Suleyman Basak : Citation Profile

Are you Suleyman Basak?

Centre for Economic Policy Research (CEPR) (10% share)
London Business School (LBS) (90% share)

18

H index

26

i10 index

2076

Citations

RESEARCH PRODUCTION:

33

Articles

67

Papers

1

Chapters

RESEARCH ACTIVITY:

   31 years (1993 - 2024). See details.
   Cites by year: 66
   Journals where Suleyman Basak has often published
   Relations with other researchers
   Recent citing documents: 193.    Total self citations: 40 (1.89 %)

MORE DETAILS IN:
ABOUT THIS REPORT:

   Permalink: http://citec.repec.org/pba891
   Updated: 2024-12-03    RAS profile: 2024-05-06    
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Relations with other researchers

Works with:

Makarov, Dmitry (2)

Authors registered in RePEc who have co-authored more than one work in the last five years with Suleyman Basak.

Is cited by:

Vayanos, Dimitri (28)

Uppal, Raman (24)

Pavlova, Anna (23)

Rigobon, Roberto (20)

Kaniel, Ron (17)

Yan, Hongjun (16)

Danielsson, Jon (16)

He, Xuezhong (Tony) (16)

Qiu, Zhigang (14)

Jarrow, Robert (13)

Panageas, Stavros (12)

Cites to:

Detemple, Jerome (39)

Pavlova, Anna (22)

Duffie, Darrell (19)

Abel, Andrew (17)

Obstfeld, Maurice (17)

merton, robert (16)

Uppal, Raman (14)

Campbell, John (13)

Mehra, Rajnish (13)

Rigobon, Roberto (12)

Lucas, Robert (9)

Main data

Where Suleyman Basak has published?

Journals with more than one article published# docs
The Review of Financial Studies9
Journal of Economic Dynamics and Control4
Journal of Finance3
Journal of Financial Economics3
Economic Theory2
Journal of Banking & Finance2

Working Papers Series with more than one paper published# docs
CEPR Discussion Papers / C.E.P.R. Discussion Papers21
Working Papers / New Economic School (NES)3
Working Papers / Center for Economic and Financial Research (CEFIR)3

Recent works citing Suleyman Basak (2024 and 2023)

YearTitle of citing document
2023A Framework of Multivariate Utility Optimization with General Benchmarks. (2021). Zhang, Litian ; Liang, Zongxia ; Liu, Yang. In: Papers. RePEc:arx:papers:2101.06675.

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2023Recent Advances in Reinforcement Learning in Finance. (2021). Yang, Huining ; Xu, Renyuan ; Hambly, Ben. In: Papers. RePEc:arx:papers:2112.04553.

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2023Nonlocality, Nonlinearity, and Time Inconsistency in Stochastic Differential Games. (2021). Pun, Chi Seng ; Lei, Qian . In: Papers. RePEc:arx:papers:2112.14409.

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2023Optimal reinsurance under terminal value constraints. (2022). Steffensen, Mogens ; Lau, Hayden ; Avanzi, Benjamin. In: Papers. RePEc:arx:papers:2203.16108.

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2024Constrained portfolios in incomplete markets: a dynamic programming approach to Hestons model. (2022). Zagst, Rudi ; Havrylenko, Yevhen ; Escobar-Anel, Marcos. In: Papers. RePEc:arx:papers:2208.14152.

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2024Optimal Reinsurance-Investment Strategy for a Monotone Mean-Variance Insurer in the Cram\er-Lundberg Model. (2022). Pang, Shunzhi ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2211.12168.

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2023Optimal investment under partial observations and robust VaR-type constraint. (2022). Chen, AN ; Bauerle, Nicole. In: Papers. RePEc:arx:papers:2212.04394.

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2023Long-term option pricing with a lower reflecting barrier. (2023). Thomas, Guy R. In: Papers. RePEc:arx:papers:2302.05808.

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2023Robust portfolio selection under Recovery Average Value at Risk. (2023). Weber, Stefan ; Pluckebaum, Justin ; Munari, Cosimo. In: Papers. RePEc:arx:papers:2303.01167.

