Jasmina Hasanhodzic

Babson College - Finance Division

Babson Park, MA 02457-0310

United States

SCHOLARLY PAPERS

6

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54

Scholarly Papers (6)

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Number of pages: 54 Posted: 27 Aug 2006
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 9,604 (408)
Citation 49

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hedge funds, investments, portfolio management, risk management

Can Hedge-Fund Returns Be Replicated?: The Linear Case

Journal of Investment Management, Vol. 5, No. 2, Second Quarter 2007
Posted: 30 May 2007
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management

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Hedge fund, portfolio management, risk management

2.

Is it Real, or is it Randomized?: A Financial Turing Test

Number of pages: 12 Posted: 26 Feb 2010 Last Revised: 25 Jan 2015
Jasmina Hasanhodzic, Andrew W. Lo and Emanuele Viola
Babson College - Finance Division, Massachusetts Institute of Technology (MIT) - Sloan School of Management and Northeastern University
Downloads 637 (36,735)
Citation 1

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Market Efficiency, Human Pattern Recognition, Machine/Human Interfaces, Technical Analysis, Video Games

3.

Black's Leverage Effect is not Due to Leverage

Number of pages: 25 Posted: 16 Feb 2011
Jasmina Hasanhodzic and Andrew W. Lo
Babson College - Finance Division and Massachusetts Institute of Technology (MIT) - Sloan School of Management
Downloads 632 (37,125)
Citation 4

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Volatility, Leverage Effect, Return/Volatility Relationship, Time-Varying Expected Return, Behavioral Finance

Generational Risk – Is It a Big Deal? Simulating an 80-Period OLG Model with Aggregate Shocks

Number of pages: 49 Posted: 01 Jul 2017
Jasmina Hasanhodzic and Laurence J. Kotlikoff
Babson College - Finance Division and Boston University - Department of Economics
Downloads 20 (498,515)

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Intergenerational Risk Sharing, Government Transfer Policies, Aggregate Shocks, Equity Premium, Incomplete Markets, Stochastic Simulation

Generational Risk -- Is It a Big Deal? Simulating an 80-Period OLG Model with Aggregate Shocks

Number of pages: 41 Posted: 30 Dec 2015
Jasmina Hasanhodzic and Laurence J. Kotlikoff
Babson College - Finance Division and Boston University - Department of Economics
Downloads 17 (516,576)

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Intergenerational Risk Sharing, Government Transfer Policies, Aggregate Shocks, Incomplete Markets, Stochastic Simulation

Generational Risk - is it a Big Deal?: Simulating an 80-Period OLG Model with Aggregate Shocks

NBER Working Paper No. w19179
Number of pages: 47 Posted: 29 Jun 2013 Last Revised: 16 Jul 2013
Jasmina Hasanhodzic and Laurence J. Kotlikoff
Babson College - Finance Division and Boston University - Department of Economics
Downloads 5 (588,481)

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5.

Increasing Borrowing Costs and the Equity Premium

Number of pages: 33 Posted: 16 Apr 2014
Jasmina Hasanhodzic
Babson College - Finance Division
Downloads 36 (406,641)

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Equity Premium, Borrowing Constraints, Aggregate Shocks, Incomplete Markets, Stochastic Simulation

6.

Valuing Government Obligations When Markets are Incomplete

NBER Working Paper No. w24092
Number of pages: 44 Posted: 16 Dec 2017
Jasmina Hasanhodzic and Laurence J. Kotlikoff
Babson College - Finance Division and Boston University - Department of Economics
Downloads 1 (592,630)
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