Valery Polkovnichenko
Research page
Mail address:
Finance and Managerial Economics
The University
of Texas at Dallas
The School of Management
P.O. Box 830688,
SM 31
Richardson, Texas 75083-0688
Other contact:
Phone: (972) 883-5928
e-mail: polkovn_"at"_utdallas.edu
Home page http://www.utdallas.edu/~polkovn
CV
My papers
at SSRN library
Areas of
Interest:
Asset pricing, Portfolio choice, Incomplete markets, Heterogeneous agents,
Non-expected utility preferences
Publications:
- “Individual Investor
Portfolios”, forthcoming 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:
- “Fiscal Policy in
Incomplete Markets”, June 2008, under revision, with Francisco Gomes and
Alexander Michaelides
- “Downside Consumption
Risk and Expected Returns”, November 2008, submitted, Abstract
and working paper.
- “Risk attitude toward small
and large bets in the presence of background risk”, December 2007, under
revision, with David Chapman
- “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.
Work in progress:
- On consequences of
government-financed investments in private firms (aka “bailouts”) (with
Francisco Gomes and Alex Michaelides)
- 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)
- Estimating
probability weighting functions from option prices (with Feng Zhao)