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2023A parsimonious neural network approach to solve portfolio optimization problems without using dynamic programming. (2023). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: Papers. RePEc:arx:papers:2303.08968.

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2023Mean-variance hybrid portfolio optimization with quantile-based risk measure. (2023). Zhou, KE ; Gao, Jianjun ; Lin, YU ; Wu, Weiping. In: Papers. RePEc:arx:papers:2303.15830.

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2023Futures Quantitative Investment with Heterogeneous Continual Graph Neural Network. (2023). Liu, Bin ; Wei, LU ; Wang, Yixuan ; Hu, Min ; Tan, Zhizhong. In: Papers. RePEc:arx:papers:2303.16532.

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2023Optimal Asset Allocation in a High Inflation Regime: a Leverage-feasible Neural Network Approach. (2023). Forsyth, Peter A ; Li, Yuying ; Ni, Chendi. In: Papers. RePEc:arx:papers:2304.05297.

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2023The optimal reinsurance strategy with price-competition between two reinsurers. (2023). Abd, Jingzhen Liu ; Liu, Fangda ; Lin, Liyuan. In: Papers. RePEc:arx:papers:2305.00509.

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2023Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge. In: Papers. RePEc:arx:papers:2305.07166.

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2024Time-Consistent Asset Allocation for Risk Measures in a L\evy Market. (2023). Stadje, Mitja ; Fiessinger, Felix. In: Papers. RePEc:arx:papers:2305.09471.

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2023Value-at-Risk-Based Portfolio Insurance: Performance Evaluation and Benchmarking Against CPPI in a Markov-Modulated Regime-Switching Market. (2023). Bastani, Ali Foroush ; Alipour, Peyman. In: Papers. RePEc:arx:papers:2305.12539.

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2024Robust Time-inconsistent Linear-Quadratic Stochastic Controls: A Stochastic Differential Game Approach. (2023). Wong, Hoi Ying ; Pun, Chi Seng ; Han, Bingyan. In: Papers. RePEc:arx:papers:2306.16982.

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2023On the Well-posedness of Hamilton-Jacobi-Bellman Equations of the Equilibrium Type. (2023). Pun, Chi Seng ; Lei, Qian. In: Papers. RePEc:arx:papers:2307.01986.

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2023Non-Concave Utility Maximization with Transaction Costs. (2023). Yang, Chen ; Qian, Shuaijie. In: Papers. RePEc:arx:papers:2307.02178.

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2023D-TIPO: Deep time-inconsistent portfolio optimization with stocks and options. (2023). Oosterlee, Cornelis W ; Andersson, Kristoffer. In: Papers. RePEc:arx:papers:2308.10556.

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2024Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets. (2024). Zhou, Wei-Xing ; Dai, Peng-Fei ; Zhu, Han-Yu. In: Papers. RePEc:arx:papers:2403.01745.

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2024Factor risk measures. (2024). Liu, Peng ; Assa, Hirbod. In: Papers. RePEc:arx:papers:2404.08475.

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2024Despite Absolute Information Advantages, All Investors Incur Welfare Loss. (2024). Ye, QI ; Liang, Zongxia. In: Papers. RePEc:arx:papers:2405.08822.

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2023Belief aggregation for representative agent models. (2023). Zimper, Alexander. In: International Journal of Economic Theory. RePEc:bla:ijethy:v:19:y:2023:i:2:p:309-342.

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2023Linkages between natural gas, fertiliser and cereal prices: A note. (2023). Baek, Jungho ; Miljkovic, Dragan ; Vatsa, Puneet. In: Journal of Agricultural Economics. RePEc:bla:jageco:v:74:y:2023:i:3:p:935-940.

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2023Beliefs Aggregation and Return Predictability. (2023). Wang, Yajun ; Obizhaeva, Anna A ; Kyle, Albert S. In: Journal of Finance. RePEc:bla:jfinan:v:78:y:2023:i:1:p:427-486.

