Francisco Penaranda

Universitat Pompeu Fabra - Faculty of Economic and Business Sciences

Assistant Professor

Ramon Trias Fargas 25-27

Barcelona, 08005

Spain

SCHOLARLY PAPERS

7

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826

CITATIONS
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19

Scholarly Papers (7)

1.

Portfolio Choice Beyond the Traditional Approach

Number of pages: 50 Posted: 26 Jul 2007
Francisco Penaranda
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 360 (81,205)
Citation 2

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Mean-Variance Analysis, Background Risks, Estimation Error, Expected Utility, Multi-Period Portfolio Choice

Understanding Portfolio Efficiency with Conditioning Information

Number of pages: 39 Posted: 12 Feb 2009 Last Revised: 17 Feb 2009
Francisco Penaranda
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 71 (326,408)

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Beta-pricing, Dynamic portfolio strategies, Jensen's alpha, Mean-variance frontiers, Sharpe ratios

Understanding Portfolio Efficiency with Conditioning Information

Number of pages: 39 Posted: 03 Jul 2009
Francisco Penaranda
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences
Downloads 51 (386,567)

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beta-pricing, dynamic portfolio strategies, Jensen’s alpha, mean-variance frontiers, sharpe ratios

3.

The Emergence of Biofuels and the Co-Movement Between Crude Oil and Agricultural Prices

Number of pages: 31 Posted: 14 Nov 2009
Francisco Penaranda and Augusto Rupérez Micola
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Universitat Pompeu Fabra
Downloads 104 (255,055)
Citation 1

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Biofuels, co-movement, ethanol, oil, structural breaks, threshold regressions

4.

On the Impact of Fundamentals, Liquidity and Coordination on Market Stability

Number of pages: 34 Posted: 25 Jul 2007
Francisco Penaranda and Jon Danielsson
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and London School of Economics - Systemic Risk Centre
Downloads 92 (276,471)

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Carry trades, currency crises, efficient method of moments, global games

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Midwest Finance Association 2012 Annual Meetings Paper
Number of pages: 52 Posted: 16 Sep 2011
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 48 (397,242)
Citation 2

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CU-GMM, factor pricing models, forward premium puzzle, generalised empirical likelihood, stochastic discount factor

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

Center for Financial Innovation and Stability Working Paper No. 10-03
Number of pages: 53 Posted: 04 Jan 2011
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 33 (458,652)
Citation 2

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CU-GMM, Factor Pricing Models, Forward Premium Puzzle, Generalized Empirical Likelihood, Stochastic Discount Factor

A Unifying Approach to the Empirical Evaluation of Asset Pricing Models

CEPR Discussion Paper No. DP7943
Number of pages: 46 Posted: 28 Jul 2010
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 5 (633,547)
Citation 10
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CU-GMM, Factor pricing models, Forward premium puzzle, Generalised Empirical Likelihood, Stochastic discount factor

6.

Spanning Tests in Return and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach

Number of pages: 74 Posted: 08 Oct 2008
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 61 (349,454)
Citation 11

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Asset Pricing, Asymptotic Slopes, Dynamic Portfolio Strategies, GMM, Representing portfolios, Singular Covariance Matrix

7.

Duality in Mean-Variance Frontiers with Conditioning Information

CEPR Discussion Paper No. DP6566
Number of pages: 55 Posted: 06 Jun 2008
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 1 (643,712)
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Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors

Other Papers (1)

Total Downloads: 43
1.

Duality in Mean-Variance Frontiers with Conditioning Information

EFA 2007 Ljubljana Meetings Paper
Number of pages: 53 Posted: 01 Mar 2007
Francisco Penaranda and Enrique Sentana
Universitat Pompeu Fabra - Faculty of Economic and Business Sciences and Centro de Estudios Monetarios y Financieros (CEMFI)
Downloads 43

Abstract:

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Asset Pricing, Dynamic Portfolio Strategies, Representing portfolios, Stochastic Discount Factors