Georgios Skoulakis

Assistant Professor

Finance Department

R. H. Smith School of Business

University of Maryland

E-mail: gskoulak at rhsmith dot umd dot edu

Phone number: (301) 405-2934

Fax number: (301) 405-0359

Falassarna, Crete

Research Interests:

● Portfolio Choice

● Asset Pricing

● Computational Economics

● Financial Econometrics

Working Papers:

● Do subjective expectations explain asset pricing puzzles? [PDF], 2008, with G. Bakshi.

● Taylor series approximations to expected utility and portfolio choice [PDF], 2008, with L. Garlappi.

● A state variable decomposition approach for solving portfolio choice problems [PDF], 2008, with L. Garlappi.

● Dynamic portfolio choice with Bayesian learning [PDF], 2007.

● Panel data inference in Finance: Least-Squares vs Fama-MacBeth [PDF], 2006.

● Assessment of asset pricing models using cross-sectional regressions [PDF], 2005.

● On a paradox in GMM estimation with nuisance parameters [PDF], 2006.

Publications:

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

Computational Economics, forthcoming, with L. Garlappi.

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

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.

● A recursive formula for computing central moments of a multivariate lognormal distribution [PDF]

The American Statistician 62, 147-150, 2008.

● Ergodicity and existence of moments for local mixtures of linear autoregressions [PDF]

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

● Generalized method of moments: applications in Finance [PDF]

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

● Superprocesses over a stochastic flow [PDF]

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

● A general shock model for a reliability system [PDF]

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