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

SCHOLARLY PAPERS

51

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224

CROSSREF CITATIONS

210

Scholarly Papers (51)

1.

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 2,732 (4,949)
Citation 4

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momentum, risk, return, volatility, trend following

2.
Downloads 1,208 ( 18,615)

Principal Portfolios

Swiss Finance Institute Research Paper No. 20-67, NYU Stern School of Business
Number of pages: 71 Posted: 06 Aug 2020 Last Revised: 29 Sep 2020
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 1,189 (18,715)

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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
Bryan T. Kelly, Semyon Malamud and Lasse Heje Pedersen
Yale SOM, Ecole Polytechnique Federale de Lausanne and AQR Capital Management, LLC
Downloads 19 (603,873)
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3.

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 1,097 (21,433)
Citation 41

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

Financial Markets Equilibrium with Heterogeneous Agents

Number of pages: 53 Posted: 13 Mar 2010
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 385 (84,715)
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
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 302 (111,632)
Citation 14

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

5.

Non-Myopic Betas

Number of pages: 60 Posted: 25 Nov 2015 Last Revised: 11 Apr 2017
Semyon Malamud and Grigory Vilkov
Ecole Polytechnique Federale de Lausanne and Frankfurt School of Finance & Management
Downloads 605 (49,104)
Citation 2

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

6.
Downloads 555 ( 54,892)
Citation 12

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 409 (79,238)
Citation 7

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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 142 (227,870)
Citation 11

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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 4 (719,967)
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exchange traded funds, Limits to Arbitrage, liquidity

7.

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 555 (54,745)

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Realized Volatility, Forecasting, Regression

8.

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 481 (65,569)
Citation 14

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

9.

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 407 (80,182)
Citation 8

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

10.

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 367 (90,341)
Citation 2

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

11.
Downloads 338 ( 99,217)
Citation 11

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 Federal Reserve Board
Downloads 261 (130,345)
Citation 6

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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 Federal Reserve Board
Downloads 77 (349,326)

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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 Federal Reserve Board
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Citation 4
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Cash management, Creative destruction, Endogenous growth, Financial constraints, Innovation

12.
Downloads 238 (143,622)
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 214 (158,537)
Citation 9

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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 24 (568,609)

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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

13.

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 232 (147,172)
Citation 6

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Heterogeneity, equity premium puzzle, stylized facts, infinite horizon

14.

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 219 (155,522)
Citation 6

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

15.
Downloads 216 (157,522)
Citation 2

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 145 (224,081)
Citation 2

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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 71 (366,026)

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options, asymmetric information, price discovery, informational efficiency

16.
Downloads 207 (163,853)
Citation 3

Dominant Currency Debt

Swiss Finance Institute Research Paper No. 18-55
Number of pages: 65 Posted: 22 Aug 2018 Last Revised: 14 Sep 2020
Egemen Eren and Semyon Malamud
Bank for International Settlements (BIS) - Monetary and Economic Department and Ecole Polytechnique Federale de Lausanne
Downloads 167 (198,906)
Citation 3

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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 40 (479,513)

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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

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 117 (265,012)
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 88 (321,866)
Citation 4

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equilibrium, heterogeneous agents, volatility, optimal portfolios

18.

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 200 (169,304)
Citation 2

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

19.

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 185 (181,766)
Citation 4

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search, matching, equilibrium, information, percolation

20.

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 177 (189,014)
Citation 4

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optimal risk sharing, limited liability, optimal insurance design

21.
Downloads 169 (196,710)
Citation 37

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 137 (234,628)
Citation 41

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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
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 32 (519,412)

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22.

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
Swiss Finance Institute and Ecole Polytechnique Federale de Lausanne
Downloads 168 (197,744)

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

23.

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 168 (197,744)
Citation 6

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

24.

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 167 (198,784)
Citation 1

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Inventory Management, Market Making, Transaction Costs

25.

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 166 (199,746)
Citation 1

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

26.

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 159 (207,196)

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

27.

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 158 (208,296)
Citation 1

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heterogeneity, aggregation, risk aversion

28.

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 151 (216,355)
Citation 3

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Monetary Policy, Stock Returns, Intermediation, Market Frictions

29.

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 137 (233,965)

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Market Liquidity, Funding Liquidity, Price Impact, Strategic Trading

30.

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 136 (235,385)
Citation 7

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

31.

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 135 (236,763)
Citation 10

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

32.

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 134 (238,144)
Citation 3

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information percolation, search, learning rates

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 95 (306,331)

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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 26 (555,113)
Citation 1

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34.

Liquidity Provision in the Foreign Exchange Market

Swiss Finance Institute Research Paper No. 18-56
Number of pages: 83 Posted: 22 Aug 2018 Last Revised: 16 Jan 2019
Swissquote Bank, Swissquote Bank, University of Zurich, Ecole Polytechnique Federale de Lausanne and Rice University, Jesse H. Jones Graduate School of Business, Students
Downloads 118 (262,217)
Citation 1

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

35.

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 109 (277,345)

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

36.

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 106 (282,754)
Citation 5

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

37.

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 104 (286,532)
Citation 12

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

38.

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 103 (288,426)
Citation 40

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39.

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 102 (290,352)

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Central Bank Announcements, Learning, Bayesian Persuasion, Information Design

40.

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 98 (298,035)
Citation 1

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Heterogeneous Agents, Nonmyopic Optimal Portfolios, Hedging Demand, Equilibrium

41.

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 96 (302,085)
Citation 1

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martingales, complete markets, spanning number, filtration

42.

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 91 (312,595)
Citation 2

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Optimal consumption stream, incomplete markets, idiosyncratic risk, convexity

43.

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 78 (343,253)
Citation 1

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

44.

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 76 (348,456)

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Optimal Portfolio Choice, Transaction Costs, Hedging, Drawdown Constraints

45.
Downloads 71 (361,899)
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 Board of Governors of the Federal Reserve System
Downloads 71 (366,026)
Citation 2

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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 Board of Governors of the Federal Reserve System
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Crashes, Crises, Financial Frictions, market integration

46.

Price Discovery for Options

Swiss Finance Institute Research Paper No. 20-66
Number of pages: 39 Posted: 06 Aug 2020 Last Revised: 10 Aug 2020
Semyon Malamud, Michael Tseng and Yuan Zhang
Ecole Polytechnique Federale de Lausanne, University of Central Florida and Ecole Polytechnique Fédérale de Lausanne
Downloads 66 (379,206)

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Options, Price Discovery, Volatility Straddle

47.

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 66 (376,311)

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tokens, ICO, optimal execution

48.

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 53 (418,690)

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

49.

Universal Bounds for Asset Prices in Heterogeneous Economies

Number of pages: 15 Posted: 25 Jul 2007
Semyon Malamud
Ecole Polytechnique Federale de Lausanne
Downloads 43 (456,909)

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heterogeneity, asset prices, yield curve, bounds

50.

Asset Prices and Liquidity with Market Power and Non-Gaussian Payoffs

Swiss Finance Institute Research Paper No. 20-80
Number of pages: 73 Posted: 15 Sep 2020 Last Revised: 16 Sep 2020
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 24 (551,703)

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Price Impact, Higher Cumulants, Strategic Trading, Liquidity, CAPM

51.

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
Downloads 0 (737,858)
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