Publications
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On the quality of Taylor approximations to expected utility, Applied Financial Economics, 22, 2012, 863-876.
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Taylor series approximations to expected utility and optimal portfolio choice (with L. Garlappi), Mathematics and Financial Economics, 5, 2011, 121-156.
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Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios (with G. Bakshi and G. Panayotov), Journal of Financial Economics, 100, 2011, 475-495.
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Do subjective expectations explain asset pricing puzzles? (with G. Bakshi), Journal of Financial Economics, 98, 2010, 462-477.
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Time series mixtures of generalized t experts: ML estimation and an application to stock return density forecasting (with A. Carvalho), Econometric Reviews, 29, 2010, 642-687.
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Solving consumption and portfolio choice problems: The state variable decomposition method (with L. Garlappi), Review of Financial Studies, 23, 2010, 3346-3400.
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The analysis of the cross section of security returns (with R. Jagannathan and Z. Wang), Handbook of Financial Econometrics, Vol. 2, 2009, 73-134, Y. Aït-Sahalia and L. Hansen (eds.).
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Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation (with L. Garlappi), Computational Economics, 33, 2009, 193-207.
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A recursive formula for computing central moments of a multivariate lognormal distribution, The American Statistician, 62, 2008, 147-150.
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Ergodicity and existence of moments for local mixtures of linear autoregressions (with A. Carvalho), Statistics and Probability Letters, 71, 2005, 313-322.
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Generalized method of moments: applications in Finance (with R. Jagannathan and Z. Wang), Journal of Business and Economics Statistics, 20, 2002, 470-481.
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Superprocesses over a stochastic flow (with R. Adler), Annals of Applied Probability, 11, 2001, 488-543.
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A general shock model for a reliability system, Journal of Applied Probability, 37, 2000, 925-935.