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2024Fiscal Policy and the Balance Sheet of the Private Sector. (2024). von Thadden, Ernst-Ludwig ; Rochet, Jean-Charles ; Gersbach, Hans. In: CRC TR 224 Discussion Paper Series. RePEc:bon:boncrc:crctr224_2024_544.

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2024How asset transformation matters for the fate of technology-led banks?. (2024). Lamani, Viola ; Bedu, Nicolas ; Miera, Maxence. In: Economics Bulletin. RePEc:ebl:ecbull:eb-23-00328.

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2023Estimated Impact of Covid-19 on Exchange Rate Risk of Multinational Enterprises Operating in Emerging Markets. (2023). Khazeh, Kashi ; Manakyan, Herman ; Arvi, Leonard. In: International Journal of Economics and Financial Issues. RePEc:eco:journ1:2023-04-4.

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2023Optimal investment problem under behavioral setting: A Lagrange duality perspective. (2023). Fan, Jiacheng ; Cui, Zhenyu ; Bi, Xiuchun ; Zhang, Shuguang ; Yuan, Lvning. In: Journal of Economic Dynamics and Control. RePEc:eee:dyncon:v:156:y:2023:i:c:s0165188923001574.

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2023Sustainable investment under ESG volatility and ambiguity. (2023). Yan, Qianhui ; Shan, Xun ; Luo, Deqing. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s0264999323002833.

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2023Regime-dependent effects of macroeconomic uncertainty on realized volatility in the U.S. stock market. (2023). Garrett, Ian ; Liu, Wei. In: Economic Modelling. RePEc:eee:ecmode:v:128:y:2023:i:c:s026499932300295x.

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2023Information asymmetry, sentiment interactions, and asset price. (2023). Zhang, Weiguo. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:67:y:2023:i:c:s1062940823000438.

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2024Multiple time scales investor sentiment impact the stock market index fluctuation: From margin trading business perspective. (2024). Song, Yingying ; Guo, Yanhong ; Chen, Xinxin. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pa:s106294082300150x.

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2024Dynamic robust portfolio selection under market distress. (2024). Olmo, Jose ; Jiang, Yifu ; Atwi, Majed. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:69:y:2024:i:pb:s1062940823001602.

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2024Frequency spillover effects and cross-quantile dependence between crude oil and stock markets: Evidence from BRICS and G7 countries. (2024). Li, Shuang ; Ye, Fangyu ; Huang, XI ; Zhu, Huiming. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:70:y:2024:i:c:s1062940823001857.

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2024Heterogeneous beliefs with information processing capacity constraints and asset pricing in a monetary economy. (2024). Hu, Duni ; Wang, Hailong. In: The North American Journal of Economics and Finance. RePEc:eee:ecofin:v:72:y:2024:i:c:s1062940824000688.

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2023A discrete-time hedging framework with multiple factors and fat tails: On what matters. (2023). Begin, Jean-Franois ; Badescu, Alexandru ; Augustyniak, Maciej. In: Journal of Econometrics. RePEc:eee:econom:v:232:y:2023:i:2:p:416-444.

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2023Optimal management of DC pension fund under the relative performance ratio and VaR constraint. (2023). Xia, YI ; Liang, Zongxia ; Guan, Guohui. In: European Journal of Operational Research. RePEc:eee:ejores:v:305:y:2023:i:2:p:868-886.

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2023Portfolio selection with exploration of new investment assets. (2023). Strub, Moris S ; Sornette, Didier ; de Gennaro, Luca. In: European Journal of Operational Research. RePEc:eee:ejores:v:310:y:2023:i:2:p:773-792.

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2023Optimal reinsurance-investment strategy with thinning dependence and delay factors under mean-variance framework. (2023). Yuen, Kam Chuen ; Liang, Zhibin ; Han, Xia ; Yuan, YU. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:2:p:581-595.

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2023A unified algorithm framework for mean-variance optimization in discounted Markov decision processes. (2023). Xia, LI ; Ma, Xiaoteng. In: European Journal of Operational Research. RePEc:eee:ejores:v:311:y:2023:i:3:p:1057-1067.

