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Research

Working papers


"Option-Implied Correlations and the Price of Correlation Risk", (with Joost Driessen and Grigory Vilkov), October 2012.

"A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," (with Bernard Dumas), December 2003.

Publications

"The World Price of Jump and Volatility Risk," (with Joost Driessen), forthcoming in Journal of Banking and Finance, 2013.

"The Price of Correlation Risk: Evidence from Equity Options", (with Joost Driessen and Grigory Vilkov), Journal of Finance 64 (3), 1375-1404, 2009.

"Does Skin in the Game Matter? Director Incentives and Governance in the Mutual Fund Industry", (with Martijn Cremers, Joost Driessen and David Weinbaum), Journal
of Financial and Quantitative Analysis 44 (6), 1345-1373, 2009.

"Individual Stock-Option Prices and Credit Spreads," (with Martijn Cremers, Joost Driessen and David Weinbaum), Journal of Banking and Finance 32, 2706-2715, 2008.

"Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model," (with Martijn Cremers and Joost Driessen), Review of Financial Studies
21 (5), 2209-2242, 2008.

"An Empirical Portfolio Perspective on Option Pricing Anomalies," (with Joost Driessen), Review of Finance 11 (4), 561-603 (lead article), 2007.

"Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, 128(1), 136-163, 2006.

"Consumption and Portfolio Choice Over the Life-Cycle," (with João Cocco and Francisco Gomes), Review of Financial Studies, 18(2), 491-533, 2005

"Robust Portfolio Rules and Asset Pricing," Review of Financial Studies, 17 (4), 951-983, 2004.

"Discussion of 'Robustness and Pricing with Uncertain Growth'," Review of Financial Studies, 15 (2), 405-412, 2002.

"Stock Market Mean Reversion and the Optimal Equity Allocation of a Long Lived Investor," (with John Y. Campbell, João Cocco, Francisco Gomes and Luis Viceira), European Finance Review, 5, 269-292, 2001.

"Investing Retirement Wealth: A Life-Cycle Model," (with John Y. Campbell, João Cocco and Francisco Gomes), in John Campbell and Martin Feldstein (eds.), Risk Aspects of Social Security Reform, University of Chicago Press, 2000.

 


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