Working Papers & Work in Progress

Oil and equity return predictability: The importance of dissecting oil price changes (with Haibo Jiang and Jinming Xue). SSRN link.

Testing ex-post implications of asset pricing models using individual stocks over short horizons (with Soohun Kim).

Do industry portfolios predict the aggregate market? A replication study (with Lorenzo Garlappi and Jinming Xue).

Investing for the long run while learning about whether returns are predictable  (with Lorenzo Garlappi and Chunyu Yang).

Dynamic portfolio choice: parameter uncertainty, learning, and hedging demands.

Publications

Simulating from polynomial-normal distributions, Communications in Statistics-Simulation and Computation, 48, 2019, 472-477.

Ex-post risk premia estimation and asset pricing tests using large cross sections: The regression-calibration approach (with Soohun Kim), Journal of Econometrics, 204, 2018, 159-188. Online Appendix

On the quality of Taylor approximations to expected utility, Applied Financial Economics, 22, 2012, 863-876. 

Taylor series approximations to expected utility and optimal portfolio choice (with Lorenzo Garlappi), Mathematics and Financial Economics, 5, 2011, 121-156.

Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios (with Gurdip Bakshi and George Panayotov), Journal of Financial Economics, 100, 2011, 475-495.

Do subjective expectations explain asset pricing puzzles? (with Gurdip Bakshi), Journal of Financial Economics, 98, 2010, 462-477.

Time series mixtures of generalized t experts: ML estimation and an application to stock return density forecasting (with Alexandre Carvalho), Econometric Reviews, 29, 2010, 642-687.

Solving consumption and portfolio choice problems: The state variable decomposition method (with Lorenzo Garlappi), Review of Financial Studies, 23, 2010, 3346-3400.

The analysis of the cross section of security returns (with Ravi Jagannathan and Zhenyu Wang), Handbook of Financial Econometrics, Vol. 2, 2009, 73-134, Y. Aït-Sahalia and L. Hansen (eds.).

Numerical solutions to dynamic portfolio problems: The case for value function iteration using Taylor approximation (with Lorenzo Garlappi), Computational Economics, 33, 2009, 193-207.

A recursive formula for computing central moments of a multivariate lognormal distribution, The American Statistician, 62, 2008, 147-150.

Ergodicity and existence of moments for local mixtures of linear autoregressions (with Alexandre Carvalho), Statistics and Probability Letters, 71, 2005, 313-322.

Generalized method of moments: applications in Finance (with Ravi Jagannathan and Zhenyu Wang), Journal of Business and Economics Statistics, 20, 2002, 470-481.

Superprocesses over a stochastic flow (with Robert Adler), Annals of Applied Probability, 11, 2001, 488-543.

A general shock model for a reliability system, Journal of Applied Probability, 37, 2000, 925-935.