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Details about Bernard Dumas

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Homepage:https://www.insead.edu/faculty-research/faculty/bernard-dumas/personal-site
Workplace:INSEAD, (more information at EDIRC)

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Last updated 2023-01-06. Update your information in the RePEc Author Service.

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Working Papers

2021

  1. The Debt Capacity of a Government
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads

2020

  1. A Theory of the Nominal Character of Stock Securities
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2020) Downloads
    Working Papers, Swiss National Bank (2020) Downloads
  2. Firms' Exposures to Geographic Risks
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2020) Downloads

2016

  1. The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (18)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) Downloads 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) Downloads View citations (14) (2016)

2015

  1. The Dynamic Properties of Financial-Market Equilibrium with Trading Fees
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) Downloads View citations (5)
    NBER Working Papers, National Bureau of Economic Research, Inc (2013) Downloads View citations (3)

    See also Journal Article The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees, Journal of Finance, American Finance Association (2019) Downloads View citations (6) (2019)
  2. Trading Fees and Slow-Moving Capital
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (6)

2014

  1. Differences of Opinion and International Equity Markets
    GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (5)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2011) Downloads View citations (12)

    See also Journal Article Differences of Opinion and International Equity Markets, The Review of Financial Studies, Society for Financial Studies (2017) Downloads View citations (18) (2017)

2012

  1. Hysteresis Bands and Transaction Costs
    CSEF Working Papers, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy Downloads

2009

  1. Incomplete-Market Equilibria Solved Recursively on an Event Tree
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2008) Downloads View citations (3)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2008) Downloads View citations (3)

    See also Journal Article Incomplete-Market Equilibria Solved Recursively on an Event Tree, Journal of Finance, American Finance Association (2012) Downloads View citations (35) (2012)

2007

  1. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (8)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) Downloads View citations (8)
    NBER Working Papers, National Bureau of Economic Research, Inc (2007) Downloads 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) Downloads View citations (172) (2009)

2006

  1. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (9)

2003

  1. Cross-Border Valuation: The International Cost of Equity Capital
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads View citations (20)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2003) Downloads View citations (20)

2002

  1. A Central-Planning Approach to Dynamic Incomplete-Market Equilibrium
    Levine's Working Paper Archive, David K. Levine Downloads View citations (3)

2000

  1. Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads 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) Downloads View citations (98) (2003)
  2. Pass-through and Exposure
    Working Papers, University of Pennsylvania, Wharton School, Weiss Center Downloads 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) Downloads View citations (86) (2002)

1999

  1. Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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

  1. Efficient Intertemporal Allocations with Recursive Utility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    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) Downloads View citations (26) (2000)

1997

  1. Are Common Swings in International Stock Returns Justified by Subsequent Changes in National Outputs ?
    Working Papers, HAL View citations (2)

1996

  1. Financial Securities - Market Equilibrium and Pricing Methods
    Post-Print, HAL View citations (3)
  2. Implied Volatility Functions: Empirical Tests
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (14)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (1996) Downloads View citations (14)
    Working Papers, HAL (1996) View citations (15)

1995

  1. Les titres financiers - équilibre du marché et méthodes d'évaluation
    Post-Print, HAL

1994

  1. A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (19) (1994)
  2. 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) Downloads 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) Downloads View citations (1)

    See also Journal Article How long do unilateral target zones last?, Journal of International Economics, Elsevier (1994) Downloads View citations (15) (1994)
  3. 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) Downloads View citations (11)
    Working Papers, HAL (1993) View citations (10)
  4. Short- and Long-term Hedging for the Corporation
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Working Papers, HAL (1992) View citations (2)
  5. 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) Downloads 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) Downloads View citations (389) (1995)

1993

  1. 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) Downloads View citations (11)
    Working Papers, HAL (1992) View citations (1)
  2. Realignment Bank and Currency Option Pricing in Target Zones
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research View citations (2)
  3. Realignment Risk and Currency Option Pricing in Target Zones
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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) Downloads View citations (22) (1995)
  4. 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) Downloads View citations (11) (1995)

1992

  1. Partial-Equilibrium vs General-Equilibrium Models of International Capital Market Equilibrium
    Weiss Center Working Papers, Wharton School - Weiss Center for International Financial Research
  2. The world price of exchange rate risk
    Working Papers, HAL View citations (7)

