Details about Bernard Dumas
Access statistics for papers by Bernard Dumas.
Last updated 2023-01-06. Update your information in the RePEc Author Service.
Short-id: pdu519
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Working Papers
2021
- The Debt Capacity of a Government
NBER Working Papers, National Bureau of Economic Research, Inc
2020
- A Theory of the Nominal Character of Stock Securities
CEPR Discussion Papers, C.E.P.R. Discussion Papers
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Working Papers, Swiss National Bank (2020)
- Firms' Exposures to Geographic Risks
NBER Working Papers, National Bureau of Economic Research, Inc
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020)
2016
- The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (18)
Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) View citations (19)
See also Journal Article The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis, Journal of Monetary Economics, Elsevier (2016) View citations (14) (2016)
2015
- The Dynamic Properties of Financial-Market Equilibrium with Trading Fees
NBER Working Papers, National Bureau of Economic Research, Inc View citations (1)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (5) NBER Working Papers, National Bureau of Economic Research, Inc (2013) View citations (3)
See also Journal Article The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees, Journal of Finance, American Finance Association (2019) View citations (6) (2019)
- Trading Fees and Slow-Moving Capital
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (6)
2014
- Differences of Opinion and International Equity Markets
GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (5)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) View citations (12)
See also Journal Article Differences of Opinion and International Equity Markets, The Review of Financial Studies, Society for Financial Studies (2017) View citations (18) (2017)
2012
- Hysteresis Bands and Transaction Costs
CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy
2009
- Incomplete-Market Equilibria Solved Recursively on an Event Tree
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) View citations (3) Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2008) View citations (3)
See also Journal Article Incomplete-Market Equilibria Solved Recursively on an Event Tree, Journal of Finance, American Finance Association (2012) View citations (35) (2012)
2007
- Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) View citations (8) NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (10)
See also Journal Article Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, Journal of Finance, American Finance Association (2009) View citations (172) (2009)
2006
- What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (8) CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (9)
2003
- Cross-Border Valuation: The International Cost of Equity Capital
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (20)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) View citations (20)
2002
- A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
Levine's Working Paper Archive, David K. Levine View citations (3)
2000
- Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (13)
See also Journal Article Are correlations of stock returns justified by subsequent changes in national outputs?, Journal of International Money and Finance, Elsevier (2003) View citations (98) (2003)
- Pass-through and Exposure
Working Papers, University of Pennsylvania, Wharton School, Weiss Center View citations (11)
Also in Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1998) View citations (2) Working Papers, HAL (1997) View citations (2)
See also Journal Article Pass‐through and Exposure, Journal of Finance, American Finance Association (2002) View citations (86) (2002)
1999
- Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
See also Journal Article Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods, The Review of Financial Studies, Society for Financial Studies (2001) View citations (17) (2001)
1998
- Efficient Intertemporal Allocations with Recursive Utility
NBER Technical Working Papers, National Bureau of Economic Research, Inc
Also in Working Papers, HAL (1997) View citations (1)
See also Journal Article Efficient Intertemporal Allocations with Recursive Utility, Journal of Economic Theory, Elsevier (2000) View citations (26) (2000)
1997
- Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs ?
Working Papers, HAL View citations (2)
1996
- Financial Securities - Market Equilibrium and Pricing Methods
Post-Print, HAL View citations (3)
- Implied Volatility Functions: Empirical Tests
NBER Working Papers, National Bureau of Economic Research, Inc View citations (14)
Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) View citations (14) Working Papers, HAL (1996) View citations (15)
1995
- Les titres financiers - équilibre du marché et méthodes d'évaluation
Post-Print, HAL
1994
- A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
NBER Working Papers, National Bureau of Economic Research, Inc View citations (24)
Also in DELTA Working Papers, DELTA (Ecole normale supérieure) (1994)
See also Chapter A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables, NBER Chapters, National Bureau of Economic Research, Inc (1994) View citations (19) (1994)
- How Long Do Unilateral Target Zones Last?
