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Dynamic portfolio selection by augmenting the asset space
Michael W. Brandt, Pedro Santa-Clara
Bok Engelsk 2004
Parametric portfolio policies : Exploiting characteristics in the cross-section of equity returns
Michael W. Brandt, Pedro Santa-Clara, Ros...
Bok Engelsk 2004
Predicting volatility : getting the most out of return data sampled at different frequencies
Eric Ghysels, Pedro Santa-Clara, Rossen V...
Bok Engelsk 2004
There is a risk-return tradeoff after all
Eric Ghysels, Pedro Santa-Clara, Rossen V...
Bok Engelsk 2004
Jump and volatility risk and risk premia : a new model and lessons from 500 options
Pedro Santa-Clara, Shu Yan
Bok Engelsk 2004
Two trees : asset price dynamics induced by market clearing
John H. Cochrane, Francis A. Longstaff, P...
Bok Engelsk 2003
International risk sharing is better than you think : (or exchange rates are much too smooth)

Bok Engelsk 2001