safe haven

20.

Policy Announcement Design

Swiss Finance Institute Research Paper No. 20-17
Number of pages: 61 Posted: 08 Jan 2020 Last Revised: 06 Aug 2020
Anna Cieslak, Semyon Malamud and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 384 (129,697)
Citation 3

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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

21.

Learning (Not) to Trade: Lindy's Law in Retail Traders

Swiss Finance Institute Research Paper No. 20-100
Number of pages: 44 Posted: 04 Dec 2020 Last Revised: 07 Dec 2020
Teodor Godina, Serge Kassibrakis, Semyon Malamud, Alberto Teguia and Jiahua Xu
affiliation not provided to SSRN, Swissquote Bank, Ecole Polytechnique Federale de Lausanne, Rice University, Jesse H. Jones Graduate School of Business, Students and University College London - Department of Computer Science
Downloads 317 (159,738)

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Trading, Investor behavior, Learning, Rationality

22.

Price Discovery through Options

Downloads 265 (192,304)

Price Discovery through Options

Swiss Finance Institute Research Paper No. 14-36
Number of pages: 27 Posted: 23 May 2014 Last Revised: 02 Jun 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 162 (302,626)

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options, asymmetric information, learning, informational efficiency

Price Discovery Through Options

Number of pages: 28 Posted: 08 Oct 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 103 (430,291)

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options, asymmetric information, price discovery, informational efficiency

23.

Decentralized Exchange

American Economic Review, Vol. 107, No. 11, 2017, Swiss Finance Institute Research Paper No. 18-25
Number of pages: 45 Posted: 23 Mar 2018 Last Revised: 01 Apr 2018
Semyon Malamud and Marzena J. Rostek
Ecole Polytechnique Federale de Lausanne and University of Wisconsin - Madison
Downloads 261 (195,284)
Citation 44

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24.

Asset Pricing in Heterogeneous Economies

ETH Zurich Department of Mathematics Working Paper
Number of pages: 149 Posted: 14 Jul 2005
Yvan Lengwiler, Semyon Malamud and Eugene Trubowitz
University of Basel - Faculty of Business and Economics (WWZ), Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 258 (197,481)
Citation 6

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Heterogeneity, equity premium puzzle, stylized facts, infinite horizon

25.

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Downloads 254 (200,560)
Citation 7

Equilibrium Asset Pricing and Portfolio Choice with Heterogeneous Preferences

Paris December 2009 Finance International Meeting AFFI - EUROFIDAI
Number of pages: 58 Posted: 10 Oct 2009 Last Revised: 22 Jun 2014
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 146 (330,332)
Citation 3

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equilibrium, heterogeneous agents, volatility, optimal portfolios, stochastic opportunity set

Equilibrium Driven by Discounted Dividend Volatility

Swiss Finance Institute Research Paper No. 09-34
Number of pages: 46 Posted: 08 Sep 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 108 (415,782)
Citation 5

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equilibrium, heterogeneous agents, volatility, optimal portfolios

26.

Credit Market Frictions and Capital Structure Dynamics

Swiss Finance Institute Research Paper
Number of pages: 67 Posted: 16 Mar 2012 Last Revised: 28 Jan 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 251 (202,954)
Citation 9

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Credit supply uncertainty, dynamic capital structure, default risk, search

27.

Dealer Heterogeneity and Exchange Rates

Swiss Finance Institute Research Paper No. 18-56
Number of pages: 155 Posted: 22 Aug 2018 Last Revised: 11 Feb 2023
Florent Gallien, Sergei Glebkin, Serge Kassibrakis, Semyon Malamud and Alberto Teguia
Swissquote Bank, INSEAD, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 245 (207,745)
Citation 1

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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

28.

Asset Pricing with Large Investors

Swiss Finance Institute Research Paper No. 17-57
Number of pages: 58 Posted: 06 Nov 2017 Last Revised: 09 Jan 2018
Semyon Malamud and Alberto Teguia
Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 240 (211,934)
Citation 2

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Market Liquidity, Funding Liquidity, Price Impact, Strategic Trading

29.

Information Percolation in Segmented Markets

Downloads 238 (213,644)
Citation 56

Information Percolation in Segmented Markets

Swiss Finance Institute Research Paper No. 10-09
Number of pages: 109 Posted: 09 Mar 2010 Last Revised: 10 Jul 2013
Darrell Duffie, Gustavo Manso and Semyon Malamud
Stanford University - Graduate School of Business, University of California, Berkeley - Haas School of Business and Ecole Polytechnique Federale de Lausanne
Downloads 175 (283,225)
Citation 31

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Search, Matching, Double Auctions, Segmented Markets, Equilibrium, Information, Percolation

Information Percolation in Segmented Markets

NBER Working Paper No. w17295
Number of pages: 86 Posted: 12 Aug 2011 Last Revised: 05 Apr 2023
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 63 (580,726)

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30.

