IDEAS home Printed from https://ideas.repec.org/f/pdu519.html
   My authors  Follow this author

Bernard Dumas

Personal Details

First Name:Bernard
Middle Name:
Last Name:Dumas
Suffix:
RePEc Short-ID:pdu519
https://www.insead.edu/faculty-research/faculty/bernard-dumas/personal-site

Affiliation

INSEAD

Fontainebleau, France
http://www.insead.edu/
RePEc:edi:inseafr (more details at EDIRC)

Research output

as
Jump to: Working papers Articles Chapters Books

Working papers

  1. Bernard Dumas & Paul Ehling & Chunyu Yang, 2021. "The Debt Capacity of a Government," NBER Working Papers 29434, National Bureau of Economic Research, Inc.
  2. Bernard Dumas & Tymur Gabuniya & Richard C. Marston, 2020. "Firms' Exposures to Geographic Risks," NBER Working Papers 28185, National Bureau of Economic Research, Inc.
  3. Bernard Dumas & Marcel R. Savioz, 2020. "A theory of the nominal character of stock securities," Working Papers 2020-03, Swiss National Bank.
  4. Adrian Buss & Bernard Dumas & Raman Uppal & Grigory Vilkov, 2016. "The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis," Carlo Alberto Notebooks 449, Collegio Carlo Alberto.
  5. Dumas, Bernard & Buss, Adrian, 2015. "Trading Fees and Slow-Moving Capital," CEPR Discussion Papers 10737, C.E.P.R. Discussion Papers.
  6. Adrian Buss & Bernard Dumas, 2015. "The Dynamic Properties of Financial-Market Equilibrium with Trading Fees," NBER Working Papers 21421, National Bureau of Economic Research, Inc.
  7. Francisco Delgado & Bernard Dumas & Giovanni W. Puopolo, 2011. "Hysteresis Bands and Transaction Costs," CSEF Working Papers 287, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy, revised 10 Jul 2012.
  8. Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2011. "Differences of Opinion and International Equity Markets," NBER Working Papers 16726, National Bureau of Economic Research, Inc.
  9. Bernard Dumas & Andrew Lyasoff, 2008. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," NBER Working Papers 14629, National Bureau of Economic Research, Inc.
  10. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2007. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Swiss Finance Institute Research Paper Series 07-37, Swiss Finance Institute.
  11. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2006. "What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?," Swiss Finance Institute Research Paper Series 06-19, Swiss Finance Institute.
  12. Gordon M. Bodnar & Bernard Dumas & Richard D. Marston, 2003. "Cross-Border Valuation: The International Cost of Equity Capital," NBER Working Papers 10115, National Bureau of Economic Research, Inc.
  13. Bernard Dumas & Pascal Maenhout, 2002. "A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium," Levine's Working Paper Archive 391749000000000523, David K. Levine.
  14. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2000. "Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?," Working Papers 00-2, University of Pennsylvania, Wharton School, Weiss Center.
  15. Bernard Dumas & Raman Uppal, 1999. "Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods," NBER Working Papers 6994, National Bureau of Economic Research, Inc.
  16. Bernard Dumas & Raman Uppal & Tan Wang, 1998. "Efficient Intertemporal Allocations with Recursive Utility," NBER Technical Working Papers 0231, National Bureau of Economic Research, Inc.
  17. Bernard Dumas & Campbell R. Harvey & Pierre Ruiz, 1997. "Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs ?," Working Papers hal-00605596, HAL.
  18. Bernard Dumas & Gordon M. Bodnar & Richard C. Marston, 1997. "Pass-Through and Exposure," Working Papers hal-00605600, HAL.
  19. Blaise Allaz & B. Dumas, 1996. "Financial Securities - Market Equilibrium and Pricing Methods," Post-Print hal-00511816, HAL.
  20. Bernard Dumas & Jeff Fleming & Robert E. Whaley, 1996. "Implied Volatility Functions: Empirical Tests," NBER Working Papers 5500, National Bureau of Economic Research, Inc.
  21. Blaise Allaz & B. Dumas, 1995. "Les titres financiers - équilibre du marché et méthodes d'évaluation," Post-Print hal-00511820, HAL.
  22. Dumas, B. & Svensson, L.E.O., 1994. "How Long Do Unilateral Target Zones Last?," DELTA Working Papers 94-06, DELTA (Ecole normale supérieure).
  23. Dumas, B., 1994. "A Test of the International Capm using Business Cycles Indicators as Instrumental Variables," DELTA Working Papers 94-07, DELTA (Ecole normale supérieure).
  24. Dumas, B. & Solnik, B., 1994. "The World Price of Foreign Exchange Risk," DELTA Working Papers 94-05, DELTA (Ecole normale supérieure).
  25. Bernard Dumas, 1993. "Partial- vs general-equilibrium models of the international capital market," Working Papers hal-00610766, HAL.
  26. Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Realignment Bank and Currency Option Pricing in Target Zones," Weiss Center Working Papers 93-6, Wharton School - Weiss Center for International Financial Research.
  27. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Currency Option Pricing in Credible Target Zones," NBER Working Papers 4522, National Bureau of Economic Research, Inc.
  28. Dumas, B. & Jennergren, L.P. & Naslund, B., 1993. "Siegel's Paradox and Pricing of Currency Options," Weiss Center Working Papers 93-8, Wharton School - Weiss Center for International Financial Research.