1991

  1. Target Zones Big and Small
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (4)

1990

  1. An exact solution to the portfolio choice problem under transactions costs
    Working Papers, HAL View citations (2)
  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) Downloads View citations (8)
    The Warwick Economics Research Paper Series (TWERPS), University of Warwick, Department of Economics (1990) Downloads View citations (8)
    Economic Research Papers, University of Warwick - Department of Economics (1990) Downloads 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) Downloads View citations (12) (1993)

1989

  1. 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) Downloads View citations (5)
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research View citations (3)
  2. 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)
  3. 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 Downloads View citations (5)

1988

  1. Pricing Physical Assets Internationally
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads 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)
  2. 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) Downloads View citations (160) (1991)
  3. Time to ship and the Dynamics of PPP deviations
    Working Papers, HAL

1986

  1. Two-Person Dynamic Equilibrium: Trading in the Capital Market
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads
    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

  1. The stochastic Ramsey problem and stock prices
    Working Papers, HAL

1982

  1. International Portfolio Choice and Corporation Finance: A Survey
    Research Program in Finance Working Papers, University of California at Berkeley View citations (2)

1977

  1. The welfare economics of speculation
    Working Papers, HAL

1976

  1. A theory of forward market intervention
    Working Papers, HAL
  2. Rational expectations and market efficiency
    Working Papers, HAL
  3. The equilibrium relationship between simultaneous spot and futures commodities prices
    Working Papers, HAL
  4. Trade balance, foreign exchange overspending, underspending: a reappraisal
    Working Papers, HAL

1974

  1. Optimal domestic acquisitions
    Working Papers, HAL

Undated

  1. 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)
  2. Factor Price Equalization Under Uncertainty
    Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research
  3. 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)
  4. 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)
  5. 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) Downloads View citations (5) (1990)
  6. 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)
  7. 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) Downloads View citations (2) (1990)

Journal Articles

2019

  1. From volatility smiles to the volatility of volatility
    Decisions in Economics and Finance, 2019, 42, (2), 387-406 Downloads View citations (2)
  2. The Dynamic Properties of Financial‐Market Equilibrium with Trading Fees
    Journal of Finance, 2019, 74, (2), 795-844 Downloads View citations (6)
    See also Working Paper The Dynamic Properties of Financial-Market Equilibrium with Trading Fees, NBER Working Papers (2015) Downloads View citations (1) (2015)

2017

  1. Differences of Opinion and International Equity Markets
    The Review of Financial Studies, 2017, 30, (3), 750-800 Downloads View citations (18)
    See also Working Paper Differences of Opinion and International Equity Markets, GSIA Working Papers (2014) Downloads View citations (5) (2014)

2016

  1. The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
    Journal of Monetary Economics, 2016, 81, (C), 25-43 Downloads View citations (14)
    See also Working Paper The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis, Carlo Alberto Notebooks (2016) Downloads View citations (18) (2016)

2015

  1. Hysteresis bands on returns, holding period and transaction costs
    Journal of Banking & Finance, 2015, 57, (C), 86-100 Downloads View citations (6)

2012

  1. Incomplete-Market Equilibria Solved Recursively on an Event Tree
    Journal of Finance, 2012, 67, (5), 1897-1941 Downloads View citations (35)
    See also Working Paper Incomplete-Market Equilibria Solved Recursively on an Event Tree, CEPR Discussion Papers (2009) Downloads View citations (1) (2009)

2009

  1. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    Journal of Finance, 2009, 64, (2), 579-629 Downloads View citations (172)
    See also Working Paper Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, CEPR Discussion Papers (2007) Downloads View citations (8) (2007)

2003

  1. Are correlations of stock returns justified by subsequent changes in national outputs?
    Journal of International Money and Finance, 2003, 22, (6), 777-811 Downloads View citations (98)
    See also Working Paper Are Correlations of Stock Returns Justified by Subsequent Changes in National Outputs?, Working Papers (2000) Downloads View citations (13) (2000)

2002

  1. Pass‐through and Exposure
    Journal of Finance, 2002, 57, (1), 199-231 Downloads View citations (86)
    See also Working Paper Pass-through and Exposure, Working Papers (2000) Downloads View citations (11) (2000)

2001

  1. 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) Downloads View citations (5) (1999)

