Details about Karl Schmedders

E-mail:
Homepage:	https://www.imd.org/faculty/professors/karl-schmedders/
Phone:	+41 (0)79 596 8956
Postal address:	Chemin de Bellerive 23 CH-1001 Lausanne Switzerland
Workplace:	International Institute for Management (IMD), (more information at EDIRC)

Access statistics for papers by Karl Schmedders.

Last updated 2024-12-06. Update your information in the RePEc Author Service.

Short-id: psc9

---

Jump to Journal Articles Edited books Chapters Software Items

Working Papers

2018

1. Re-use of collateral: leverage, volatility, and welfare
   Working Paper Series, European Central Bank View citations (1)
   Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2017) View citations (2)
   2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (2)
   See also Journal Article Re-use of collateral: Leverage, volatility, and welfare, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2023) View citations (1) (2023)

2017

2. Dynamic Principal–Agent Models
   Working Papers, Lancaster University Management School, Economics Department

2016

3. A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry, Operations Research, INFORMS (2021) (2021)
4. Dynamic Principal-Agent Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
5. Higher-Order Effects in Asset-Pricing Models with Long-Run Risks
   2016 Meeting Papers, Society for Economic Dynamics View citations (5)
   See also Journal Article Higher Order Effects in Asset Pricing Models with Long‐Run Risks, Journal of Finance, American Finance Association (2018) View citations (59) (2018)
6. New and Revised Results for 'Building Reputation for Contract Renewal: Implications for Performance Dynamics and Contract Duration'
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
7. Statistical Approximation of High-Dimensional Climate Models
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
   See also Journal Article Statistical approximation of high-dimensional climate models, Journal of Econometrics, Elsevier (2020) View citations (2) (2020)

2015

8. Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)

2014

9. Asset Prices with Temporary Shocks to Consumption
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute
10. Margin regulation and volatility
    Working Paper Series, European Central Bank View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2013) View citations (5)
    See also Journal Article Margin regulation and volatility, Journal of Monetary Economics, Elsevier (2015) View citations (11) (2015)

2013

11. Collateral requirements and asset prices
    Discussion Papers, Deutsche Bundesbank View citations (4)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (8)
    2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (7)
    See also Journal Article COLLATERAL REQUIREMENTS AND ASSET PRICES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2015) View citations (7) (2015)
12. Long-Run UIP Holds Even in the Short Run
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
13. The Perils of Performance Measurement in the German Mutual-Fund Industry
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute

2012

14. A Polynomial Optimization Approach to Principal-Agent Problems
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article A Polynomial Optimization Approach to Principal–Agent Problems, Econometrica, Econometric Society (2015) View citations (11) (2015)
15. Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
    2012 Meeting Papers, Society for Economic Dynamics View citations (1)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) View citations (3)
16. Margin Requirements and Asset Prices
    2012 Meeting Papers, Society for Economic Dynamics View citations (2)
17. Optimal and Naive Diversification in Currency Markets
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
    See also Journal Article Optimal and Naive Diversification in Currency Markets, Management Science, INFORMS (2017) View citations (13) (2017)

2010

18. Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)

2009

19. Non-parametric counterfactual analysis in dynamic general equilibrium
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (1)
    See also Journal Article Non-parametric counterfactual analysis in dynamic general equilibrium, Economic Theory, Springer (2010) View citations (6) (2010)

2008

20. Bond Ladders and Optimal Portfolios
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute
    See also Journal Article Bond Ladders and Optimal Portfolios, The Review of Financial Studies, Society for Financial Studies (2011) View citations (3) (2011)

2007

21. Competitive Equilibria in Semi-Algebraic Economies
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (2)
    See also Journal Article Competitive equilibria in semi-algebraic economies, Journal of Economic Theory, Elsevier (2010) View citations (19) (2010)

2006

22. Bond Portfolios and Two-Fund Separation in the Lucas Asset-Pricing Model
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science

2005

23. A Computational Approach to Proving Uniqueness in Dynamic Games
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (6)
24. Excess price volatility and financial innovation
    Post-Print, HAL View citations (7)
    See also Journal Article Excess price volatility and financial innovation, Economic Theory, Springer (2005) View citations (12) (2005)
25. Two-Fund Separation in Dynamic General Equilibrium
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (2)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) View citations (2)
    See also Journal Article Two-fund separation in dynamic general equilibrium, Theoretical Economics, Econometric Society (2007) View citations (3) (2007)

2004

26. Approximate Versus Exact Equilibria
    Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2003)

2002

27. Controlling Price Volatility Through Financial Innovation
    Working Papers, HAL
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2002)
    HEC Research Papers Series, HEC Paris (2002)
28. Optimal Policies for Patent Races
    Computing in Economics and Finance 2002, Society for Computational Economics
29. Optimal Rules for Patent Races
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (12)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (4)
    See also Journal Article OPTIMAL RULES FOR PATENT RACES, International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association (2012) View citations (12) (2012)
30. Price Caps and Uncertain Demands
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (3)