DELTA Working Papers, DELTA (Ecole normale supérieure)
Also in Working Papers, Stockholm - International Economic Studies (1991) View citations (3) NBER Working Papers, National Bureau of Economic Research, Inc (1991) View citations (14) Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1991) View citations (3) Working Papers, HAL (1993) CEPR Discussion Papers, C.E.P.R. Discussion Papers (1992) View citations (1)
See also Journal Article How long do unilateral target zones last?, Journal of International Economics, Elsevier (1994) View citations (15) (1994)
- Partial - vs General - Equilibrium Models of the International Capital Market
DELTA Working Papers, DELTA (Ecole normale supérieure)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (11) Working Papers, HAL (1993) View citations (10)
- Short- and Long-term Hedging for the Corporation
CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (10)
Also in Working Papers, HAL (1992) View citations (2)
- The World Price of Foreign Exchange Risk
DELTA Working Papers, DELTA (Ecole normale supérieure)
Also in Working Papers, HAL (1994) View citations (1) NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (2) Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research (1993) View citations (2)
See also Journal Article The World Price of Foreign Exchange Risk, Journal of Finance, American Finance Association (1995) View citations (389) (1995)
1993
- Currency Option Pricing in Credible Target Zones
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (9)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1993) View citations (11) Working Papers, HAL (1992) View citations (1)
- Realignment Bank and Currency Option Pricing in Target Zones
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (2)
- Realignment Risk and Currency Option Pricing in Target Zones
NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
Also in Working Papers, HAL (1992) View citations (1) Working Papers, HAL (1993) View citations (5)
See also Journal Article Realignment risk and currency option pricing in target zones, European Economic Review, Elsevier (1995) View citations (22) (1995)
- Siegel's Paradox and Pricing of Currency Options
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (3)
Also in Working Papers, HAL (1993) View citations (1)
See also Journal Article Siegel's paradox and the pricing of currency options, Journal of International Money and Finance, Elsevier (1995) View citations (11) (1995)
1992
- Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
- The world price of exchange rate risk
Working Papers, HAL View citations (7)
1991
- Target Zones Big and Small
NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
1990
- An exact solution to the portfolio choice problem under transactions costs
Working Papers, HAL View citations (2)
- MONETARY CONTRACTING BETWEEN CENTRAL BANKS AND THE DESIGN OF SUSTAINABLE EXCHANGE-RATE ZONES
Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (8)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1990) View citations (8) The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1990) View citations (8) Economic Research Papers, University of Warwick - Department of Economics (1990) View citations (9)
See also Journal Article Monetary contracting between central banks and the design of sustainable exchange-rate zones, Journal of International Economics, Elsevier (1993) View citations (12) (1993)
1989
- Perishable Investment and Hysteresis in Capital Formation
Working Papers, HAL View citations (3)
Also in NBER Working Papers, National Bureau of Economic Research, Inc (1989) View citations (5) Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
- Pricing Physical Assets Internationnaly: A Non linear Heteroskedastic Process for Equilibrium Real Exchange Rates
Working Papers, HAL 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 (6)
- Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian
NBER Technical Working Papers, National Bureau of Economic Research, Inc View citations (5)
1988
- Pricing Physical Assets Internationally
NBER Working Papers, National Bureau of Economic Research, Inc View citations (3)
Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
- Super-contact and Related Optimality Condition
Working Papers, HAL
See also Journal Article Super contact and related optimality conditions, Journal of Economic Dynamics and Control, Elsevier (1991) View citations (160) (1991)
- Time to ship and the Dynamics of PPP deviations
Working Papers, HAL
1986
- Two-Person Dynamic Equilibrium: Trading in the Capital Market
NBER Working Papers, National Bureau of Economic Research, Inc
Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
1985
- The stochastic Ramsey problem and stock prices
Working Papers, HAL
1982
- International Portfolio Choice and Corporation Finance: A Survey
Research Program in Finance Working Papers, University of California at Berkeley View citations (2)
1977
- The welfare economics of speculation
Working Papers, HAL
1976
- A theory of forward market intervention
Working Papers, HAL
- Rational expectations and market efficiency
Working Papers, HAL
- The equilibrium relationship between simultaneous spot and futures commodities prices