Optimal Securitization with Heterogeneous Investors

Swiss Finance Institute Research Paper No. 10-10
Number of pages: 66 Posted: 04 Mar 2010 Last Revised: 16 Mar 2010
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 227 (223,754)
Citation 2

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securitization, tranching, heterogeneity, mortgage backed securities, asset backed securities

31.

Information Percolation with Equilibrium Search Dynamics

Econometrica, Vol. 77, No. 5, Swiss Finance Institute Research Paper No. 09-02
Number of pages: 61 Posted: 29 Jan 2009 Last Revised: 27 Nov 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 225 (225,638)
Citation 18

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search, matching, equilibrium, information, percolation

32.

Variance Covariance Orders and Median Preserving

Swiss Finance Institute Research Paper No. 09-13
Number of pages: 29 Posted: 22 Apr 2009
Fabio Trojani and Semyon Malamud
University of Geneva and Ecole Polytechnique Federale de Lausanne
Downloads 221 (230,492)

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variance, risk, median preserving spread, Hansen-Jagannathan bounds

33.

Intermediation Markups and Monetary Policy Passthrough

Swiss Finance Institute Research Paper No. 16-75
Number of pages: 61 Posted: 14 Dec 2016 Last Revised: 01 Oct 2017
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 218 (232,465)
Citation 2

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

34.

Asset Pricing with “Buy Now, Pay Later”

Swiss Finance Institute Research Paper No. 22-85
Number of pages: 100 Posted: 14 Nov 2022
Semyon Malamud, Neng Wang and Yuan Zhang
Ecole Polytechnique Federale de Lausanne, Columbia University - Columbia Business School, Finance and Shanghai University of Finance and Economics
Downloads 212 (238,531)

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asset pricing, yield curve, buy-now-pay-later, consumer credit, financial frictions, credit frictions

35.

Managing Inventory with Proportional Transaction Costs

Swiss Finance Institute Research Paper No. 16-48
Number of pages: 39 Posted: 03 Jun 2016 Last Revised: 13 Apr 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 212 (238,531)
Citation 1

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Inventory Management, Market Making, Transaction Costs

36.

Optimal Risk Sharing with Limited Liability

Swiss Finance Institute Research Paper No. 12-05
Number of pages: 82 Posted: 11 Feb 2012
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 207 (243,783)
Citation 4

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optimal risk sharing, limited liability, optimal insurance design

37.

Persuasion by Dimension Reduction

Swiss Finance Institute Research Paper No. 21-69
Number of pages: 107 Posted: 22 Oct 2021 Last Revised: 26 Oct 2021
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 196 (256,215)

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Bayesian Persuasion, Information Design, Signalling, Learning

38.

Asset Pricing for Idiosyncratically Incomplete Markets

Number of pages: 52 Posted: 10 Jul 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 192 (261,040)
Citation 6

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idiosyncratic risk, incomplete markets, heterogeneity, equity premium, stylized facts

39.

Illiquidity and Higher Cumulants

Swiss Finance Institute Research Paper No. 20-80, Review of Financial Studies, Forthcoming
Number of pages: 76 Posted: 15 Sep 2020 Last Revised: 16 Aug 2022
Sergei Glebkin, Semyon Malamud and Alberto Teguia
INSEAD, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 191 (262,249)
Citation 3

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Price Impact, Higher Cumulants, Strategic Trading, Liquidity

40.

Rational Factor Analysis

Number of pages: 36 Posted: 05 Sep 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 191 (262,249)
Citation 1

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factor analysis, heterogeneity, perturbation theory, general equilibrium, existence, uniqueness

41.

Optimal Transport of Information

Downloads 189 (264,780)

Optimal Transport of Information

Swiss Finance Institute Research Paper No. 21-15
Number of pages: 72 Posted: 23 Feb 2021 Last Revised: 08 Mar 2021
Semyon Malamud, Anna Cieslak and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne, Duke University - Fuqua School of Business and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 188 (265,770)

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Bayesian Persuasion, Information Design, Signalling, Optimal Transport

Optimal Transport of Information

CEPR Discussion Paper No. DP15859
Number of pages: 73 Posted: 01 Mar 2021 Last Revised: 15 Mar 2021
Anna Cieslak, Semyon Malamud and Andreas Schrimpf
Duke University - Fuqua School of Business, Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
Downloads 1 (1,064,027)
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42.

