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Citations for "Optimal Asset Allocation and Risk Shifting in Money Management"

by Basak, Suleyman & Pavlova, Anna & Shapiro, Alex

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  1. Sheng, Jiliang & Wang, Jian & Wang, Xiaoting & Yang, Jun, 2014. "Asymmetric contracts, cash flows and risk taking of mutual funds," Economic Modelling, Elsevier, vol. 38(C), pages 435-442.
  2. Cuoco, Domenico & Kaniel, Ron, 2011. "Equilibrium prices in the presence of delegated portfolio management," Journal of Financial Economics, Elsevier, Elsevier, vol. 101(2), pages 264-296, August.
  3. Jens Carsten Jackwerth & James E. Hodder, 2008. "Managerial Responses to Incentives: Control of Firm Risk, Derivative Pricing Implications, and Outside Wealth Management," CoFE Discussion Paper 08-07, Center of Finance and Econometrics, University of Konstanz.
  4. Lan, Yingcong & Wang, Neng & Yang, Jinqiang, 2013. "The economics of hedge funds," Journal of Financial Economics, Elsevier, Elsevier, vol. 110(2), pages 300-323.
  5. Cuoco, Domenico & Kaniel, Ron, 2009. "Equilibrium Prices in the Presence of Delegated Portfolio Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers 7453, C.E.P.R. Discussion Papers.
  6. Alexander, Gordon J. & Baptista, Alexandre M., 2010. "Active portfolio management with benchmarking: A frontier based on alpha," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2185-2197, September.
  7. Alexei Tchistyi, 2012. "Risking Other People's Money: Gambling, Limited Liability, and Optimal Incentives," 2012 Meeting Papers, Society for Economic Dynamics 1091, Society for Economic Dynamics.
  8. Suleyman Basak & Dmitry Makarov, 2013. "Competition among Portfolio Managers and Asset Specialization," Working Papers w0194, Center for Economic and Financial Research (CEFIR).
  9. Basak, Suleyman & Makarov, Dmitry, 2010. "Difference in Interim Performance and Risk Taking with Short-Sale Constraints," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8072, C.E.P.R. Discussion Papers.
  10. Hodder, James E. & Jackwerth, Jens Carsten, 2007. "Incentive Contracts and Hedge Fund Management," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 42(04), pages 811-826, December.
  11. Jules H. van Binsbergen & Michael W. Brandt, 2007. "Optimal Asset Allocation in Asset Liability Management," NBER Working Papers 12970, National Bureau of Economic Research, Inc.
  12. Glode, Vincent, 2011. "Why mutual funds "underperform"," Journal of Financial Economics, Elsevier, Elsevier, vol. 99(3), pages 546-559, March.
  13. Pablo Castañeda & Heinz Rudolph, 2010. "Portfolio Choice, Minimum Return Guarantees, and Competition in DC Pension Systems," Working Papers, Superintendencia de Pensiones 39, Superintendencia de Pensiones, revised Feb 2010.
  14. Dai, Min & Jin, Hanqing & Liu, Hong, 2011. "Illiquidity, position limits, and optimal investment for mutual funds," Journal of Economic Theory, Elsevier, vol. 146(4), pages 1598-1630, July.
  15. Scalia, Antonio & Sahel, Benjamin, 2011. "Ranking, risk-taking and effort: an analysis of the ECB's foreign reserves management," Working Paper Series, European Central Bank 1377, European Central Bank.
  16. Agarwal, Vikas & Gómez, Juan-Pedro & Priestley, Richard, 2012. "Management compensation and market timing under portfolio constraints," Journal of Economic Dynamics and Control, Elsevier, Elsevier, vol. 36(10), pages 1600-1625.
  17. Hallahan, Terrence & Faff, Robert, 2009. "Tournament behavior in Australian superannuation funds: A non-parametric analysis," Global Finance Journal, Elsevier, vol. 19(3), pages 307-322.
  18. Lewellen, Katharina, 2006. "Financing decisions when managers are risk averse," Journal of Financial Economics, Elsevier, Elsevier, vol. 82(3), pages 551-589, December.
  19. Kaniel, Ron & Kondor, Péter, 2011. "The delegated Lucas tree," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8578, C.E.P.R. Discussion Papers.
  20. Jennifer Huang & Clemens Sialm & Hanjiang Zhang, 2011. "Risk Shifting and Mutual Fund Performance," Review of Financial Studies, Society for Financial Studies, vol. 24(8), pages 2575-2616.
  21. Guillaume Plantin & Igor Makarov, 2010. "Rewarding Trading Skills Without Inducing Gambling," 2010 Meeting Papers 899, Society for Economic Dynamics.
  22. Basak, Suleyman & Makarov, Dmitry, 2011. "Strategic Asset Allocation in Money Management," CEPR Discussion Papers, C.E.P.R. Discussion Papers 8457, C.E.P.R. Discussion Papers.
  23. Steven Malliaris & Hongjun Yan, 2008. "Nickels versus Black Swans: Reputation, Trading Strategies and Asset Prices," Yale School of Management Working Papers, Yale School of Management amz2380, Yale School of Management, revised 01 Mar 2009.
  24. Basak, Suleyman & Pavlova, Anna & Shapiro, Alexander, 2008. "Offsetting the implicit incentives: Benefits of benchmarking in money management," Journal of Banking & Finance, Elsevier, vol. 32(9), pages 1883-1893, September.
  25. Marcin Kacperczyk & Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Rational Attention Allocation Over the Business Cycle," NBER Working Papers 15450, National Bureau of Economic Research, Inc.