NU_GraduationGeorgios Skoulakis

Assistant Professor

Finance Department

R. H. Smith School of Business

University of Maryland

E-mail: gskoulak@rhsmith.umd.edu

Phone number: (301) 405-2934

Fax number: (301) 405-0359

 

 

Φαίνεται να περνά καλά άθρωπος σα (μ)ποθάνει, για δεν εγιάγυρε κιανείς παράπονο να κάνει.

Ω τη (μ)παντέρμη τη ζωή κι ίντα λογιώς γυρίζει, ’ποσπέρας να ’ναι αστροφεγγιά και το πρωί χιονίζει.

   Κρητικές μαντινάδες

 

     Falassarna Sunset

        Falassarna, Crete, Greece

 

Curriculum Vitae

 

Research Interests:

 

      Portfolio Choice

      Asset Pricing

      Computational Economics

      Financial Econometrics

  

Working Papers:

 

      Do subjective expectations explain asset pricing puzzles?, 2009, with G. Bakshi.

      Taylor series approximations to expected utility and portfolio choice, 2009, with L. Garlappi.

      A state variable decomposition methodology for solving portfolio choice problems, 2009, with L. Garlappi.

      Dynamic portfolio choice with Bayesian learning, 2007.

      Panel data inference in Finance: Least-Squares vs Fama-MacBeth, 2006.

      Assessment of asset pricing models using cross-sectional regressions, 2005.

      On a paradox in GMM estimation with nuisance parameters, 2006.

 

Publications:

 

      Time series mixtures of generalized t experts: ML estimation and an application to stock return density forecasting

           Econometric Reviews, forthcoming, with A. Carvalho.

      The analysis of the cross section of security returns

           Handbook of Financial Econometrics, forthcoming, with R. Jagannathan and Z. Wang.

      Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation

           Computational Economics 33, 193-207, 2009, with L. Garlappi.

      A recursive formula for computing central moments of a multivariate lognormal distribution

           The American Statistician 62, 147-150, 2008.

      Ergodicity and existence of moments for local mixtures of linear autoregressions

           Statistics and Probability Letters 71, 313-322, 2005, with A. Carvalho.

             Generalized method of moments: applications in Finance

                  Journal of Business and Economics Statistics 20, 470-481, 2002, with R. Jagannathan and Z. Wang.

      Superprocesses over a stochastic flow

           Annals of Applied Probability 11, 488-543, 2001, with R. J. Adler.

      A general shock model for a reliability system

           Journal of Applied Probability 37, 925-935, 2000.

         

Miscellanea:

 

      Erdös number: 4

      Speeches by Professor Zolotas