Portfolio Delegation and Market Efficiency

Swiss Finance Institute Research Paper No. 14-09
Number of pages: 63 Posted: 20 Feb 2014
Semyon Malamud and Evgeny Petrov
Ecole Polytechnique Federale de Lausanne and HKUST
Downloads 186 (268,652)
Citation 7

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portfolio delegation, optimal incentives, contracts, asymmetric information, informational efficiency

43.

A Unified Approach to Market Incompleteness

Number of pages: 48 Posted: 02 Jun 2007
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 184 (271,209)
Citation 1

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incomplete markets, idiosyncratic risk, precautionary saving, investment, marginal propensity to consume

44.

Aggregate Risk Aversion for Jointly Heterogeneous Discount Factors and Risk Tolerances

Number of pages: 12 Posted: 31 Oct 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 177 (280,515)
Citation 1

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heterogeneity, aggregation, risk aversion

45.

The Relative Contributions of Private Information Sharing and Public Information Releases to Information Aggregation

Stanford University Graduate School of Business Research Paper No. 2023, Rock Center for Corporate Governance at Stanford University Working Paper No. 51, Swiss Finance Institute Research Paper No. 09-33
Number of pages: 39 Posted: 01 May 2009
Darrell Duffie, Semyon Malamud and Gustavo Manso
Stanford University - Graduate School of Business, Ecole Polytechnique Federale de Lausanne and University of California, Berkeley - Haas School of Business
Downloads 171 (289,086)
Citation 5

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information percolation, search, learning rates

46.

Money Market Funds and the Pricing of Near-Money Assets

Swiss Finance Institute Research Paper No. 23-04
Number of pages: 69 Posted: 30 Jan 2023 Last Revised: 13 Apr 2023
Sebastian Doerr, Egemen Eren and Semyon Malamud
Bank for International Settlements, Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 155 (313,994)

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T-bills, repo, market power, price impact, liquidity premium, money market funds

47.

Signaling with Debt Currency Choice

Downloads 154 (315,765)
Citation 1

Signaling with Debt Currency Choice

Swiss Finance Institute Research Paper No. 22-15
Number of pages: 70 Posted: 09 Feb 2022 Last Revised: 02 Feb 2023
Egemen Eren, Semyon Malamud and Haonan Zhou
Bank for International Settlements (BIS) - Monetary and Economic Department, Ecole Polytechnique Federale de Lausanne and Princeton University - Department of Economics
Downloads 153 (317,880)

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Foreign currency debt, corporate debt, signaling, exchange rates

International Pecking Order

CEPR Discussion Paper No. DP17193
Number of pages: 71 Posted: 27 May 2022
Egemen Eren, Semyon Malamud and Haonan Zhou
Bank for International Settlements (BIS) - Monetary and Economic Department, Ecole Polytechnique Federale de Lausanne and Princeton University
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Citation 2
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Corporate Debt, Exchange Rates, foreign currency debt, Pecking order, signalling

48.

Optimal Incentives and Securitization of Defaultable Assets

Swiss Finance Institute Research Paper No. 11-48
Number of pages: 73 Posted: 21 Oct 2011 Last Revised: 03 Jul 2012
Semyon Malamud, Huaxia Rui and Andrew B. Whinston
Ecole Polytechnique Federale de Lausanne, University of Rochester - Simon Business School and University of Texas at Austin - Department of Information, Risk and Operations Management
Downloads 153 (317,553)
Citation 13

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securitization, mortgage-backed securities, asset-backed securities, moral hazard, default risk

49.

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Downloads 152 (319,223)

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Swiss Finance Institute Research Paper No. 09-03
Number of pages: 60 Posted: 16 Feb 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 108 (415,782)

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Asset pricing, equilibrium, heterogeneous agents

Asset Prices, Funds' Size and Portfolio Weights in Equilibrium with Heterogeneous and Long-Lived Funds

Number of pages: 58 Posted: 04 Feb 2009
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 44 (687,151)

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50.

Asset Prices and Insurance Loadings

Number of pages: 37 Posted: 30 Mar 2007
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 147 (327,968)

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asset pricing, equilibrium, idiosyncratic risk, incomplete market, insurance, risk sharing

51.

