Details about Suleyman Basak

Access statistics for papers by Suleyman Basak.

Last updated 2013-04-04. Update your information in the RePEc Author Service.

Short-id: pba891

Working Papers

2012

1. Asset Prices and Institutional Investors
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)

2011

2. Dynamic Hedging in Incomplete Markets: A Simple Solution
   FMG Discussion Papers, Financial Markets Group
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2011) View citations (1)
   2009 Meeting Papers, Society for Economic Dynamics (2009)
   See also Journal Article in Review of Financial Studies (2012)
3. Strategic Asset Allocation in Money Management
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2009) View citations (1)

2010

4. Difference in Interim Performance and Risk Taking with Short-Sale Constraints
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in Working Papers, Center for Economic and Financial Research (CEFIR) (2010) View citations (1)
   See also Journal Article in Journal of Financial Economics (2012)

2009

5. Dynamic Mean-Variance Asset Allocation
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Review of Financial Studies (2010)
6. Equilibrium Asset Prices and Investor Behavior in the Presence of Money Illusion
   Yale School of Management Working Papers, Yale School of Management View citations (2)
   Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2009) View citations (2)

2006

7. Multiplicity and Sunspots in General Financial Equilibrium with Portfolio Constraints
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (2)
8. Multiplicity in General Financial Equilibrium with Portfolio Constraints
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Journal of Economic Theory (2008)
9. Multiplicity in General Financial Equilibrium with Portfolio Constraints, Second Version
   PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania
10. Optimal Asset Allocation and Risk Shifting in Money Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (12)
    See also Journal Article in Review of Financial Studies (2007)

2005

11. Offsetting the Incentives: Risk Shifting and Benefits of Benchmarking in Money Management
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    Also in Econometric Society 2004 North American Winter Meetings, Econometric Society (2004) View citations (2)
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (2003) View citations (3)
12. Risk Management with Benchmarking
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
    See also Journal Article in Management Science (2006)

2004

13. A Dynamic Model with Import Quota Constraints
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
    Also in Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management (2003)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002)
14. Asset Prices with Heterogenous Beliefs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
15. Monopoly Power and the Firm€ٳ Valuation
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management
16. On the Role of Arbitrageurs in Rational Markets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in Journal of Financial Economics (2006)

2003

17. International Good Market Segmentation and Financial Market Structure
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
18. MONOPOLY POWER AND THE FIRM'S VALUATION: A DYNAMIC ANALYSIS OF SHORT VERSUS LONG-TERM POLICIES
    Working papers, Massachusetts Institute of Technology (MIT), Sloan School of Management View citations (2)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2002) View citations (1)
    See also Journal Article in Economic Theory (2004)

2002

19. A Model of Credit Risk, Optimal Policies and Asset Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in The Journal of Business (2005)

1999

20. Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices
    New York University, Leonard N. Stern School Finance Department Working Paper Seires, New York University, Leonard N. Stern School of Business- View citations (5)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)
    See also Journal Article in Review of Financial Studies (2001)

1998

21. Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two Country Dynamic Monetary Equilibrium
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (9)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research

Undated

22. A General Equilibrium Model of Portfolio Insurance (Reprint 053)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
23. A Model of Dynamic Equilibrium Asset Pricing with Extraneous Risk
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
24. An Equilibrium Model with Restricted Stock Market Participation (Reprint 066)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (4)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
25. An Intertemporal Model of Segmentation (Reprint 056)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
26. Capital Market Equilibrium with Differential Taxation
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (5)
27. Capital Market Equilibrium with Mispricing and Arbitrage Activity
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
28. Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revised: 7-95)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
29. Dynamic Consumption-Portfolio Choice and Asset Pricing with Non-Price-Taking Agents (Revision of 8-94) (Reprint 062)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
30. Equilibrium Mispricing in a Capital Market with Portfolio Constraints
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
    See also Journal Article in Review of Financial Studies (2000)
31. Nonlinear Taxation, Tax Arbitrage and Equilibrium Asset Prices
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
    See also Journal Article in Journal of Mathematical Economics (2001)
32. On the Fluctuations in Consumption and Market Returns in the Presence of Labor and Human Capital: An Equilibrium Analysis
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
    See also Journal Article in Journal of Economic Dynamics and Control (1999)

