Luciano I. de Castro

Tippie College of Business

Associate Professor

108 Pappajohn Building

Iowa City, IA 52242

United States

http://https://lucianodecastro.net/

SCHOLARLY PAPERS

20

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Top 21,226

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50

CROSSREF CITATIONS

13

Scholarly Papers (20)

1.

Dynamic Quantile Models of Rational Behavior

Number of pages: 56 Posted: 15 Mar 2017 Last Revised: 20 Nov 2019
Luciano I. de Castro and Antonio F. Galvao
Tippie College of Business and Michigan State University
Downloads 588 (88,665)
Citation 25

Abstract:

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Quantile Utility, Dynamic Programming, Quantile Regression, Intertemporal Consumption

2.

Portfolio Selection in Quantile Decision Models

Number of pages: 62 Posted: 13 Dec 2019 Last Revised: 06 Aug 2020
Luciano I. de Castro, Antonio F. Galvao, Gabriel Montes-Rojas and Jose Olmo
Tippie College of Business, Michigan State University, City University of London and Universidad de Zaragoza
Downloads 360 (158,487)
Citation 5

Abstract:

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Optimal asset allocation, Expected Utility, Quantile Utility, Portfolio Theory, Risk Attitude

3.

Dynamic Economics with Quantile Preferences

Number of pages: 66 Posted: 13 May 2022 Last Revised: 17 Sep 2023
Luciano I. de Castro, Antonio F. Galvao and Daniel Nunes
Tippie College of Business, Michigan State University and Instituto Nacional de Matemática Pura e Aplicada (IMPA)
Downloads 258 (224,497)
Citation 1

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Quantile preferences, dynamic programming, recursive model, growth model, intertemporal consumption, investment under uncertainty

4.

Static and Dynamic Quantile Preferences

Number of pages: 42 Posted: 18 Sep 2018 Last Revised: 17 Sep 2022
Luciano I. de Castro and Antonio F. Galvao
Tippie College of Business and Michigan State University
Downloads 223 (258,707)
Citation 16

Abstract:

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Quantile Utility, Recursive Utility, Ordinality, Axioms

5.

A Dynamic Quantile Model for Distinguishing Intertemporal Substitution from Risk Aversion

Number of pages: 49 Posted: 11 Nov 2020 Last Revised: 09 May 2024
Tippie College of Business, Federal Reserve Banks - Federal Reserve Bank of Minneapolis, Michigan State University and German Aerospace Center
Downloads 216 (266,543)
Citation 1

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Consumption, quantile preferences, elasticity of intertemporal substitution, risk attitude

Joint Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 11 Nov 2020 Last Revised: 14 Sep 2023
Luciano I. de Castro, Antonio F. Galvao, Gabriel Montes-Rojas and Jose Olmo
Tippie College of Business, Michigan State University, City University of London and Universidad de Zaragoza
Downloads 155 (357,960)

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Quantile Preference, Risk Attitude, Elasticity of Intertemporal Substitution, Discount Factor, Experiment

Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 17 Nov 2022
Tippie College of Business, Michigan State University, University of Buenos Aires (UBA) and Universidad de Zaragoza
Downloads 43 (793,820)

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Quantile Preferences, Risk Attitude, Elasticity of Intertemporal Substitution, Discount Factor, Experiment

7.

Do People Maximize Quantiles?

Number of pages: 48 Posted: 09 Jun 2020
Luciano I. de Castro, Antonio F. Galvao, Charles Noussair and Liang Qiao
Tippie College of Business, Michigan State University, University of Arizona and University of Arizona
Downloads 189 (301,069)
Citation 9

Abstract:

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Quantile Preference, Risk Attitude, Experiment

8.

How to Deal with Exchange Rate Risk in Infrastructure and Other Long-Lived Projects

Number of pages: 44 Posted: 29 Aug 2022 Last Revised: 06 May 2024
Luciano I. de Castro, Claudio Frischtak and Arthur Rodrigues
Tippie College of Business, Inter.B Consultoria Internacional de Negócios and Department of Economics, Pontifícia Universidade Católica do Rio de Janeiro (PUC-Rio)
Downloads 169 (332,425)

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Exchange rate risk, infrastructure projects, Government protection, insurance for exchange rate risk, bidding for public projects, investors risk aversion, concession periods.

9.

Conditional Quantiles: An Operator-Theoretical Approach

Number of pages: 74 Posted: 04 Oct 2021 Last Revised: 01 Aug 2022
Luciano I. de Castro, Bruno Costa, Antonio F. Galvao and Jorge Zubelli
Tippie College of Business, Instituto Nacional de Matemática Pura e Aplicada (IMPA), Michigan State University and Khalifa University
Downloads 141 (386,225)
Citation 2

Abstract:

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Conditional Quantiles, continuity, differentiability, Fatou’s lemma, Leibniz’s rule, law of iterated quantiles

10.

Quantile Approach to Intertemporal Consumption with Multiple Assets

Number of pages: 53 Posted: 26 Oct 2023 Last Revised: 14 Apr 2024
Luciano I. de Castro, Antonio F. Galvao and Hirofumi Ota
Tippie College of Business, Michigan State University and Rutgers, The State University of New Jersey
Downloads 136 (397,218)

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Quantile preferences, recursive model, risk, intertemporal substitution, two-step semiparametric estimator

11.

