Research


The Three P’s of Total Risk Management

Financial Analysts Journal 55 (1999), 13–26.

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Frontiers of Finance: Evolution and Efficient Markets

with J. Doyne Farmer, Proceedings of the National Academy of Sciences 96 (1999), 9991–9992.

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Optimal Control of Execution Costs

with Dimitris Bertsimas, Journal of Financial Markets 1 (1998), 1–50.

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Nonparametric Estimation of State-Price Densities Implicit In Financial Asset Prices

with Yacine Ait-Sahalia, Journal of Finance 52 (1998), 499–548.

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Fat Tails, Long Memory, and the Stock Market Since the 1960’s

Economic Notes 26 (1997), 219–252.

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Maximizing Predictability in the Stock and Bond Markets

with Craig MacKinlay, Macroeconomic Dynamics 1 (1997), 118–158.

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A Non-Random Walk Down Wall Street

The Proceedings of the 1994 Wiener Centennial Symposium, edited by D. Jerison, I. Singer, and D. Stroock. Providence, RI: American Mathematical Society.

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Securities Transaction Taxes: What Would Be Their Effects on Financial Markets and Institutions?

with John Heaton, False Hopes and Unintended Consequences, edited by Suzanne Hammond, 1995. Chicago, IL: Catalyst Institute

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Implementing Option Pricing Models When Asset Returns Are Predictable

with Jiang Wang, Journal of Finance 50 (1995), 87–129.

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Data-Snooping Biases in Financial Analysis

Blending Quantitative and Traditional Equity Analysis, edited by H. Russell Fogler, 1994. Charlottesville, VA: Association for Investment Management and Research

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