Details about Marcel Rindisbacher

Access statistics for papers by Marcel Rindisbacher.

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

Short-id: pri246

Working Papers

2023

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

2013

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

2005

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

2004

4. 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)
   See also Journal Article Asymptotic properties of Monte Carlo estimators of diffusion processes, Journal of Econometrics, Elsevier (2006) View citations (17) (2006)

2000

5. A Monte-Carlo Method for Optimal Portfolios
   CIRANO Working Papers, CIRANO View citations (18)
   See also Journal Article A Monte Carlo Method for Optimal Portfolios, Journal of Finance, American Finance Association (2003) 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) View citations (1)
2. Vanishing Contagion Spreads
   Management Science, 2022, 68, (1), 740-772

2020

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

2018

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

2013

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

2010

6. Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications
   The Review of Financial Studies, 2010, 23, (1), 25-100 View citations (26)

2009

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

2008

8. Dynamic asset liability management with tolerance for limited shortfalls
   Insurance: Mathematics and Economics, 2008, 43, (3), 281-294 View citations (20)

2007

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

2006

11. Asymptotic properties of Monte Carlo estimators of diffusion processes
    Journal of Econometrics, 2006, 134, (1), 1-68 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

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

2003

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

1994

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