O Futuro Da Formação De Preços De Energia No Brasil (The Future of Price Formation of Electricity in Brazil)

Revista de Economia Contemporânea, v. 27, Forthcoming
Number of pages: 47 Posted: 14 Apr 2023
Luciano I. de Castro, Gustavo Borges and Lucas Simone
Tippie College of Business, University of São Paulo (USP) and University of São Paulo (USP)
Downloads 131 (409,131)

Abstract:

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Brazilian electricity sector, Market design, Electricity pricing, Electric dispatch by agent offer.

12.
Downloads 120 (437,279)

A Quantile Model of Firm Investment

Number of pages: 52 Posted: 13 Feb 2024 Last Revised: 15 May 2024
University of Illinois at Urbana-Champaign, Cornell University - Samuel Curtis Johnson Graduate School of Management, Tippie College of Business and Michigan State University
Downloads 109 (472,383)

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Investment, quantile preferences, risk attitude, Tobin's q, recursive model

A Quantile Model of Firm Investment

NBER Working Paper No. w32498
Number of pages: 53 Posted: 28 May 2024
University of Illinois at Urbana-Champaign, Cornell University - Samuel Curtis Johnson Graduate School of Management, Tippie College of Business and Michigan State University
Downloads 11 (1,103,704)
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13.

Experiments on Portfolio Selection: A Comparison between Quantile Preferences and Expected Utility Decision Models

Number of pages: 77 Posted: 11 May 2021
Tippie College of Business, Michigan State University, KDI School of Public Policy and Management, City University of London and Universidad de Zaragoza
Downloads 100 (499,145)
Citation 2

Abstract:

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14.

Pure Strategy Equilibria of Single and Double Auctions with Interdependent Values

Number of pages: 25 Posted: 08 Aug 2006
Aloisio Pessoa de Araujo and Luciano I. de Castro
Getulio Vargas Foundation (FGV) - Escola de Pos-Graduacao (EPGE) and IMPA and Tippie College of Business
Downloads 80 (574,098)
Citation 3

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equilibrium existence in auctions, pure strategy Nash equilibrium, monotonic equilibrium, tie-breaking rule

15.

Numerical Solution of Dynamic Quantile Models

Number of pages: 38 Posted: 26 Sep 2022
Luciano I. de Castro, Antonio F. Galvao and Andre Muchon
Tippie College of Business, Michigan State University and Instituto Nacional de Matemática Pura e Aplicada (IMPA)
Downloads 73 (604,470)

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Quantile preferences, dynamic programming, value function iterations

Tougher Educational Exam Leading to Worse Selection

Economics: The Open-Access, Open-Assessment E-Journal, Vol. 5, 2011
Number of pages: 26 Posted: 15 Dec 2011
Eduardo de Carvalho Andrade and Luciano I. de Castro
affiliation not provided to SSRN and Tippie College of Business
Downloads 34 (866,231)

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school standard, signaling model, cognitive skill, noncognitive skill

Tougher Educational Exam Leading to Worse Selection

Economics Discussion Paper No. 2011-2
Number of pages: 26 Posted: 14 Mar 2011
Eduardo de Carvalho Andrade and Luciano I. de Castro
affiliation not provided to SSRN and Tippie College of Business
Downloads 33 (875,103)

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school standards, signaling model, cognitive skills, non-cognitive skills

17.

Convex and Conditionally Law-Invariant Risk Measures

Number of pages: 81 Posted: 18 Jan 2024
Luciano I. de Castro, Bruno Costa, Antonio F. Galvao and Jorge Zubelli
Tippie College of Business, Instituto Nacional de Matemática Pura e Aplicada (IMPA), Michigan State University and Khalifa University of Science and Technology
Downloads 58 (680,286)

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Conditional Risk Measures, Convex Risk Measures, Coherent Risk Measures, Conditional Quantiles, Conditional Law-Invariance, Random Concave Distortions, Transition Capacities

18.

Pure Strategy Equilibria of Single and Double Auctions with Interdependent Values

Games and Economic Behavior, Vol. 65, No. 1, 2009
Number of pages: 16 Posted: 29 Sep 2013
Aloisio Araujo and Luciano I. de Castro
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças and Tippie College of Business
Downloads 31 (867,628)

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C62, C72, D44, D82

19.

Non-Monotoniticies and the All-Pay Auction Tie-Breaking Rule

Departamento de Economía de la Empresa Universidad Carlos III de Madrid Working Paper 06-59, Economics Series 24, October 2006
Number of pages: 29 Posted: 26 Sep 2013
Aloisio Araujo, Luciano I. de Castro and Humberto Moreira
Getulio Vargas Foundation (FGV) - FGV/EPGE Escola Brasileira de Economia e Finanças, Tippie College of Business and Fundacao Getulio Vargas (FGV)
Downloads 28 (894,001)
Citation 1

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Auctions, Pure strategy equilibria, Non-monotonic bidding functions, Tie-breaking rules, Necessary and suficient conditions for equilibrium, Multidimensional types

20.

Corrigendum to 'Existence of Equilibrium in Single and Double Private Value Auctions'

Econometrica, Forthcoming
Posted: 08 Aug 2006
Luciano I. de Castro
Tippie College of Business

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Double auctions, positive probability of trade