Journal Articles

2012

1. Difference in interim performance and risk taking with short-sale constraints
   Journal of Financial Economics, 2012, 103, (2), 377-392
   See also Working Paper (2010)
2. Dynamic Hedging in Incomplete Markets: A Simple Solution
   Review of Financial Studies, 2012, 25, (6), 1845-1896
   See also Working Paper (2011)

2010

3. Dynamic Mean-Variance Asset Allocation
   Review of Financial Studies, 2010, 23, (8), 2970-3016 View citations (12)
   See also Working Paper (2009)

2008

4. Multiplicity in general financial equilibrium with portfolio constraints
   Journal of Economic Theory, 2008, 142, (1), 100-127 View citations (3)
   See also Working Paper (2006)
5. Offsetting the implicit incentives: Benefits of benchmarking in money management
   Journal of Banking & Finance, 2008, 32, (9), 1883-1893 View citations (4)

2007

6. International good market segmentation and financial innovation
   Journal of International Economics, 2007, 71, (2), 267-293 View citations (1)
7. Optimal Asset Allocation and Risk Shifting in Money Management
   Review of Financial Studies, 2007, 20, (5), 1583-1621 View citations (12)
   See also Working Paper (2006)

2006

8. On the role of arbitrageurs in rational markets
   Journal of Financial Economics, 2006, 81, (1), 143-173 View citations (5)
   See also Working Paper (2004)
9. Risk Management with Benchmarking
   Management Science, 2006, 52, (4), 542-557 View citations (7)
   See also Working Paper (2005)

2005

10. A Model of Credit Risk, Optimal Policies, and Asset Prices
    The Journal of Business, 2005, 78, (4), 1215-1266 View citations (1)
    See also Working Paper (2002)
11. Asset pricing with heterogeneous beliefs
    Journal of Banking & Finance, 2005, 29, (11), 2849-2881 View citations (21)

2004

12. Monopoly power and the firm’s valuation: a dynamic analysis of short versus long-term policies
    Economic Theory, 2004, 24, (3), 503-530
    See also Working Paper (2003)

2002

13. A comparative study of portfolio insurance
    Journal of Economic Dynamics and Control, 2002, 26, (7-8), 1217-1241 View citations (5)

2001

14. Non-linear taxation, tax-arbitrage and equilibrium asset prices
    Journal of Mathematical Economics, 2001, 35, (2), 347-382 View citations (2)
    See also Working Paper
15. Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices
    Review of Financial Studies, 2001, 14, (2), 371-405 View citations (52)
    See also Working Paper (1999)

2000

16. A model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk
    Journal of Economic Dynamics and Control, 2000, 24, (1), 63-95 View citations (20)
17. Equilibrium Mispricing in a Capital Market with Portfolio Constraints
    Review of Financial Studies, 2000, 13, (3), 715-48 View citations (21)
    See also Working Paper

1999

18. Currency Prices, the Nominal Exchange Rate, and Security Prices in a Two‐Country Dynamic Monetary Equilibrium
    Mathematical Finance, 1999, 9, (1), 1-30 View citations (8)
19. On the fluctuations in consumption and market returns in the presence of labor and human capital: An equilibrium analysis
    Journal of Economic Dynamics and Control, 1999, 23, (7), 1029-1064 View citations (9)
    See also Working Paper

1998

20. An Equilibrium Model with Restricted Stock Market Participation
    Review of Financial Studies, 1998, 11, (2), 309-41 View citations (102)

1997

21. Consumption choice and asset pricing with a non-price-taking agent
    Economic Theory, 1997, 10, (3), 437-462 View citations (5)

1996

22. An Intertemporal Model of International Capital Market Segmentation
    Journal of Financial and Quantitative Analysis, 1996, 31, (02), 161-188 View citations (9)

1995

23. A General Equilibrium Model of Portfolio Insurance
    Review of Financial Studies, 1995, 8, (4), 1059-90 View citations (27)