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- Ravi Jagannathan, Tongshu Ma, +10 authors Jay Shanken
- 2002

Green and Hollifield (1992) argue that the presence of a dominant factor is why we observe extreme negative weights in mean-variance-efficient portfolios constructed using sample moments. In that case imposing no-shortsale constraints should hurt whereas empirical evidence is often to the contrary. We reconcile this apparent contradiction. We explain why… (More)

- Geert Bekaert, Campbell R. Harvey, +6 authors Guojun Wu
- 1997

Understanding volatility in emerging capital markets is important for determining the cost of capital and for evaluating direct investment and asset allocation decisions. We provide an approach that allows the relative importance of world and local information to change through time in both the expected returns and conditional variance processes. Our… (More)

- Peter Carr, Dilip B. Madan, +4 authors Steve Ross
- 1999

We present a new approach for positioning, pricing, and hedging in incomplete markets that bridges standard arbitrage pricing and expected utility maximization. Our approach for determining whether an investor should undertake a particular position involves specifying a set of probability measures and associated °oors which expected payo®s must exceed in… (More)

We propose a dynamic equilibrium model of a multi-asset market with stochastic volatility and transaction costs. Our key assumption is that investors are fund managers, subject to withdrawals when fund performance falls below a threshold. This generates a preference for liquidity that is time-varying and increasing with volatility. We show that during… (More)

- Jay SHANKEN, Nai Fu Chen, Craig Mainlay, Dick Roll, Steve Ross, Gonzalo Rubio
- 1985

A 'cross-sectional regression test' (CSRT) of the CAPM is developed and its connection to the Hotelling T* test of multivariate statistical analysis is explored. Algebraic relations between the CSRT, the likelihood ratio test and the Lagrange multiplier test are derived and a useful small-sample bound on the distribution function of the CSRT is obtained. An… (More)

- Junfu Zhang, Alex Anas, +4 authors Steve Ross
- 2008

This paper presents a Schelling-type checkerboard model of residential segregation formulated as a spatial game. It shows that although every agent prefers to live in a mixed-race neighborhood, complete segregation is observed almost all of the time. A concept of tipping is rigorously defined, which is crucial for understanding the dynamics of segregation.… (More)

- JONATHAN B. BERK, RICHARD STANTON, +7 authors Laura Starks
- 2007

This paper shows that the existence of managerial ability, combined with the labor contract prevalent in the industry, implies that the closed-end fund discount should exhibit many of the primary features documented in the literature. We evaluate the model's ability to match the quantitative features of the data, and find that it does well, although there… (More)

- Hong Liu, Jiongmin Yong, +4 authors Jiang Wang
- 2003

We examine how price impact in the underlying asset market affects the repli-cation of a European contingent claim. We obtain a generalized Black-Scholes pricing PDE and establish the existence and uniqueness of a classical solution to this PDE. We show that unlike the case with transaction costs, replication in the presence of price impact is always… (More)

The risk return relation is a staple of modern finance. When risk is measured by volatility, it is well known that option prices convey risk. In a parametric Marko-vian setting, risk-neutral transition probabilities can also be determined from option prices. Recently, Ross has shown that real-world transition probabilities of a Marko-vian state variable can… (More)

- Laure Ségurel, Emma E Thompson, +9 authors Molly Przeworski
- Proceedings of the National Academy of Sciences…
- 2012

The ABO histo-blood group, the critical determinant of transfusion incompatibility, was the first genetic polymorphism discovered in humans. Remarkably, ABO antigens are also polymorphic in many other primates, with the same two amino acid changes responsible for A and B specificity in all species sequenced to date. Whether this recurrence of A and B… (More)