Valery Polkovnichenko

Welcome to my research page.

Contact Information:

Principal Economist
Board of Governors of the Federal Reserve System
Washington DC 20551

and

Associate Professor
Finance and Managerial Economics
Jindal School of Management
University of Texas at Dallas
800 W. Campbell Rd (SM 31)
Richardson, TX 75080

E-mail: polkovn at utdallas dot edu
or
valery dot y dot polkovnichenko at frb dot gov

Google citations page

My papers at SSRN library

CV

Research Interests:

Asset pricing, Portfolio choice, Incomplete markets, Heterogeneous agents, Non-expected utility preferences

Publications:
  • "Cautious Risk Takers: Investor Preferences and Demand for Active Management," 2017, with Kelsey Wei and Feng Zhao, forthcoming The Journal of Finance (Abstract and working paper last SSRN version)
  • “Fiscal Policy and Asset Prices with Incomplete Markets”, 2013, with Francisco Gomes and Alexander Michaelides, The Review of Financial Studies, 26(2), pp. 531-66
  • “Probability Weighting Functions Implied in Option Prices” 2013, with Feng Zhao, Journal of Financial Economics, 107(3), pp. 580-609. Abstract and working paper (last SSRN version).
  • “Risk attitude toward small and large bets in the presence of background risk”, 2011, with David Chapman, The Review of Finance, 15(4), pp. 909-27. Abstract and working paper (last unpublished version).
  • “Individual Investor Portfolios”, 2010, in “Behavioral Finance” (Robert Kolb series in Finance) by Kent Baker and John Nofsinger, eds., John Wiley & Sons, Hoboken, New Jersey.
  • "Wealth accumulation and portfolio choice with taxable and tax-deferred accounts," December 2009, with Francisco Gomes and Alexander Michaelides, Review of Economic Dynamics, 12(4), pp. 718-35. Reprinted in: Michael Haliassos (Ed.) ``Household finance'', Volume I, The International Library of Critical Writings in Economics series, Edward Elgar Publishing Abstract and working paper (last SSRN version).
  • "First Order Risk Aversion, Heterogeneity in Preferences and Asset Markets Outcomes," August 2009, with David Chapman, The Journal of Finance, 64(4), pp. 1863-88 Abstract and working paper (last SSRN version)
  • Life cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk", The Review of Financial Studies, January 2007, 20(1), pp. 83-124 Abstract and working paper (last SSRN version)
  • "Household Portfolio Diversification: A Case for Rank-Dependent Preferences," The Review of Financial Studies, Winter 2005, 18(4), pp.1467-1501. Reprinted in: Michael Haliassos (Ed.) ``Household finance'', Volume II, The International Library of Critical Writings in Economics series, Edward Elgar Publishing Abstract and working paper (last SSRN version)
  • "Limited Stock Market Participation and the Equity Premium," Finance Research Letters, 1(1), March 2004. Abstract and working paper (last SSRN version)
  • "Human Capital and the Private Equity Premium", Review of Economic Dynamics, 6(4), October 2003, pp. 831-845. Abstract and a working paper (last SSRN version)

Working Papers

Work in progress:

  • Firm financing policy and the sources of cash flow shocks (with Seong Buyn and Michael Rebello)
  • Quantitative analysis of economies with heterogeneous agents and investment adjustment costs (with Francisco Gomes and Alex Michaelides)
  • Heterogeneous preferences and the long run risk (with David Chapman)
  • Simulation-based analysis of multi-factor asset pricing models (with Yexiao Xu and Yihua Zhao)

Old working paper

  • “Competition in Financial Dealership Markets”, with Ilan Kremer, 2000. This paper won the Trefftz prize (best Ph.D. student paper) of the1999 WFA conference. Working paper.