Working Papers, HAL
- Trade balance, foreign exchange overspending, underspending: a reappraisal
Working Papers, HAL
1974
- Optimal domestic acquisitions
Working Papers, HAL
Undated
- An Exact Solution to the Portfolio Choice Problem Under Transactions Costs (Reprint 019)
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
- Factor Price Equalization Under Uncertainty
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
- How Far Apart Can Two Riskless Interest Rates (One Moves, the Other One Does Not)
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (2)
- Monetary Contracting between Central Banks and the Design of Sustainable Exchange-Rate Zones (Reprint 035)
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (9)
- Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
See also Journal Article Performance of currency portfolios chosen by a Bayesian technique: 1967-1985, Journal of Banking & Finance, Elsevier (1990) View citations (5) (1990)
- Super Contact and Related Optimality Conditions: A Supplement to Avinash Dixit's: "A Simplified Exposition of Some Results Concerning Regulated Brownian Motion" (Reprint 020)
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (1)
- The Money and Bond Markets in France: Segmentation vs. Integration
Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
See also Journal Article The money and bond markets in France: Segmentation vs. integration, Journal of Banking & Finance, Elsevier (1990) View citations (2) (1990)
Journal Articles
2019
- From volatility smiles to the volatility of volatility
Decisions in Economics and Finance, 2019, 42, (2), 387-406 View citations (2)
- The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees
Journal of Finance, 2019, 74, (2), 795-844 View citations (6)
See also Working Paper The Dynamic Properties of Financial-Market Equilibrium with Trading Fees, NBER Working Papers (2015) View citations (1) (2015)
2017
- Differences of Opinion and International Equity Markets
The Review of Financial Studies, 2017, 30, (3), 750-800 View citations (18)
See also Working Paper Differences of Opinion and International Equity Markets, GSIA Working Papers (2014) View citations (5) (2014)
2016
- The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
Journal of Monetary Economics, 2016, 81, (C), 25-43 View citations (14)
See also Working Paper The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis, Carlo Alberto Notebooks (2016) View citations (18) (2016)
2015
- Hysteresis bands on returns, holding period and transaction costs
Journal of Banking & Finance, 2015, 57, (C), 86-100 View citations (6)
2012
- Incomplete-Market Equilibria Solved Recursively on an Event Tree
Journal of Finance, 2012, 67, (5), 1897-1941 View citations (35)
See also Working Paper Incomplete-Market Equilibria Solved Recursively on an Event Tree, CEPR Discussion Papers (2009) View citations (1) (2009)
2009
- Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
Journal of Finance, 2009, 64, (2), 579-629 View citations (172)
See also Working Paper Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, CEPR Discussion Papers (2007) View citations (8) (2007)
2003
- Are correlations of stock returns justified by subsequent changes in national outputs?
Journal of International Money and Finance, 2003, 22, (6), 777-811 View citations (98)
See also Working Paper Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?, Working Papers (2000) View citations (13) (2000)
2002
- Pass‐through and Exposure
Journal of Finance, 2002, 57, (1), 199-231 View citations (86)
See also Working Paper Pass-through and Exposure, Working Papers (2000) View citations (11) (2000)
2001
- Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods
The Review of Financial Studies, 2001, 14, (1), 277-305 View citations (17)
See also Working Paper Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods, NBER Working Papers (1999) View citations (5) (1999)
2000
- Efficient Intertemporal Allocations with Recursive Utility
Journal of Economic Theory, 2000, 93, (2), 240-259 View citations (26)
See also Working Paper Efficient Intertemporal Allocations with Recursive Utility, NBER Technical Working Papers (1998) (1998)
1995
- Comment on 'Exchange rate shocks, currency options and the Siegel paradox' by Indrajit Bardhan
Journal of International Money and Finance, 1995, 14, (3), 459-460 View citations (2)
- Realignment risk and currency option pricing in target zones
European Economic Review, 1995, 39, (8), 1523-1544 View citations (22)
See also Working Paper Realignment Risk and Currency Option Pricing in Target Zones, NBER Working Papers (1993) View citations (5) (1993)
- Siegel's paradox and the pricing of currency options
Journal of International Money and Finance, 1995, 14, (2), 213-223 View citations (11)
See also Working Paper Siegel's Paradox and Pricing of Currency Options, Weiss Center Working Papers (1993) View citations (3) (1993)
- The World Price of Foreign Exchange Risk
Journal of Finance, 1995, 50, (2), 445-79 View citations (389)
See also Working Paper The World Price of Foreign Exchange Risk, DELTA Working Papers (1994) (1994)
1994
- How long do unilateral target zones last?
