Oleg Rytchkov

Temple University - Department of Finance

Fox School of Business and Management

Philadelphia, PA 19122

United States

SCHOLARLY PAPERS

6

DOWNLOADS

1,606

CITATIONS

6

Scholarly Papers (6)

1.

Asset Pricing with Dynamic Margin Constraints

EFA 2009 Bergen Meetings Paper, Journal of Finance, Vol. 69, pp. 405-452, 2014
Number of pages: 99 Posted: 13 Feb 2009 Last Revised: 29 Nov 2014
Oleg Rytchkov
Temple University - Department of Finance
Downloads 222 (84,318)
Citation 6

Abstract:

exchange economy, margin requirements, general equilibrium

2.

Aggregation of Information About the Cross Section of Stock Returns: A Latent Variable Approach

Review of Financial Studies (RFS), Vol. 30, No. 4, pp. 1339-1381, 2017
Number of pages: 70 Posted: 10 Aug 2013 Last Revised: 05 Jun 2017
Nathaniel Light, Denys Maslov and Oleg Rytchkov
American University in Dubai, Moody's Analytics and Temple University - Department of Finance
Downloads 210 (44,628)

Abstract:

asset pricing, expected returns, anomaly, latent variables, PLS

3.

Asset Pricing with Index Investing

Fox School of Business Research Paper No. 15-051
Number of pages: 68 Posted: 29 Nov 2014 Last Revised: 16 Dec 2016
Georgy Chabakauri and Oleg Rytchkov
London School of Economics and Political Science and Temple University - Department of Finance
Downloads 146 (64,488)

Abstract:

asset pricing, general equilibrium, index investing, heterogeneous investors, Lucas trees

4.

Time-Varying Margin Requirements and Optimal Portfolio Choice

Journal of Financial and Quantitative Analysis (JFQA), Vol. 51, No. 2, pp. 655-683, 2016
Number of pages: 47 Posted: 15 Mar 2012 Last Revised: 16 Dec 2016
Oleg Rytchkov
Temple University - Department of Finance
Downloads 64 (166,834)

Abstract:

portfolio problem, margin requirements, hedging demand, jumps

5.

Learning About Noise

Fox School of Business Research Paper No. 15-067
Number of pages: 36 Posted: 27 Mar 2015 Last Revised: 16 Dec 2016
Paul Marmora and Oleg Rytchkov
Randolph-Macon College and Temple University - Department of Finance
Downloads 48 (167,707)

Abstract:

rational expectations, information acquisition, entropy, price informativeness

6.

Information Aggregation and Data Snooping

Fox School of Business Research Paper No. 17-004
Number of pages: 55 Posted: 20 Dec 2016 Last Revised: 05 Jun 2017
Oleg Rytchkov and Xun Zhong
Temple University - Department of Finance and Temple University - Department of Finance
Downloads 0 (201,955)

Abstract:

predictability of returns, data snooping, forecast combination, PLS, 3PRF