2000

  1. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 Downloads View citations (26)
    See also Working Paper Efficient Intertemporal Allocations with Recursive Utility, NBER Technical Working Papers (1998) Downloads (1998)

1995

  1. 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 Downloads View citations (2)
  2. Realignment risk and currency option pricing in target zones
    European Economic Review, 1995, 39, (8), 1523-1544 Downloads View citations (22)
    See also Working Paper Realignment Risk and Currency Option Pricing in Target Zones, NBER Working Papers (1993) Downloads View citations (5) (1993)
  3. Siegel's paradox and the pricing of currency options
    Journal of International Money and Finance, 1995, 14, (2), 213-223 Downloads View citations (11)
    See also Working Paper Siegel's Paradox and Pricing of Currency Options, Weiss Center Working Papers (1993) View citations (3) (1993)
  4. The World Price of Foreign Exchange Risk
    Journal of Finance, 1995, 50, (2), 445-79 Downloads View citations (389)
    See also Working Paper The World Price of Foreign Exchange Risk, DELTA Working Papers (1994) (1994)

1994

  1. How long do unilateral target zones last?
    Journal of International Economics, 1994, 36, (3-4), 467-481 Downloads View citations (15)
    See also Working Paper How Long Do Unilateral Target Zones Last?, DELTA Working Papers (1994) (1994)
  2. Some models of the international capital market
    European Economic Review, 1994, 38, (3-4), 923-931 Downloads View citations (5)

1993

  1. Monetary contracting between central banks and the design of sustainable exchange-rate zones
    Journal of International Economics, 1993, 34, (3-4), 201-224 Downloads 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

  1. Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World
    The Review of Financial Studies, 1992, 5, (2), 153-80 Downloads View citations (523)

1991

  1. An Exact Solution to a Dynamic Portfolio Choice Problem under Transactions Costs
    Journal of Finance, 1991, 46, (2), 577-95 Downloads View citations (153)
  2. Super contact and related optimality conditions
    Journal of Economic Dynamics and Control, 1991, 15, (4), 675-685 Downloads View citations (160)
    See also Working Paper Super-contact and Related Optimality Condition, Working Papers (1988) (1988)

1990

  1. Performance of currency portfolios chosen by a Bayesian technique: 1967-1985
    Journal of Banking & Finance, 1990, 14, (2-3), 539-558 Downloads 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
  2. The money and bond markets in France: Segmentation vs. integration
    Journal of Banking & Finance, 1990, 14, (2-3), 613-635 Downloads 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

  1. Two-Person Dynamic Equilibrium in the Capital Market
    The Review of Financial Studies, 1989, 2, (2), 157-88 Downloads View citations (177)

1988

  1. Price rigidity, international mobility of financial capital and exchange rate volatility: Gerhard O. Orosel
    European Economic Review, 1988, 32, (5), 1165-1165 Downloads

1983

  1. International Portfolio Choice and Corporation Finance: A Synthesis
    Journal of Finance, 1983, 38, (3), 925-84 Downloads View citations (518)

1980

  1. The Exposure of Long-Term Foreign Currency Bonds
    Journal of Financial and Quantitative Analysis, 1980, 15, (4), 973-994 Downloads View citations (28)
  2. The theorems of international trade under generalized uncertainty
    Journal of International Economics, 1980, 10, (4), 481-498 Downloads View citations (4)

1978

  1. The Theory of the Trading Firm Revisited
    Journal of Finance, 1978, 33, (3), 1019-30 Downloads View citations (58)

1977

  1. International Finance-Problems of Segmented Capital Markets: Discussion
    Journal of Finance, 1977, 32, (2), 512-15 Downloads
  2. The Microeconomics of the Firm in an Open Economy
    American Economic Review, 1977, 67, (1), 180-89 Downloads View citations (2)

1976

  1. Portfolio Choice and the Demand for Forward Exchange
    American Economic Review, 1976, 66, (2), 332-39 Downloads View citations (7)

1975

  1. Optimal International Acquisitions
    Journal of Finance, 1975, 30, (1), 1-19 Downloads View citations (20)

Books

2017

  1. The Economics of Continuous-Time Finance, vol 1
    MIT Press Books, The MIT Press View citations (8)

Chapters

1998

  1. Modelling International Stock Return Cycles
    Palgrave Macmillan

1994

  1. 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 Downloads 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) Downloads View citations (24) (1994)
 
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