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Details about Marcel Rindisbacher

Workplace:Department of Finance, Questrom School of Business, Boston University, (more information at EDIRC)

Access statistics for papers by Marcel Rindisbacher.

Last updated 2024-07-04. Update your information in the RePEc Author Service.

Short-id: pri246


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Working Papers

2023

  1. Volatility during the COVID-19 Pandemic
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2013

  1. Asset Pricing with Regime-Dependent Preferences and Learning
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (11)

2005

  1. Trading Volumes in Dynamically Efficient Markets
    FAME Research Paper Series, International Center for Financial Asset Management and Engineering Downloads

2004

  1. Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes
    Econometric Society 2004 North American Winter Meetings, Econometric Society View citations (1)
    Also in CIRANO Working Papers, CIRANO (2003) Downloads

    See also Journal Article Asymptotic properties of Monte Carlo estimators of diffusion processes, Journal of Econometrics, Elsevier (2006) Downloads View citations (17) (2006)

2000

  1. A Monte-Carlo Method for Optimal Portfolios
    CIRANO Working Papers, CIRANO Downloads View citations (18)
    See also Journal Article A Monte Carlo Method for Optimal Portfolios, Journal of Finance, American Finance Association (2003) Downloads View citations (122) (2003)

Journal Articles

2022

  1. Dynamic noisy rational expectations equilibrium with insider information: Welfare and regulation
    Journal of Economic Dynamics and Control, 2022, 141, (C) Downloads View citations (1)
  2. Vanishing Contagion Spreads
    Management Science, 2022, 68, (1), 740-772 Downloads

2020

  1. Dynamic Noisy Rational Expectations Equilibrium With Insider Information
    Econometrica, 2020, 88, (6), 2697-2737 Downloads View citations (7)

2018

  1. Asset pricing with beliefs-dependent risk aversion and learning
    Journal of Financial Economics, 2018, 128, (3), 504-534 Downloads View citations (12)

2013

  1. A Structural Model of Dynamic Market Timing
    The Review of Financial Studies, 2013, 26, (10), 2492-2547 Downloads

2010

  1. Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications
    The Review of Financial Studies, 2010, 23, (1), 25-100 Downloads View citations (25)

2009

  1. Life-Cycle Finance and the Design of Pension Plans
    Annual Review of Financial Economics, 2009, 1, (1), 249-286 Downloads View citations (25)

2008

  1. Dynamic asset liability management with tolerance for limited shortfalls
    Insurance: Mathematics and Economics, 2008, 43, (3), 281-294 Downloads View citations (19)

2007

  1. Heterogeneous preferences and equilibrium trading volume
    Journal of Financial Economics, 2007, 83, (3), 719-750 Downloads View citations (9)
  2. Monte Carlo methods for derivatives of options with discontinuous payoffs
    Computational Statistics & Data Analysis, 2007, 51, (7), 3393-3417 Downloads View citations (1)

2006

  1. Asymptotic properties of Monte Carlo estimators of diffusion processes
    Journal of Econometrics, 2006, 134, (1), 1-68 Downloads View citations (17)
    See also Working Paper Asymptotic Properties of Monte Carlo Estimators of Diffusion Processes, Econometric Society 2004 North American Winter Meetings (2004) View citations (1) (2004)

2005

  1. Asymptotic Properties of Monte Carlo Estimators of Derivatives
    Management Science, 2005, 51, (11), 1657-1675 Downloads View citations (10)
  2. CLOSED‐FORM SOLUTIONS FOR OPTIMAL PORTFOLIO SELECTION WITH STOCHASTIC INTEREST RATE AND INVESTMENT CONSTRAINTS
    Mathematical Finance, 2005, 15, (4), 539-568 Downloads View citations (21)
  3. Intertemporal asset allocation: A comparison of methods
    Journal of Banking & Finance, 2005, 29, (11), 2821-2848 Downloads View citations (16)
  4. Representation formulas for Malliavin derivatives of diffusion processes
    Finance and Stochastics, 2005, 9, (3), 349-367 Downloads View citations (14)

2003

  1. A Monte Carlo Method for Optimal Portfolios
    Journal of Finance, 2003, 58, (1), 401-446 Downloads View citations (122)
    See also Working Paper A Monte-Carlo Method for Optimal Portfolios, CIRANO Working Papers (2000) Downloads View citations (18) (2000)

1994

  1. Real Business Cycle Models - Some Evidence for Switzerland
    Swiss Journal of Economics and Statistics (SJES), 1994, 130, (I), 21-43 Downloads
 
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