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2024First passage times in portfolio optimization: A novel nonparametric approach. (2024). , Paulo ; Nicolau, Joo ; Zsurkis, Gabriel. In: European Journal of Operational Research. RePEc:eee:ejores:v:312:y:2024:i:3:p:1074-1085.

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2024Across-time risk-aware strategies for outperforming a benchmark. (2024). Li, Yuying ; Forsyth, Peter A ; van Staden, Pieter M. In: European Journal of Operational Research. RePEc:eee:ejores:v:313:y:2024:i:2:p:776-800.

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2024Robo-advising: Optimal investment with mismeasured and unstable risk preferences. (2024). Keffert, Henk. In: European Journal of Operational Research. RePEc:eee:ejores:v:315:y:2024:i:1:p:378-392.

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2024Mutual fund tournaments: State-dependent risk taking with transaction costs. (2024). Luo, Ronghua ; Wang, Liang ; Zhao, LU. In: Emerging Markets Review. RePEc:eee:ememar:v:59:y:2024:i:c:s1566014124000141.

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2023Disagreement, speculation, and the idiosyncratic volatility. (2023). Jiang, Ying ; Pan, Jiening ; Wu, KE ; Wang, Jianqiu. In: Journal of Empirical Finance. RePEc:eee:empfin:v:72:y:2023:i:c:p:232-250.

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2023What drives the TIPS–Treasury bond mispricing?. (2023). Ahn, Yongkil. In: Journal of Empirical Finance. RePEc:eee:empfin:v:74:y:2023:i:c:s0927539823001056.

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2023Stochastic ordering of systemic risk in commodity markets. (2023). Morelli, Giacomo. In: Energy Economics. RePEc:eee:eneeco:v:117:y:2023:i:c:s0140988322005758.

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2023A threshold effect of COVID-19 risk on oil price returns. (2023). Wang, YU ; Suo, Chenyi ; Li, Delong ; Sun, Yiguo. In: Energy Economics. RePEc:eee:eneeco:v:120:y:2023:i:c:s0140988323001160.

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2023Financial stress and commodity price volatility. (2023). Verousis, Thanos ; Zhou, Zhiping ; Wang, Kai ; Chen, Louisa. In: Energy Economics. RePEc:eee:eneeco:v:125:y:2023:i:c:s0140988323003729.

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2023The predictive effect of risk aversion on oil returns under different market conditions. (2023). Wang, Yudong ; Xiao, Jihong ; Wen, Danyan. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s014098832300467x.

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2023Herd and causality dynamics between energy commodities and ethical investment: Evidence from the different phases of the COVID-19 pandemic. (2023). Fromentin, Vincent ; Mohamad, Azhar. In: Energy Economics. RePEc:eee:eneeco:v:126:y:2023:i:c:s0140988323004991.

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2024Does oil spin the commodity wheel? Quantile connectedness with a common factor error structure across energy and agricultural markets. (2024). Parhi, Mamata ; Enilov, Martin ; Zhou, Xiaoran. In: Energy Economics. RePEc:eee:eneeco:v:132:y:2024:i:c:s0140988324001762.

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2023Impact of geopolitical risks on investor attention and speculation in the oil market: Evidence from nonlinear and time-varying analysis. (2023). He, Zhifang ; Wen, Fenghua ; Xiao, Jihong. In: Energy. RePEc:eee:energy:v:267:y:2023:i:c:s036054422203451x.

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2023An empirical investigation of multiperiod tail risk forecasting models. (2023). Qi, Shuyuan ; Su, Xiaoman ; Zhang, Ning. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000145.

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2023Random sources correlations and carbon futures pricing. (2023). Wang, Jieyu ; Feng, Ling. In: International Review of Financial Analysis. RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000455.

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2023Co-movement between commodity and equity markets revisited—An application of the Thick Pen method. (2023). Lee, Seungho ; Durand, Robert B ; Gronwald, Marc ; Wadud, Sania. In: International Review of Financial Analysis. RePEc:eee:finana:v:87:y:2023:i:c:s1057521923000844.

