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