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”, 2010, 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:
- “Quantifying the Distortionary Fiscal Cost of ‘The Bailout’,” 11/09,
with Francisco Gomes and Alexander Michaelides
- “Probability Weighting
Functions Implied in Option Prices” 11/09, with Feng Zhao
- “Downside Consumption
Risk and Expected Returns”, 11/08, revised for resubmission, Abstract
and working paper.
- “Risk attitude toward
small and large bets in the presence of background risk”, 11/09, submitted,
with David Chapman
- “Fiscal Policy in
Incomplete Markets”, 06/08, under revision, with Francisco Gomes and
Alexander Michaelides
- “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:
- 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)
- Simulation-based
analysis of multi-factor asset pricing models (with Yexiao Xu and Yihua
Zhao)