The Wharton School
3620 Locust Walk
Philadelphia, PA 19104
1050 Massachusetts Avenue
Cambridge, MA 02138
University of Pennsylvania - Finance Department
in Total Papers Downloads
in Total Papers Citations
CDO, Structured Finance, Rating Agency
hedge funds, downside risk, replication, performance evaluation, risk management, endowment model
bond pricing, structured finance, credit derivatives, collateralized debt obligation (CDO), state price density, Arrow-Debreu
currency carry trade, crash risk, foreign exchange option, forward premium anomaly, uncovered interest parity (UIP)
arbitrage, law of one price, mean reversion, pairs trading, relative value, convergence
portfolio choice, value premium
This is a CEPR Discussion Paper. CEPR charges a fee of $5.00 for this paper.
File name: SSRN-id932108.
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
Intertemporal hedging, portfolio choice, risk and value, growth investing
Liquidity, transaction cost, limit order, American option, early exercise
Repo, Collateral, Crashes, Financing, Securitized
risk premia, currency carry trade, disaster risk, exchange rate options
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.425 seconds