2001

31. Asset Pricing in Models with incomplete markets and default
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (11)
32. Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2000)
    See also Journal Article Computing equilibria in finance economies with incomplete markets and transaction costs, Economic Theory, Springer (2006) View citations (16) (2006)
33. Demand Uncertainty and Risk-aversion: Why Price Caps May Lead to Higher Prices
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
34. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (19)
    See also Journal Article Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral, Econometrica, Econometric Society (2003) View citations (150) (2003)

2000

35. Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science
    See also Journal Article Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents, Journal of Finance, American Finance Association (2003) View citations (34) (2003)
36. Evidence of the effect of domicile on corporate average effective tax rates in the European Union
    Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
37. INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (4)
    Also in Levine's Working Paper Archive, David K. Levine (2000) View citations (5)
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (10)
    See also Journal Article Incomplete Markets, Transitory Shocks, and Welfare, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2001) View citations (16) (2001)
38. MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (1)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (1)
    See also Journal Article Monopolistic security design in finance economies, Economic Theory, Springer (2001) View citations (3) (2001)

Undated

39. Computational General Equilibrium with Incomplete Assets
    Computing in Economics and Finance 1997, Society for Computational Economics

Journal Articles

2024

1. A Note on the Non-proportionality of Winning Probabilities in Bitcoin
   Computational Economics, 2024, 64, (3), 1697-1714
2. Existence of the Wealth-Consumption Ratio in Asset Pricing Models with Recursive Preferences
   The Review of Financial Studies, 2024, 37, (3), 989-1028

2023

3. Re-use of collateral: Leverage, volatility, and welfare
   Review of Economic Dynamics, 2023, 47, 19-46 View citations (1)
   See also Software Item Code and data files for "Re-use of collateral: Leverage, volatility, and welfare", Computer Codes (2022) (2022)
   Working Paper Re-use of collateral: leverage, volatility, and welfare, Working Paper Series (2018) View citations (1) (2018)
4. The Social Cost of Carbon When We Wish for Full-Path Robustness
   Management Science, 2023, 69, (12), 7585-7606
5. The fundamental problem with ESG? Conflicting letters
   Journal of Financial Transformation, 2023, 57, 110-117 View citations (1)

2021

6. A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
   Operations Research, 2021, 69, (4), 1134-1157
   See also Working Paper A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry, Swiss Finance Institute Research Paper Series (2016) (2016)
7. Asset pricing with heterogeneous agents and long-run risk
   Journal of Financial Economics, 2021, 140, (3), 941-964 View citations (3)

2020

8. Computing Economic Equilibria Using Projection Methods
   Annual Review of Economics, 2020, 12, (1), 317-353 View citations (1)
9. Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment
   Quantitative Economics, 2020, 11, (4), 1215-1251
10. Statistical approximation of high-dimensional climate models
    Journal of Econometrics, 2020, 214, (1), 67-80 View citations (2)
    See also Working Paper Statistical Approximation of High-Dimensional Climate Models, Swiss Finance Institute Research Paper Series (2016) (2016)

2018

11. Higher Order Effects in Asset Pricing Models with Long‐Run Risks
    Journal of Finance, 2018, 73, (3), 1061-1111 View citations (59)
    See also Working Paper Higher-Order Effects in Asset-Pricing Models with Long-Run Risks, 2016 Meeting Papers (2016) View citations (5) (2016)
12. Introduction: Einführung
    Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2018, 238, (3-4), 183-187

2017

13. Optimal and Naive Diversification in Currency Markets
    Management Science, 2017, 63, (10), 3347-3360 View citations (13)
    See also Working Paper Optimal and Naive Diversification in Currency Markets, Swiss Finance Institute Research Paper Series (2012) View citations (4) (2012)

2016

14. Asset prices with non-permanent shocks to consumption
    Journal of Economic Dynamics and Control, 2016, 69, (C), 152-178

2015

15. A Polynomial Optimization Approach to Principal–Agent Problems
    Econometrica, 2015, 83, 729-769 View citations (11)
    See also Working Paper A Polynomial Optimization Approach to Principal-Agent Problems, Swiss Finance Institute Research Paper Series (2012) (2012)
16. COLLATERAL REQUIREMENTS AND ASSET PRICES
    International Economic Review, 2015, 56, (1), 1-25 View citations (7)
    See also Working Paper Collateral requirements and asset prices, Discussion Papers (2013) View citations (4) (2013)
17. Margin regulation and volatility
    Journal of Monetary Economics, 2015, 75, (C), 54-68 View citations (11)
    See also Working Paper Margin regulation and volatility, Working Paper Series (2014) View citations (1) (2014)

2012

18. Financial Innovation and Asset Price Volatility
    American Economic Review, 2012, 102, (3), 147-51 View citations (10)
19. Finding all pure‐strategy equilibria in games with continuous strategies
    Quantitative Economics, 2012, 3, (2), 289-331 View citations (5)
20. OPTIMAL RULES FOR PATENT RACES
    International Economic Review, 2012, 53, (1), 23-52 View citations (12)
    See also Working Paper Optimal Rules for Patent Races, Discussion Papers (2002) View citations (12) (2002)

