Valery Polkovnichenko research page

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

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)