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 1,332

SSRN RANKINGS

Top 1,332

in Total Papers Downloads

26,003

SSRN CITATIONS
Rank 3,126

SSRN RANKINGS

Top 3,126

in Total Papers Citations

293

CROSSREF CITATIONS

140

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 9,783 (624)
Citation 136

Abstract:

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CDO, Structured Finance, Rating Agency

2.
Downloads 3,512 ( 3,697)
Citation 27

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 3,456 (3,738)
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 Last Revised: 05 Mar 2021
Jakub W. Jurek and Erik Stafford
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 56 (452,304)
Citation 10

Abstract:

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3.

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 3,230 (4,319)
Citation 37

Abstract:

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

4.

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 2,967 (4,984)
Citation 94

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

5.

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 2,946 (5,057)
Citation 87

Abstract:

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

6.
Downloads 1,359 ( 17,619)
Citation 20

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 1,278 (18,945)

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 Last Revised: 03 May 2021
Jakub W. Jurek and Luis M. Viceira
University of Pennsylvania - Finance Department and Harvard Business School - Finance Unit
Downloads 49 (480,639)
Citation 1

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 (565,734)
Citation 9
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Intertemporal hedging, portfolio choice, risk and value, growth investing

7.

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 773 (39,579)
Citation 13

Abstract:

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

8.

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 751 (41,161)
Citation 7

Abstract:

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

9.
Downloads 682 ( 46,904)
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 647 (49,571)

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 35 (548,666)

Abstract:

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