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DYNAMIC PORTFOLIO SELECTION BY AUGMENTING THE ASSET SPACE
Brandt, Michael W.; Santa-Clara, Pedro - 2004
Persistent link: https://www.econbiz.de/10006964405
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INTERNATIONAL RISK SHARING IS BETTER THAN YOU THINK (OR EXCHANGE RATES ARE MUCH TOO SMOOTH)
Brandt, Michael W.; Cochrane, John H.; Santa-Clara, Pedro - 2001
Persistent link: https://www.econbiz.de/10006978168
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PARAMETRIC PORTFOLIO POLICIES: EXPLOITING CHARACTERISTICS IN THE CROSS-SECTION OF EQUITY RETURNS
Brandt, Michael W.; Santa-Clara, Pedro; Valkanov, Roseen - 2004
Persistent link: https://www.econbiz.de/10006960923
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A SIMULATION APPROACH TO DYNAMIC PORTFOLIO CHOICE WITH AN APPLICATION TO LEARNING ABOUT RETURN PREDICTABILITY
Brandt, Michael W.; Goyal, Amit; Santa-Clara, Pedro; … - 2004
Persistent link: https://www.econbiz.de/10006961122
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TWO TREES: ASSET PRICE DYNAMICS INDUCED BY MARKET CLEARING
Cochrane, John H.; Longstaff, Francis A.; Santa-Clara, Pedro - 2003
Persistent link: https://www.econbiz.de/10006966055
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PROFESSOR ZIPF GOES TO WALL STREET
Malevergne, Yannick; Santa-Clara, Pedro; Sornette, Didier - 2009
Persistent link: https://www.econbiz.de/10008308787
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FORECASTING STOCK MARKET RETURNS: THE SUM OF THE PARTS IS MORE THAN THE WHOLE
Ferreira, Miguel A.; Santa-Clara, Pedro - 2008
Persistent link: https://www.econbiz.de/10008165261
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JUMP AND VOLATILITY RISK AND RISK PREMIA: A NEW MODEL AND LESSONS FROM S&P 500 OPTIONS
Santa-Clara, Pedro; Yan, Shu - 2004
Persistent link: https://www.econbiz.de/10007784481
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PREDICTING VOLATILITY: GETTING THE MOST OUT OF RETURN DATA SAMPLED AT DIFFERENT FREQUENCIES
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004
Persistent link: https://www.econbiz.de/10006961095
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THERE IS A RISK-RETURN TRADEOFF AFTER ALL
Ghysels, Eric; Santa-Clara, Pedro; Valkanov, Rossen - 2004
Persistent link: https://www.econbiz.de/10006961124