  29. Bernard Dumas & L. Peter Jennergren & Bertil Naslund, 1993. "Realignment Risk and Currency Option Pricing in Target Zones," NBER Working Papers 4458, National Bureau of Economic Research, Inc.
  30. Bernard Dumas, 1992. "Short and long-term hedging for the corporation," Working Papers hal-00611588, HAL.
  31. Bernard Dumas & Bruno Solnik, 1992. "The world price of exchange rate risk," Working Papers hal-00611537, HAL.
  32. Dumas, B., 1992. "Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium," Weiss Center Working Papers 93-1, Wharton School - Weiss Center for International Financial Research.
  33. Francisco Delgado & Bernard Dumas, 1991. "Target Zones Big and Small," NBER Working Papers 3601, National Bureau of Economic Research, Inc.
  34. Delgado, F. & Dumas, B., 1990. "Monetary Contracting Between Central Banks And The Design Of Sustainable Exchange-Rate Zones," The Warwick Economics Research Paper Series (TWERPS) 360, University of Warwick, Department of Economics.
  35. Bernard Dumas & Elisa Luciano, 1990. "An exact solution to the portfolio choice problem under transactions costs," Working Papers hal-00612308, HAL.
  36. Bernard Dumas, 1989. "Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian," NBER Technical Working Papers 0077, National Bureau of Economic Research, Inc.
  37. Bernard Dumas, 1988. "Time to ship and the Dynamics of PPP deviations," Working Papers hal-00612642, HAL.
  38. Bernard Dumas, 1988. "Pricing Physical Assets Internationally," NBER Working Papers 2569, National Bureau of Economic Research, Inc.
  39. Bernard Dumas, 1988. "Super-contact and Related Optimality Condition," Working Papers hal-00612643, HAL.
  40. Bernard Dumas, 1985. "The stochastic Ramsey problem and stock prices," Working Papers hal-00621371, HAL.
  41. Michael Adler and Bernard Dumas., 1982. "International Portfolio Choice and Corporation Finance: A Survey," Research Program in Finance Working Papers 132, University of California at Berkeley.
  42. Bernard Dumas, 1977. "The welfare economics of speculation," Working Papers hal-00590822, HAL.
  43. Bernard Dumas, 1976. "Trade balance, foreign exchange overspending, underspending : a reappraisal," Working Papers hal-00589268, HAL.
  44. Bernard Dumas, 1976. "The equilibrium relationship between simultaneous spot and futures commodities prices," Working Papers hal-00589220, HAL.
  45. Bernard Dumas & M. Adler, 1976. "A theory of forward market intervention," Working Papers hal-00589221, HAL.
  46. Bernard Dumas, 1976. "Rational expectations and market efficiency," Working Papers hal-00589271, HAL.
  47. Bernard Dumas, 1974. "Optimal domestic acquisitions," Working Papers hal-00576386, HAL.
  48. Bernard Dumas, "undated". "Two-Person Dynamic Equilibrium: Trading in the Capital Market," Rodney L. White Center for Financial Research Working Papers 7-88, Wharton School Rodney L. White Center for Financial Research.
  49. Bernard Dumas, "undated". "Perishable Investment and Hysteresis in Capital Formation," Rodney L. White Center for Financial Research Working Papers 44-88, Wharton School Rodney L. White Center for Financial Research.
  50. Francisco Delgado & Bernard Dumas, "undated". "How Far Apart Can Two Riskless Interest Rates (One Moves, the Other One Does Not)," Rodney L. White Center for Financial Research Working Papers 18-94, Wharton School Rodney L. White Center for Financial Research.
  51. Bernard Dumas & Betrand Jacquillat, "undated". "Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985," Rodney L. White Center for Financial Research Working Papers 18-87, Wharton School Rodney L. White Center for Financial Research.
  52. Bernard Dumas, "undated". "Pricing Physical Assets Internationally: A Non Linear Heteroskedastic Process for Equilibrium Real Exchange Rates," Rodney L. White Center for Financial Research Working Papers 25-89, Wharton School Rodney L. White Center for Financial Research.
  53. Bernard Dumas, "undated". "Factor Price Equalization Under Uncertainty," Rodney L. White Center for Financial Research Working Papers 13-78, Wharton School Rodney L. White Center for Financial Research.
  54. Bernard Dumas, "undated". "Super Contact and Related Optimality Conditions: A Supplement to Avinash Dixit's: "A Simplified Exposition of Some Results Concerning Regulated Brownian Motion" (Reprint 020)," Rodney L. White Center for Financial Research Working Papers 43-88, Wharton School Rodney L. White Center for Financial Research.
  55. Bernard Dumas & Elisa Luciano, "undated". "An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)," Rodney L. White Center for Financial Research Working Papers 41-89, Wharton School Rodney L. White Center for Financial Research.
  56. Francisco Delgado & Bernard Dumas, "undated". "Monetary Contracting between Central Banks and the Design of Sustainable Exchange-Rate Zones (Reprint 035)," Rodney L. White Center for Financial Research Working Papers 20-90, Wharton School Rodney L. White Center for Financial Research.
  57. Bernard Dumas & Bertrand Jacquillat, "undated". "The Money and Bond Markets in France: Segmentation vs. Integration," Rodney L. White Center for Financial Research Working Papers 34-89, Wharton School Rodney L. White Center for Financial Research.

