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, Non-expected utility
preferences, Capital income taxation and portfolio choice
Publications:
- "Wealth
accumulation and portfolio choice with taxable and tax-deferred accounts,"
December 2008, with Francisco Gomes and Alexander Michaelides,
forthcoming, Review of Economic
Dynamics, Abstract
and working paper (last SSRN version).
- "First Order Risk
Aversion, Heterogeneity in Preferences and Asset Markets Outcomes,"
July 2008, with David Chapman, forthcoming, The Journal of Finance 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, v.1, No. 1, March 2004. Abstract
and working paper (last SSRN version)
- "Human Capital
and the Private Equity Premium", Review of Economic Dynamics, v.
6, No. 4, October 2003, pp. 831-845. Abstract
and a working paper (last SSRN version)
Working Papers:
- “Fiscal Policy in
Incomplete Markets”, June 2008, 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
- “Individual Investor Portfolios”,
chapter in preparation for “Behavioral Fianance”
(Robert Kolb series in Finance) by Kent Baker and John Nofsinger, eds., John Weily
& Sons, Hoboken, New Jersey.
- “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:
- “General equilibrium analysis
of tax-deferred pension plans” (with Francisco Gomes and Alex Michaelides)
- Dynamic portfolio selection
with rank-dependent preferences (with David Chapman)
- The effects of prior
portfolio performance on asset allocation at the individual level