Luciano I. de Castro

Tippie College of Business

Associate Professor

108 Pappajohn Building

Iowa City, IA 52242

United States

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

  • Tippie College of Business

SCHOLARLY PAPERS

17

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24

CROSSREF CITATIONS

12

Scholarly Papers (17)

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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 559 (77,091)
Citation 15

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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 306 (154,345)
Citation 4

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

3.

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 203 (231,029)
Citation 6

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Quantile Utility, Recursive Utility, Ordinality, Axioms

4.

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 The University of Arizona
Downloads 178 (259,444)
Citation 4

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Quantile Preference, Risk Attitude, Experiment

5.

Dynamic Economics with Quantile Preferences

Number of pages: 78 Posted: 13 May 2022
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 166 (275,520)

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

6.

A Dynamic Quantile Model for Distinguishing Intertemporal Substitution from Risk Aversion

Number of pages: 43 Posted: 11 Nov 2020 Last Revised: 22 Nov 2021
Luciano I. de Castro, Lance D. Cundy, Antonio F. Galvao and Rafael Westenberger
Tippie College of Business, Federal Reserve Banks - Federal Reserve Bank of Minneapolis, Michigan State University and IMPA
Downloads 162 (281,257)

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

7.

Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Downloads 150 (299,673)

Elicitation of Elasticity of Intertemporal Substitution, Risk and Time Preferences

Number of pages: 38 Posted: 11 Nov 2020 Last Revised: 14 Jul 2022
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 120 (357,278)

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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
Luciano I. de Castro, Antonio F. Galvao, Gabriel Montes‐Rojas and Jose Olmo
Tippie College of Business, Michigan State University, University of Buenos Aires (UBA) and Universidad de Zaragoza
Downloads 30 (725,247)

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

8.

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 139 (318,498)
Citation 1

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

9.

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

Number of pages: 77 Posted: 11 May 2021
Luciano I. de Castro, Antonio F. Galvao, Jeong Yeol Kim, Gabriel Montes-Rojas and Jose Olmo
Tippie College of Business, Michigan State University, University of Arizona, City University of London and Universidad de Zaragoza
Downloads 81 (460,642)
Citation 1

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10.

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

Number of pages: 46 Posted: 29 Aug 2022 Last Revised: 22 Nov 2022
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 64 (523,797)

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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.

11.

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 50 (587,498)

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Quantile preferences, dynamic programming, value function iterations

12.

Tougher Educational Exam Leading to Worse Selection

Downloads 46 (613,505)

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 25 (764,035)

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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 21 (806,166)

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

13.

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 41 (635,845)
Citation 3

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

14.

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 17 (804,982)
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

15.

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 16 (813,792)

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C62, C72, D44, D82

16.

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

forthcoming, Revista de Economia Contemporânea, v. 27, 2023 (in print).
Number of pages: 47
Luciano I. de Castro, Gustavo Borges and Lucas Simone
Tippie College of Business, affiliation not provided to SSRN and affiliation not provided to SSRN
Downloads 2

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

17.

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