Articles

  1. Adrian Buss & Bernard Dumas, 2019. "The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees," Journal of Finance, American Finance Association, vol. 74(2), pages 795-844, April.
  2. Bernard Dumas & Elisa Luciano, 2019. "From volatility smiles to the volatility of volatility," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 42(2), pages 387-406, December.
  3. Bernard Dumas & Karen K. Lewis & Emilio Osambela, 2017. "Differences of Opinion and International Equity Markets," The Review of Financial Studies, Society for Financial Studies, vol. 30(3), pages 750-800.
  4. Buss, Adrian & Dumas, Bernard & Uppal, Raman & Vilkov, Grigory, 2016. "The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis," Journal of Monetary Economics, Elsevier, vol. 81(C), pages 25-43.
  5. Delgado, Francisco & Dumas, Bernard & Puopolo, Giovanni W., 2015. "Hysteresis bands on returns, holding period and transaction costs," Journal of Banking & Finance, Elsevier, vol. 57(C), pages 86-100.
  6. Bernard Dumas & Andrew Lyasoff, 2012. "Incomplete-Market Equilibria Solved Recursively on an Event Tree," Journal of Finance, American Finance Association, vol. 67(5), pages 1897-1941, October.
  7. Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, April.
  8. Dumas, Bernard & Harvey, Campbell R. & Ruiz, Pierre, 2003. "Are correlations of stock returns justified by subsequent changes in national outputs?," Journal of International Money and Finance, Elsevier, vol. 22(6), pages 777-811, November.
  9. Gordon M. Bodnar & Bernard Dumas & Richard C. Marston, 2002. "Pass‐through and Exposure," Journal of Finance, American Finance Association, vol. 57(1), pages 199-231, February.
  10. Dumas, Bernard & Uppal, Raman, 2001. "Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods," The Review of Financial Studies, Society for Financial Studies, vol. 14(1), pages 277-305.
  11. Dumas, Bernard & Uppal, Raman & Wang, Tan, 2000. "Efficient Intertemporal Allocations with Recursive Utility," Journal of Economic Theory, Elsevier, vol. 93(2), pages 240-259, August.
  12. Dumas, Bernard & Jennergren, L. Peter & Naslund, Bertil, 1995. "Comment on 'Exchange rate shocks, currency options and the Siegel paradox' by Indrajit Bardhan," Journal of International Money and Finance, Elsevier, vol. 14(3), pages 459-460, June.
  13. Dumas, Bernard & Peter Jennergren, L. & Naslund, Bertil, 1995. "Realignment risk and currency option pricing in target zones," European Economic Review, Elsevier, vol. 39(8), pages 1523-1544, October.
  14. Dumas, Bernard & Jennergren, L. Peter & Naslund, Bertil, 1995. "Siegel's paradox and the pricing of currency options," Journal of International Money and Finance, Elsevier, vol. 14(2), pages 213-223, April.
  15. Dumas, Bernard & Solnik, Bruno, 1995. "The World Price of Foreign Exchange Risk," Journal of Finance, American Finance Association, vol. 50(2), pages 445-479, June.
  16. Dumas, Bernard & Svensson, Lars E. O., 1994. "How long do unilateral target zones last?," Journal of International Economics, Elsevier, vol. 36(3-4), pages 467-481, May.
  17. Dumas, Bernard, 1994. "Some models of the international capital market," European Economic Review, Elsevier, vol. 38(3-4), pages 923-931, April.