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2023Commodity market financialization, herding and signals: An asymmetric GARCH R-vine copula approach. (2023). Zhang, Dalu ; Yan, Meilan ; Xiao, Qin. In: International Review of Financial Analysis. RePEc:eee:finana:v:89:y:2023:i:c:s1057521923002594.

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2024The sources of portfolio volatility and mutual fund performance. (2024). Rakowski, David ; Vafai, Nima. In: International Review of Financial Analysis. RePEc:eee:finana:v:91:y:2024:i:c:s105752192300501x.

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2024Beyond active share: Boosting fund performance through common holdings with same-benchmark mutual funds. (2024). Wang, Danxia. In: International Review of Financial Analysis. RePEc:eee:finana:v:92:y:2024:i:c:s1057521924000279.

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2024Do commodity futures have a steering effect on the spot stock market in China? New evidence from volatility forecasting. (2024). Liao, Yin ; Bouri, Elie ; Ma, Feng ; Lu, Fei. In: International Review of Financial Analysis. RePEc:eee:finana:v:94:y:2024:i:c:s1057521924001947.

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2023Traders’ heterogeneous beliefs about stock volatility and the implied volatility skew in financial options markets. (2023). Vagnani, Gianluca ; Marchetti, Fabio Massimo ; Nappo, Giovanna. In: Finance Research Letters. RePEc:eee:finlet:v:53:y:2023:i:c:s1544612323000387.

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2024Can ChatGPT improve investment decisions? From a portfolio management perspective. (2024). Lee, Jaewook ; Ko, Hyungjin. In: Finance Research Letters. RePEc:eee:finlet:v:64:y:2024:i:c:s154461232400463x.

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2023Market power, ambiguity, and market participation. (2023). Zhang, Shunming ; Wang, Yanyi ; Qiu, Zhigang. In: Journal of Financial Markets. RePEc:eee:finmar:v:62:y:2023:i:c:s1386418122000520.

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2023Optimal portfolio selection with VaR and portfolio insurance constraints under rank-dependent expected utility theory. (2023). Xu, Zuo Quan ; Mi, Hui. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:110:y:2023:i:c:p:82-105.

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2024A mean field game approach to optimal investment and risk control for competitive insurers. (2024). Zhou, Chao ; Wang, Shihua ; Bo, Lijun. In: Insurance: Mathematics and Economics. RePEc:eee:insuma:v:116:y:2024:i:c:p:202-217.

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2023Optimizing portfolios for the BREXIT: An equity-commodity analysis of US, European and BRICS markets. (2023). Goutte, Stéphane ; Gana, Marjene ; Ayadi, Ahmed ; Guesmi, Khaled. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:89:y:2023:i:c:s1042443123001312.

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2024ESG and aggregate disagreement. (2024). Farag, Hisham ; Luo, DI. In: Journal of International Financial Markets, Institutions and Money. RePEc:eee:intfin:v:92:y:2024:i:c:s1042443124000386.

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2023Option Returns, Risk Premiums, and Demand Pressure in Energy Markets. (2023). Li, Bingxin ; Jacobs, Kris. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:146:y:2023:i:c:s0378426622002679.

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2023Impact of systemic risk regulation on optimal policies and asset prices. (2023). Cui, Xuecan ; Bernard, Carole. In: Journal of Banking & Finance. RePEc:eee:jbfina:v:154:y:2023:i:c:s0378426622002011.

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2023Money supply, opinion dispersion, and stock prices. (2023). Hirota, Shinichi. In: Journal of Economic Behavior & Organization. RePEc:eee:jeborg:v:212:y:2023:i:c:p:1286-1310.

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2024Price impact under heterogeneous beliefs and restricted participation. (2024). Kardaras, Constantinos ; Anthropelos, Michail. In: Journal of Economic Theory. RePEc:eee:jetheo:v:215:y:2024:i:c:s0022053123001709.

