Valery Polkovnichenko

Welcome to my research page.

Contact Information:

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

Site Meter

Google citations page

My papers at SSRN library

CV

Research Interests:

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

Publications:
  • “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 Abstract and working paper (last unpublished version).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 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. 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:

  • 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.