  18. Delgado, Francisco & Dumas, Bernard, 1993. "Monetary contracting between central banks and the design of sustainable exchange-rate zones," Journal of International Economics, Elsevier, vol. 34(3-4), pages 201-224, May.
  19. Dumas, Bernard, 1992. "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World," The Review of Financial Studies, Society for Financial Studies, vol. 5(2), pages 153-180.
  20. Dumas, Bernard, 1991. "Super contact and related optimality conditions," Journal of Economic Dynamics and Control, Elsevier, vol. 15(4), pages 675-685, October.
  21. Dumas, Bernard & Luciano, Elisa, 1991. "An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs," Journal of Finance, American Finance Association, vol. 46(2), pages 577-595, June.
  22. Dumas, Bernard & Jacquillat, Bertrand, 1990. "The money and bond markets in France : Segmentation vs. integration," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 613-635, August.
  23. Dumas, Bernard, 1990. "Performance of currency portfolios chosen by a Bayesian technique: 1967-1985," Journal of Banking & Finance, Elsevier, vol. 14(2-3), pages 539-558, August.
  24. Dumas, Bernard, 1989. "Two-Person Dynamic Equilibrium in the Capital Market," The Review of Financial Studies, Society for Financial Studies, vol. 2(2), pages 157-188.
  25. Dumas, Bernard, 1988. "Price rigidity, international mobility of financial capital and exchange rate volatility : Gerhard O. Orosel," European Economic Review, Elsevier, vol. 32(5), pages 1165-1165, June.
  26. Adler, Michael & Dumas, Bernard, 1983. "International Portfolio Choice and Corporation Finance: A Synthesis," Journal of Finance, American Finance Association, vol. 38(3), pages 925-984, June.
  27. Dumas, Bernard, 1980. "The theorems of international trade under generalized uncertainty," Journal of International Economics, Elsevier, vol. 10(4), pages 481-498, November.
  28. Adler, Michael & Dumas, Bernard, 1980. "The Exposure of Long-Term Foreign Currency Bonds," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 15(4), pages 973-994, November.
  29. Dumas, B, 1978. "The Theory of the Trading Firm Revisited," Journal of Finance, American Finance Association, vol. 33(3), pages 1019-1030, June.
  30. Adler, Michael & Dumas, Bernard, 1977. "The Microeconomics of the Firm in an Open Economy," American Economic Review, American Economic Association, vol. 67(1), pages 180-189, February.
  31. Dumas, Bernard, 1977. "International Finance-Problems of Segmented Capital Markets: Discussion," Journal of Finance, American Finance Association, vol. 32(2), pages 512-515, May.
  32. Adler, Michael & Dumas, Bernard, 1976. "Portfolio Choice and the Demand for Forward Exchange," American Economic Review, American Economic Association, vol. 66(2), pages 332-339, May.
  33. Adler, Michael & Dumas, Bernard, 1975. "Optimal International Acquisitions," Journal of Finance, American Finance Association, vol. 30(1), pages 1-19, March.

Chapters

  1. Bernard Dumas, 1998. "Modelling International Stock Return Cycles," International Economic Association Series, in: Holger C. Wolf (ed.), Contemporary Economic Issues, chapter 4, pages 83-96, Palgrave Macmillan.
  2. Bernard Dumas, 1994. "A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables," NBER Chapters, in: The Internationalization of Equity Markets, pages 23-58, National Bureau of Economic Research, Inc.