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2024Arbitrage with financial constraints and market power. (2024). Fardeau, Vincent. In: Journal of Economic Theory. RePEc:eee:jetheo:v:217:y:2024:i:c:s0022053124000310.

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2023Institutional investors, heterogeneous benchmarks and the comovement of asset prices. (2023). Hodor, Idan ; Buffa, Andrea M. In: Journal of Financial Economics. RePEc:eee:jfinec:v:147:y:2023:i:2:p:352-381.

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2023Asset holders’ consumption risk and tests of conditional CCAPM. (2023). Jo, Chanik ; Elkamhi, Redouane. In: Journal of Financial Economics. RePEc:eee:jfinec:v:148:y:2023:i:3:p:220-244.

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2023International trade and the risk in bilateral exchange rates. (2023). Loualiche, Erik ; Hassan, Ramin ; Ward, Colin ; Pecora, Alexandre R. In: Journal of Financial Economics. RePEc:eee:jfinec:v:150:y:2023:i:2:s0304405x23001435.

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2023Commodity price effects on currencies. (2023). Cheung, Yin-Wong ; Wang, Wenhao. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:130:y:2023:i:c:s0261560622001486.

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2024Commodity returns co-movement, uncertainty shocks, and the US dollar exchange rate. (2024). Zhang, Chengsi ; Ma, Jun ; Liao, Wenting. In: Journal of International Money and Finance. RePEc:eee:jimfin:v:143:y:2024:i:c:s0261560624000433.

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2023Tail dependence, dynamic linkages, and extreme spillover between the stock and Chinas commodity markets. (2023). Wang, Suhui. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:29:y:2023:i:c:s2405851323000028.

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2023The relative pricing of WTI and Brent crude oil futures: Expectations or risk premia?. (2023). Liu, Rui ; Gao, Xin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000319.

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2023The economic impact of daily volatility persistence on energy markets. (2023). Wang, Jianxin ; Thomas, Alice Carole ; Nikitopoulos, Christina Sklibosios. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851322000423.

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2023Financialization of commodity markets ten years later. (2023). Wang, Ningli ; Tang, KE ; Kang, Wenjin. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s240585132300003x.

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2023Microstructure and high-frequency price discovery in the soybean complex. (2023). Debie, Philippe ; Gohin, Alexandre ; Bagnarosa, Guillaume ; Zhou, Xinquan. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:30:y:2023:i:c:s2405851323000041.

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2023The impact of financialization on the efficiency of commodity futures markets. (2023). Sulewski, Christoph ; Putz, Alexander ; Irwin, Scott H ; Bohl, Martin T. In: Journal of Commodity Markets. RePEc:eee:jocoma:v:31:y:2023:i:c:s240585132300020x.

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More than 100 citations found, this list is not complete...

Works by Suleyman Basak:

YearTitleTypeCited
2009Strategic Asset Allocation in Money Management In: Working Papers.
[Full Text][Citation analysis]		paper40
2014Strategic Asset Allocation in Money Management.(2014) In: Journal of Finance.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		article
2009Strategic Asset Allocation in Money Management.(2009) In: Working Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2011Strategic Asset Allocation in Money Management.(2011) In: CEPR Discussion Papers.
[Full Text][Citation analysis]
This paper has nother version. Agregated cites: 40		paper
2010Difference in Interim Performance and Risk Taking with Short-sale Constraints In: Working Papers.
[Full Text][Citation analysis]		paper15
2010Difference in Interim Performance and Risk Taking with Short-sale Constraints.(2010) In: Working Papers.
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2010Difference in Interim Performance and Risk Taking with Short-Sale Constraints.(2010) In: CEPR Discussion Papers.
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2012Difference in interim performance and risk taking with short-sale constraints.(2012) In: Journal of Financial Economics.
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2013Competition among Portfolio Managers and Asset Specialization In: Working Papers.
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2013Competition among Portfolio Managers and Asset Specialization.(2013) In: Working Papers.
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2013Asset Prices and Institutional Investors In: American Economic Review.
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2012Asset Prices and Institutional Investors.(2012) In: CEPR Discussion Papers.
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2016A Model of Financialization of Commodities In: Journal of Finance.
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2015A Model of Financialization of Commodities.(2015) In: CEPR Discussion Papers.
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2018Belief Dispersion in the Stock Market In: Journal of Finance.
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2017Belief Dispersion in the Stock Market.(2017) In: CEPR Discussion Papers.
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1999Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium In: Mathematical Finance.
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1998Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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1998Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two-Country Dynamic Monetary Equilibrium.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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1998Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium.(1998) In: Weiss Center Working Papers.
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1998Capital Market Equilibrium with Differential Taxation.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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2003Capital Market Equilibrium with Differential Taxation.(2003) In: Review of Finance.
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2018Option Prices and Costly Short-Selling In: CEPR Discussion Papers.
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2019Option prices and costly short-selling.(2019) In: Journal of Financial Economics.
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2019Investor Protection and Asset Prices In: CEPR Discussion Papers.
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2019Investor protection and asset prices.(2019) In: LSE Research Online Documents on Economics.
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2018Investor protection and asset prices.(2018) In: LSE Research Online Documents on Economics.
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2019Investor Protection and Asset Prices.(2019) In: The Review of Financial Studies.
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2020Security Design with Status Concerns In: CEPR Discussion Papers.
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2020Security design with status concerns.(2020) In: Journal of Economic Dynamics and Control.
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2002A Model of Credit Risk, Optimal Policies and Asset Prices In: CEPR Discussion Papers.
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2005A Model of Credit Risk, Optimal Policies, and Asset Prices.(2005) In: The Journal of Business.
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2002A Dynamic Model with Import Quota Constraints In: CEPR Discussion Papers.
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2003A DYNAMIC MODEL WITH IMPORT QUOTA CONSTRAINTS.(2003) In: Working papers.
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2004A Dynamic Model with Import Quota Constraints.(2004) In: Working papers.
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2002Monopoly Power and the Firms Valuation: A Dynamic Analysis of Short versus Long-Term Policies In: CEPR Discussion Papers.
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2003MONOPOLY POWER AND THE FIRMS VALUATION: A DYNAMIC ANALYSIS OF SHORT VERSUS LONG-TERM POLICIES.(2003) In: Working papers.
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2004Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies.(2004) In: Economic Theory.
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2005Monopoly Power and the Firm’s Valuation: A Dynamic Analysis of Short versus Long-Term Policies.(2005) In: Studies in Economic Theory.
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2003International Good Market Segmentation and Financial Market Structure In: CEPR Discussion Papers.
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2004Asset Prices with Heterogenous Beliefs In: CEPR Discussion Papers.
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2004On the Role of Arbitrageurs in Rational Markets In: CEPR Discussion Papers.
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2006On the role of arbitrageurs in rational markets.(2006) In: Journal of Financial Economics.
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2005Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management In: CEPR Discussion Papers.
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2004Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management.(2004) In: Econometric Society 2004 North American Winter Meetings.
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2003Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management.(2003) In: Working papers.
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2005Risk Management with Benchmarking In: CEPR Discussion Papers.
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2006Risk Management with Benchmarking.(2006) In: Management Science.
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2006Optimal Asset Allocation and Risk Shifting in Money Management In: CEPR Discussion Papers.
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2007Optimal Asset Allocation and Risk Shifting in Money Management.(2007) In: The Review of Financial Studies.
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2006Multiplicity in General Financial Equilibrium with Portfolio Constraints In: CEPR Discussion Papers.
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2008Multiplicity in general financial equilibrium with portfolio constraints.(2008) In: Journal of Economic Theory.