Noisy Arrow-Debreu Equilibria

Swiss Finance Institute Research Paper No. 15-09
Number of pages: 50 Posted: 07 Mar 2015 Last Revised: 29 Apr 2015
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 144 (333,420)
Citation 5

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asymmetric information, options, price discovery, Arrow-Debreu state prices

52.

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Swiss Finance Institute Research Paper No. 09-41
Number of pages: 77 Posted: 28 Sep 2009
Julien Hugonnier, Semyon Malamud and Eugene Trubowitz
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 127 (367,289)
Citation 12

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continuous-time finance, dynamic market completeness, general equilibrium theory

53.

The Davis-Varaiya Multiplicity and Branching Numbers of a Filtration

Number of pages: 13 Posted: 16 Mar 2007
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 122 (378,479)
Citation 1

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martingales, complete markets, spanning number, filtration

54.

The Optimal Consumption Stream of an Agent Exposed to Uninsurable Idiosyncratic Risk

Number of pages: 38 Posted: 05 Sep 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 121 (380,866)
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Optimal consumption stream, incomplete markets, idiosyncratic risk, convexity

55.

Nonmyopic Optimal Portfolios in Viable Markets

Swiss Finance Institute Research Paper No. 10-42
Number of pages: 55 Posted: 20 Oct 2010
Jaksa Cvitanic and Semyon Malamud
California Institute of Technology - Division of the Humanities and Social Sciences and Ecole Polytechnique Federale de Lausanne
Downloads 115 (395,108)
Citation 1

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Heterogeneous Agents, Nonmyopic Optimal Portfolios, Hedging Demand, Equilibrium

56.

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Swiss Finance Institute Research Paper No. 18-60
Number of pages: 21 Posted: 23 Aug 2018 Last Revised: 07 Sep 2018
Florent Gallien, Serge Kassibrakis and Semyon Malamud
Swissquote Bank, Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 114 (397,576)

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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints

57.

Pricing Tokens on Industrial Production

Number of pages: 10 Posted: 18 Apr 2019
Serge Kassibrakis and Semyon Malamud
Swissquote Bank and Ecole Polytechnique Federale de Lausanne
Downloads 109 (410,723)

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tokens, ICO, optimal execution

58.

The Long Horizon Behavior of Asset Prices in Heterogeneous Economies

Number of pages: 39 Posted: 26 Dec 2006
Semyon Malamud and Eugene Trubowitz
Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 99 (439,385)
Citation 1

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heterogeneity, infinite horizon, survival, stylized facts, asset prices

59.

Market Integration and Global Crashes

Downloads 90 (467,172)
Citation 1

Market Integration and Global Crashes

Swiss Finance Institute Research Paper No. 16-49
Number of pages: 39 Posted: 25 Jul 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Queen Mary University of London - School of Economics and Finance
Downloads 89 (474,614)
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Market Integration, Foreign Direct Investment, Frictions, Fragility, Crashes, Crises

Market Integration and Global Crashes

CEPR Discussion Paper No. DP11468
Number of pages: 40 Posted: 30 Aug 2016
Semyon Malamud and Aytek Malkhozov
Ecole Polytechnique Federale de Lausanne and Queen Mary University of London - School of Economics and Finance
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Crashes, Crises, Financial Frictions, market integration

60.

Concavity of the Consumption Function with Recursive Preferences

Swiss Finance Institute Research Paper No. 14-37
Number of pages: 16 Posted: 24 May 2014
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 75 (520,749)

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consumption, saving, marginal propensity to consume, recursive preferences, resolution of uncertainty

61.

Price Formation in the Foreign Exchange Market

Swiss Finance Institute Research Paper No. 23-68
Number of pages: 111 Posted: 29 Aug 2023
Florent Gallien, Sergei Glebkin, Serge Kassibrakis, Semyon Malamud and Alberto Teguia
Swissquote Bank, INSEAD, Swissquote Bank, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 68 (549,575)

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Liquidity, Foreign Exchange, OTC markets, Price Impact, Market Power

62.

Universal Bounds for Asset Prices in Heterogeneous Economies

Number of pages: 15 Posted: 25 Jul 2007
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 62 (576,208)

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heterogeneity, asset prices, yield curve, bounds

63.

Intermediation Markups and Monetary Policy Pass-Through

CEPR Discussion Paper No. DP12623
Number of pages: 79 Posted: 22 Jan 2018
Semyon Malamud and Andreas Schrimpf
Ecole Polytechnique Federale de Lausanne and Bank for International Settlements (BIS) - Monetary and Economic Department
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