2011

21. Bond Ladders and Optimal Portfolios
    The Review of Financial Studies, 2011, 24, (12), 4123-4166 View citations (3)
    See also Working Paper Bond Ladders and Optimal Portfolios, Swiss Finance Institute Research Paper Series (2008) (2008)

2010

22. Competitive equilibria in semi-algebraic economies
    Journal of Economic Theory, 2010, 145, (1), 301-330 View citations (19)
    See also Working Paper Competitive Equilibria in Semi-Algebraic Economies, PIER Working Paper Archive (2007) View citations (2) (2007)
23. Non-parametric counterfactual analysis in dynamic general equilibrium
    Economic Theory, 2010, 45, (1), 181-200 View citations (6)
    See also Working Paper Non-parametric counterfactual analysis in dynamic general equilibrium, Swiss Finance Institute Research Paper Series (2009) View citations (1) (2009)
24. Tackling Multiplicity of Equilibria with Gröbner Bases
    Operations Research, 2010, 58, (4-part-2), 1037-1050 View citations (11)
25. Uniqueness of Steady States in Models with Overlapping Generations
    Journal of the European Economic Association, 2010, 8, (2-3), 635-644 View citations (5)

2007

26. On Price Caps Under Uncertainty
    The Review of Economic Studies, 2007, 74, (1), 93-111 View citations (32)
27. Two-fund separation in dynamic general equilibrium
    Theoretical Economics, 2007, 2, (2) View citations (3)
    See also Working Paper Two-Fund Separation in Dynamic General Equilibrium, Discussion Papers (2005) View citations (2) (2005)

2006

28. Computing equilibria in finance economies with incomplete markets and transaction costs
    Economic Theory, 2006, 27, (3), 493-512 View citations (16)
    See also Working Paper Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs, Discussion Papers (2001) View citations (2) (2001)
29. Reply to "Asset trading volume in infinite-horizon economies with dynamically complete markets and heterogeneous agents: Comment"
    Finance Research Letters, 2006, 3, (2), 102-105 View citations (2)

2005

30. Approximate versus Exact Equilibria in Dynamic Economies
    Econometrica, 2005, 73, (4), 1205-1235 View citations (27)
    See also Chapter Approximate Versus Exact Equilibria in Dynamic Economies, Lecture Notes in Economics and Mathematical Systems, 2008, 135-163 (2008) (2008)
31. Excess price volatility and financial innovation
    Economic Theory, 2005, 26, (3), 559-587 View citations (12)
    See also Working Paper Excess price volatility and financial innovation, Post-Print (2005) View citations (7) (2005)

2003

32. Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
    Journal of Finance, 2003, 58, (5), 2203-2217 View citations (34)
    See also Working Paper Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents, Discussion Papers (2000) (2000)
33. Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
    Economic Theory, 2003, 22, (1), 1-15 View citations (5)
34. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Econometrica, 2003, 71, (6), 1767-1793 View citations (150)
    See also Working Paper Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral, Discussion Papers (2001) View citations (19) (2001)

2002

35. RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
    Macroeconomic Dynamics, 2002, 6, (2), 284-306 View citations (64)

2001

36. Incomplete Markets, Transitory Shocks, and Welfare
    Review of Economic Dynamics, 2001, 4, (4), 747-766 View citations (16)
    See also Working Paper INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE, Computing in Economics and Finance 2000 (2000) View citations (4) (2000)
37. Monopolistic security design in finance economies
    Economic Theory, 2001, 18, (1), 37-72 View citations (3)
    See also Working Paper MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES, Computing in Economics and Finance 2000 (2000) View citations (1) (2000)

2000

38. Computing Equilibria in Stochastic Finance Economies
    Computational Economics, 2000, 15, (1-2), 145-72 View citations (10)
39. Computing equilibria in infinite-horizon finance economies: The case of one asset
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 1047-1078 View citations (13)

1999

40. General equilibrium models and homotopy methods
    Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1249-1279 View citations (60)

1998

41. Computing equilibria in the general equilibrium model with incomplete asset markets
    Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1375-1401 View citations (30)

Edited books

2012

1. Operations Research Proceedings 2011
   Operations Research Proceedings, Springer View citations (38)

Chapters

2008

1. Approximate Versus Exact Equilibria in Dynamic Economies
   Springer
   See also Journal Article Approximate versus Exact Equilibria in Dynamic Economies, Econometric Society (2005) View citations (27) (2005)

Software Items

2022

1. Code and data files for "Re-use of collateral: Leverage, volatility, and welfare"
   Computer Codes, Review of Economic Dynamics
   See also Journal Article Re-use of collateral: Leverage, volatility, and welfare, Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics (2023) View citations (1) (2023)