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2009Dynamic Mean-Variance Asset Allocation In: CEPR Discussion Papers.
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2010Dynamic Mean-Variance Asset Allocation.(2010) In: The Review of Financial Studies.
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2009Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion In: CEPR Discussion Papers.
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2010Equilibrium Asset Prices and Investor Behaviour in the Presence of Money Illusion.(2010) In: The Review of Economic Studies.
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2011Dynamic Hedging in Incomplete Markets: A Simple Solution In: CEPR Discussion Papers.
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2011Dynamic hedging in incomplete markets: a simple solution.(2011) In: LSE Research Online Documents on Economics.
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2012Dynamic Hedging in Incomplete Markets: A Simple Solution.(2012) In: The Review of Financial Studies.
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2009Dynamic Hedging in Incomplete Markets: A Simple Solution.(2009) In: 2009 Meeting Papers.
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1996An Intertemporal Model of International Capital Market Segmentation In: Journal of Financial and Quantitative Analysis.
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1999On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis In: Journal of Economic Dynamics and Control.
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1998On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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2000A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk In: Journal of Economic Dynamics and Control.
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2002A comparative study of portfolio insurance In: Journal of Economic Dynamics and Control.
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2007International good market segmentation and financial innovation In: Journal of International Economics.
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2005Asset pricing with heterogeneous beliefs In: Journal of Banking & Finance.
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2008Offsetting the implicit incentives: Benefits of benchmarking in money management In: Journal of Banking & Finance.
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2001Non-linear taxation, tax-arbitrage and equilibrium asset prices In: Journal of Mathematical Economics.
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1999Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1999Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1999Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices In: New York University, Leonard N. Stern School Finance Department Working Paper Seires.
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1999Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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1999Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices.(1999) In: Rodney L. White Center for Financial Research Working Papers.
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2001Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices..(2001) In: The Review of Financial Studies.
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2001A General Equilibrium Model of Portfolio Insurance (Reprint 053) In: Rodney L. White Center for Financial Research Working Papers.
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1993A General Equilibrium Model of Portfolio Insurance..(1993) In: Rodney L. White Center for Financial Research Working Papers.
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2001An Equilibrium Model with Restricted Stock Market Participation (Reprint 066) In: Rodney L. White Center for Financial Research Working Papers.
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1997An Equilibrium Model with Restricted Stock Market Participation (Reprint 066).(1997) In: Rodney L. White Center for Financial Research Working Papers.
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1997A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk. In: Rodney L. White Center for Financial Research Working Papers.
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1997A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk.(1997) In: Rodney L. White Center for Financial Research Working Papers.
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1998Capital Market Equilibrium with Mispricing and Arbitrage Activity In: Rodney L. White Center for Financial Research Working Papers.
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1998Capital Market Equilibrium with Mispricing and Arbitrage Activity.(1998) In: Rodney L. White Center for Financial Research Working Papers.
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1995Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062) In: Rodney L. White Center for Financial Research Working Papers.
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1995Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062).(1995) In: Rodney L. White Center for Financial Research Working Papers.
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1994Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95) In: Rodney L. White Center for Financial Research Working Papers.
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1994Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95).(1994) In: Rodney L. White Center for Financial Research Working Papers.
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1995An Intertemporal Model of Segmentation (Reprint 056) In: Rodney L. White Center for Financial Research Working Papers.
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1995An Intertemporal Model of Segmentation (Reprint 056).(1995) In: Rodney L. White Center for Financial Research Working Papers.
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1999Equilibrium Mispricing in a Capital Market with Portfolio Constraints In: Rodney L. White Center for Financial Research Working Papers.
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2000Equilibrium Mispricing in a Capital Market with Portfolio Constraints..(2000) In: The Review of Financial Studies.
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2004Monopoly Power and the Firm€ٳ Valuation: In: Working papers.
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1998An Equilibrium Model with Restricted Stock Market Participation. In: The Review of Financial Studies.
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2024Dynamic Equilibrium with Costly Short-Selling and Lending Market In: The Review of Financial Studies.
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1995A General Equilibrium Model of Portfolio Insurance. In: The Review of Financial Studies.
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2006Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints In: PIER Working Paper Archive.
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2006Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version In: PIER Working Paper Archive.
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2016A Theory of Operational Risk In: 2016 Meeting Papers.
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1997Consumption choice and asset pricing with a non-price-taking agent In: Economic Theory.
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