Books

  1. Dumas, Bernard & Luciano, Elisa, 2017. "The Economics of Continuous-Time Finance," MIT Press Books, The MIT Press, edition 1, volume 1, number 0262036541, April.

More information

Research fields, statistics, top rankings, if available.

Statistics

Access and download statistics for all items

Rankings

This author is among the top 5% authors according to these criteria:
  1. Average Rank Score
  2. Number of Works
  3. Number of Distinct Works, Weighted by Simple Impact Factor
  4. Number of Distinct Works, Weighted by Recursive Impact Factor
  5. Number of Distinct Works, Weighted by Number of Authors
  6. Number of Distinct Works, Weighted by Number of Authors and Simple Impact Factors
  7. Number of Distinct Works, Weighted by Number of Authors and Recursive Impact Factors
  8. Number of Citations
  9. Number of Citations, Discounted by Citation Age
  10. Number of Citations, Weighted by Simple Impact Factor
  11. Number of Citations, Weighted by Simple Impact Factor, Discounted by Citation Age
  12. Number of Citations, Weighted by Recursive Impact Factor
  13. Number of Citations, Weighted by Recursive Impact Factor, Discounted by Citation Age
  14. Number of Citations, Weighted by Number of Authors
  15. Number of Citations, Weighted by Number of Authors, Discounted by Citation Age
  16. Number of Citations, Weighted by Number of Authors and Simple Impact Factors
  17. Number of Citations, Weighted by Number of Authors and Simple Impact Factors, Discounted by Citation Age
  18. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors
  19. Number of Citations, Weighted by Number of Authors and Recursive Impact Factors, Discounted by Citation Age
  20. h-index
  21. Number of Registered Citing Authors
  22. Number of Registered Citing Authors, Weighted by Rank (Max. 1 per Author)
  23. Number of Journal Pages, Weighted by Simple Impact Factor
  24. Number of Journal Pages, Weighted by Recursive Impact Factor
  25. Number of Journal Pages, Weighted by Number of Authors and Simple Impact Factors
  26. Number of Journal Pages, Weighted by Number of Authors and Recursive Impact Factors
  27. Euclidian citation score
  28. Wu-Index
  29. Record of graduates

Co-authorship network on CollEc

NEP Fields

NEP is an announcement service for new working papers, with a weekly report in each of many fields. This author has had 15 papers announced in NEP. These are the fields, ordered by number of announcements, along with their dates. If the author is listed in the directory of specialists for this field, a link is also provided.
  1. NEP-DGE: Dynamic General Equilibrium (5) 2015-08-01 2015-08-19 2016-03-29 2016-05-21 2021-11-22. Author is listed
  2. NEP-MAC: Macroeconomics (4) 2016-03-29 2016-05-21 2020-05-11 2021-11-22
  3. NEP-FMK: Financial Markets (3) 2005-12-01 2006-01-24 2021-02-08
  4. NEP-FIN: Finance (2) 2005-12-01 2006-01-24
  5. NEP-MST: Market Microstructure (2) 2007-09-30 2015-08-01
  6. NEP-RMG: Risk Management (2) 2021-02-08 2021-05-24
  7. NEP-URE: Urban and Real Estate Economics (2) 2021-02-08 2021-05-24
  8. NEP-BAN: Banking (1) 2021-11-22
  9. NEP-BEC: Business Economics (1) 2021-02-08
  10. NEP-CBA: Central Banking (1) 2020-05-11
  11. NEP-CFN: Corporate Finance (1) 2003-11-30
  12. NEP-CWA: Central and Western Asia (1) 2021-02-08
  13. NEP-GEN: Gender (1) 2020-05-11
  14. NEP-GTH: Game Theory (1) 2002-07-04
  15. NEP-IFN: International Finance (1) 2003-11-30
  16. NEP-MIC: Microeconomics (1) 1998-05-04

Corrections

All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. For general information on how to correct material on RePEc, see these instructions.

To update listings or check citations waiting for approval, Bernard Dumas should log into the RePEc Author Service.

To make corrections to the bibliographic information of a particular item, find the technical contact on the abstract page of that item. There, details are also given on how to add or correct references and citations.

To link different versions of the same work, where versions have a different title, use this form. Note that if the versions have a very similar title and are in the author's profile, the links will usually be created automatically.

Please note that most corrections can take a couple of weeks to filter through the various RePEc services.

IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.