Jakub W. Jurek

University of Pennsylvania - Finance Department

The Wharton School

3620 Locust Walk

Philadelphia, PA 19104

United States

National Bureau of Economic Research (NBER)

Faculty Research Fellow

1050 Massachusetts Avenue

Cambridge, MA 02138

United States

SCHOLARLY PAPERS

9

DOWNLOADS
Rank 1,007

SSRN RANKINGS

Top 1,007

in Total Papers Downloads

24,930

CITATIONS
Rank 3,010

SSRN RANKINGS

Top 3,010

in Total Papers Citations

263

Scholarly Papers (9)

1.

The Economics of Structured Finance

Harvard Business School Finance Working Paper No. 09-060
Number of pages: 37 Posted: 22 Oct 2008
Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 9,580 (472)
Citation 29

Abstract:

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CDO, Structured Finance, Rating Agency

2.
Downloads 3,352 ( 2,978)
Citation 19

The Cost of Capital for Alternative Investments

Harvard Business School Working Paper No. 1910719
Number of pages: 47 Posted: 14 Jan 2013 Last Revised: 03 Sep 2015
Jakub W. Jurek and Erik Stafford
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 3,307 (2,982)
Citation 3

Abstract:

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hedge funds, downside risk, replication, performance evaluation, risk management, endowment model

The Cost of Capital for Alternative Investments

NBER Working Paper No. w19643
Number of pages: 50 Posted: 16 Nov 2013
Jakub W. Jurek and Erik Stafford
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 45 (410,872)
Citation 3

Abstract:

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3.

Economic Catastrophe Bonds

HBS Finance Working Paper No. 07-102
Number of pages: 46 Posted: 26 Jun 2007 Last Revised: 13 Apr 2008
Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Harvard Business School - Finance Unit, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 2,922 (3,775)
Citation 18

Abstract:

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bond pricing, structured finance, credit derivatives, collateralized debt obligation (CDO), state price density, Arrow-Debreu

4.

Crash-Neutral Currency Carry Trades

AFA 2010 Atlanta Meetings Paper
Number of pages: 51 Posted: 14 Sep 2008 Last Revised: 07 Oct 2013
Jakub W. Jurek
University of Pennsylvania - Finance Department
Downloads 2,878 (3,865)
Citation 27

Abstract:

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currency carry trade, crash risk, foreign exchange option, forward premium anomaly, uncovered interest parity (UIP)

5.

Dynamic Portfolio Selection in Arbitrage

EFA 2006 Meetings Paper
Number of pages: 53 Posted: 26 Feb 2006
Jakub W. Jurek and Halla Yang
University of Pennsylvania - Finance Department and Citadel LLC
Downloads 2,796 (4,067)
Citation 19

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arbitrage, law of one price, mean reversion, pairs trading, relative value, convergence

6.
Downloads 1,336 ( 13,834)
Citation 18

Optimal Value and Growth Tilts in Long-Horizon Portfolios

HBS Finance Working Paper No. 06-012, EFA 2006 Zurich Meetings
Number of pages: 61 Posted: 12 Sep 2005
Jakub W. Jurek and Luis M. Viceira
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 1,259 (14,855)

Abstract:

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portfolio choice, value premium

Optimal Value and Growth Tilts in Long-Horizon Portfolios

NBER Working Paper No. w12017
Number of pages: 73 Posted: 27 Apr 2006
Jakub W. Jurek and Luis M. Viceira
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 45 (410,872)

Abstract:

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Optimal Value and Growth Tilts in Long-Horizon Portfolios

CEPR Discussion Paper No. 5773
Number of pages: 63 Posted: 22 Sep 2006
Luis M. Viceira and Jakub W. Jurek
Harvard Business School - Finance Unit and University of Pennsylvania - Finance Department
Downloads 32 (466,613)
Citation 4
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Intertemporal hedging, portfolio choice, risk and value, growth investing

7.

The Price of Immediacy

HBS Finance Working Paper No. 07-017
Number of pages: 39 Posted: 03 Oct 2006
George Chacko, Jakub W. Jurek and Erik Stafford
Santa Clara University - Finance Department, University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 730 (33,466)
Citation 3

Abstract:

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Liquidity, transaction cost, limit order, American option, early exercise

8.

Option-Implied Currency Risk Premia

Number of pages: 79 Posted: 13 Oct 2013 Last Revised: 17 Oct 2014
Jakub W. Jurek and Zhikai Xu
University of Pennsylvania - Finance Department and AQR Capital Management, LLC
Downloads 709 (34,831)
Citation 8

Abstract:

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risk premia, currency carry trade, disaster risk, exchange rate options

9.
Downloads 627 ( 41,072)
Citation 1

Haircut Dynamics

Number of pages: 42 Posted: 15 Aug 2010 Last Revised: 08 Oct 2012
Jakub W. Jurek and Erik Stafford
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 599 (43,055)

Abstract:

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Repo, Collateral, Crashes, Financing, Securitized

Crashes and Collateralized Lending

NBER Working Paper No. w17422
Number of pages: 45 Posted: 21 Sep 2011
Jakub W. Jurek and Erik Stafford
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 28 (487,574)

Abstract:

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