Dmitry Makarov - Homepage

Research Interests: Asset pricing, portfolio choice, portfolio management, ambiguity aversion

My latest CV can be downloaded here

PUBLICATIONS:

• Optimal portfolio  under ambiguous ambiguity, 2021, Finance Research Letters, forthcoming.

• Security design with status concerns,  Journal of Economic Dynamics and Control, 2020, 118, 103976, with S. Basak (LBS), A.Shapiro (NYU), and M. Subrahmanyam (NYU)

• Strategic asset allocation in money management,  Journal of Finance, 2014, 69, 179–217, with S. Basak (LBS)

  • Difference in interim performance and risk taking with short-sale constraints,  Journal of Financial Economics, 2012, 103, 377–392, with S. Basak (LBS)

• A note on wealth effect under CARA utility,  Finance Research Letters, 2010, 7, 170–177, with A. Schornick

WORKING PAPERS:

• Ambiguity-seeking under smooth ambiguity: a comment on "Alpha as ambiguity: robust mean-variance portfolio analysis", 2021

• On ambiguity-seeking behavior in finance models with smooth ambiguity, 2021.

        Presentations: Moscow Finance International Conference, Eurofidai Paris Finance Conference, Econometric Society Meeting, WFB Symposium, Southwestern Finance Association Meeting,  Eastern Finance Association Meeting, 10th AQF seminar.

        Summary:  We argue that there is neither technical nor empirical reason to disregard ambiguity-seeking  behavior, as universally done in the smooth ambiguity finance literature 

• Household investments, limited participation and equity premium with wealth heterogeneity, with A. Schornick, 2014, R&R at Review of Finance, presented at EFMA 2016.

• Competition among portfolio managers and asset specialization, with S. Basak, 

• 2015, presented at WFA 2015, EUROFIDAI 2014.

• Capital market equilibrium with competition among institutional investors, with S. Glebkin, 2012, presented at EFMA 2012.