Journal of International Economics, 1994, 36, (3-4), 467-481 View citations (15)
See also Working Paper How Long Do Unilateral Target Zones Last?, DELTA Working Papers (1994) (1994)
- Some models of the international capital market
European Economic Review, 1994, 38, (3-4), 923-931 View citations (5)
1993
- Monetary contracting between central banks and the design of sustainable exchange-rate zones
Journal of International Economics, 1993, 34, (3-4), 201-224 View citations (12)
See also Working Paper MONETARY CONTRACTING BETWEEN CENTRAL BANKS AND THE DESIGN OF SUSTAINABLE EXCHANGE-RATE ZONES, Weiss Center Working Papers (1990) View citations (8) (1990)
1992
- Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World
The Review of Financial Studies, 1992, 5, (2), 153-80 View citations (523)
1991
- An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
Journal of Finance, 1991, 46, (2), 577-95 View citations (153)
- Super contact and related optimality conditions
Journal of Economic Dynamics and Control, 1991, 15, (4), 675-685 View citations (160)
See also Working Paper Super-contact and Related Optimality Condition, Working Papers (1988) (1988)
1990
- Performance of currency portfolios chosen by a Bayesian technique: 1967-1985
Journal of Banking & Finance, 1990, 14, (2-3), 539-558 View citations (5)
See also Working Paper Performance of Currency Portfolios Chosen by a Bayesian Technique: 1967-1985, Rodney L. White Center for Financial Research Working Papers
- The money and bond markets in France: Segmentation vs. integration
Journal of Banking & Finance, 1990, 14, (2-3), 613-635 View citations (2)
See also Working Paper The Money and Bond Markets in France: Segmentation vs. Integration, Rodney L. White Center for Financial Research Working Papers
1989
- Two-Person Dynamic Equilibrium in the Capital Market
The Review of Financial Studies, 1989, 2, (2), 157-88 View citations (177)
1988
- Price rigidity, international mobility of financial capital and exchange rate volatility: Gerhard O. Orosel
European Economic Review, 1988, 32, (5), 1165-1165
1983
- International Portfolio Choice and Corporation Finance: A Synthesis
Journal of Finance, 1983, 38, (3), 925-84 View citations (518)
1980
- The Exposure of Long-Term Foreign Currency Bonds
Journal of Financial and Quantitative Analysis, 1980, 15, (4), 973-994 View citations (28)
- The theorems of international trade under generalized uncertainty
Journal of International Economics, 1980, 10, (4), 481-498 View citations (4)
1978
- The Theory of the Trading Firm Revisited
Journal of Finance, 1978, 33, (3), 1019-30 View citations (58)
1977
- International Finance-Problems of Segmented Capital Markets: Discussion
Journal of Finance, 1977, 32, (2), 512-15
- The Microeconomics of the Firm in an Open Economy
American Economic Review, 1977, 67, (1), 180-89 View citations (2)
1976
- Portfolio Choice and the Demand for Forward Exchange
American Economic Review, 1976, 66, (2), 332-39 View citations (7)
1975
- Optimal International Acquisitions
Journal of Finance, 1975, 30, (1), 1-19 View citations (20)
Books
2017
- The Economics of Continuous-Time Finance, vol 1
MIT Press Books, The MIT Press View citations (8)
Chapters
1998
- Modelling International Stock Return Cycles
Palgrave Macmillan
1994
- A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
A chapter in The Internationalization of Equity Markets, 1994, pp 23-58 View citations (19)
See also Working Paper A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables, National Bureau of Economic Research, Inc (1994) View citations (24) (1994)
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