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Details about Karl Schmedders

E-mail:
Homepage:http://www.business.uzh.ch
Phone:+41 (0)44 634 3770
Postal address:Moussonstrasse 15 8044 Zurich Switzerland
Workplace:Institut für Betriebswirtschaftslehre (Department of Business Administration), Wirtschaftswissenschaftliche Fakutät (Faculty of Economics), Universität Zürich (University of Zurich), (more information at EDIRC)

Access statistics for papers by Karl Schmedders.

Last updated 2018-08-19. Update your information in the RePEc Author Service.

Short-id: psc9


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Working Papers

2017

  1. Dynamic Principal–Agent Models
    Working Papers, Lancaster University Management School, Economics Department Downloads
  2. Re-Use of Collateral: Leverage, Volatility, and Welfare
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) Downloads

2016

  1. A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  2. Dynamic Principal-Agent Models
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
  3. Higher-Order Effects in Asset-Pricing Models with Long-Run Risks
    2016 Meeting Papers, Society for Economic Dynamics Downloads View citations (4)
    See also Journal Article in Journal of Finance (2018)
  4. 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 Downloads
  5. Statistical Approximation of High-Dimensional Climate Models
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads

2015

  1. Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)

2014

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

2013

  1. Collateral requirements and asset prices
    Discussion Papers, Deutsche Bundesbank Downloads View citations (2)
    Also in 2011 Meeting Papers, Society for Economic Dynamics (2011) Downloads View citations (4)
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) Downloads View citations (2)

    See also Journal Article in International Economic Review (2015)

2012

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

2010

  1. Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (2)

2009

  1. Non-parametric counterfactual analysis in dynamic general equilibrium
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (1)
    Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) Downloads View citations (1)

    See also Journal Article in Economic Theory (2010)

2008

  1. Bond Ladders and Optimal Portfolios
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads
    See also Journal Article in Review of Financial Studies (2011)

2007

  1. Competitive Equilibria in Semi-Algebraic Economies
    PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania Downloads View citations (2)
    See also Journal Article in Journal of Economic Theory (2010)

2006

  1. 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 Downloads

2005

  1. A Computational Approach to Proving Uniqueness in Dynamic Games
    Computing in Economics and Finance 2005, Society for Computational Economics View citations (6)
  2. Excess price volatility and financial innovation
    Post-Print, HAL View citations (2)
    See also Journal Article in Economic Theory (2005)
  3. Two-Fund Separation in Dynamic General Equilibrium
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (2)
    Also in 2005 Meeting Papers, Society for Economic Dynamics (2005) Downloads View citations (2)

    See also Journal Article in Theoretical Economics (2007)

2004

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

2002

  1. Controlling Price Volatility Through Financial Innovation
    Working Papers, HAL
    Also in HEC Research Papers Series, HEC Paris (2002) Downloads
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2002) Downloads
  2. Optimal Policies for Patent Races
    Computing in Economics and Finance 2002, Society for Computational Economics
  3. Optimal Rules for Patent Races
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (12)
    Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business Downloads View citations (4)

    See also Journal Article in International Economic Review (2012)
  4. Price Caps and Uncertain Demands
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (3)

2001

  1. Asset Pricing in Models with incomplete markets and default
    Computing in Economics and Finance 2001, Society for Computational Economics View citations (6)
  2. Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (2)
    Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2000) Downloads

    See also Journal Article in Economic Theory (2006)
  3. 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 Downloads
  4. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads View citations (16)
    See also Journal Article in Econometrica (2003)

2000

  1. Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
    Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science Downloads
  2. INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE
    Computing in Economics and Finance 2000, Society for Computational Economics View citations (2)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) Downloads View citations (10)
    Levine's Working Paper Archive, David K. Levine (2000) Downloads View citations (3)

    See also Journal Article in Review of Economic Dynamics (2001)
  3. MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES
    Computing in Economics and Finance 2000, Society for Computational Economics Downloads View citations (1)
    Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) Downloads View citations (1)

    See also Journal Article in Economic Theory (2001)

Undated

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

Journal Articles

2018

  1. Higher Order Effects in Asset Pricing Models with Long‐Run Risks
    Journal of Finance, 2018, 73, (3), 1061-1111 Downloads View citations (7)
    See also Working Paper (2016)

2016

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

2015

  1. A Polynomial Optimization Approach to Principal–Agent Problems
    Econometrica, 2015, 83, 729-769 Downloads View citations (5)
    See also Working Paper (2012)
  2. COLLATERAL REQUIREMENTS AND ASSET PRICES
    International Economic Review, 2015, 56, 1-25 Downloads View citations (7)
    See also Working Paper (2013)
  3. Margin regulation and volatility
    Journal of Monetary Economics, 2015, 75, (C), 54-68 Downloads View citations (3)
    See also Working Paper (2014)

2012

  1. Financial Innovation and Asset Price Volatility
    American Economic Review, 2012, 102, (3), 147-51 Downloads View citations (6)
  2. Finding all pure‐strategy equilibria in games with continuous strategies
    Quantitative Economics, 2012, 3, (2), 289-331 Downloads View citations (5)
  3. OPTIMAL RULES FOR PATENT RACES
    International Economic Review, 2012, 53, (1), 23-52 Downloads View citations (8)
    See also Working Paper (2002)

2011

  1. Bond Ladders and Optimal Portfolios
    Review of Financial Studies, 2011, 24, (12), 4123-4166 Downloads
    See also Working Paper (2008)

2010

  1. Competitive equilibria in semi-algebraic economies
    Journal of Economic Theory, 2010, 145, (1), 301-330 Downloads View citations (12)
    See also Working Paper (2007)
  2. Non-parametric counterfactual analysis in dynamic general equilibrium
    Economic Theory, 2010, 45, (1), 181-200 Downloads View citations (3)
    See also Working Paper (2009)
  3. Tackling Multiplicity of Equilibria with Gröbner Bases
    Operations Research, 2010, 58, (4-part-2), 1037-1050 Downloads View citations (6)
  4. Uniqueness of Steady States in Models with Overlapping Generations
    Journal of the European Economic Association, 2010, 8, (2-3), 635-644 Downloads View citations (4)

2007

  1. On Price Caps Under Uncertainty
    Review of Economic Studies, 2007, 74, (1), 93-111 Downloads View citations (18)
  2. Two-fund separation in dynamic general equilibrium
    Theoretical Economics, 2007, 2, (2) Downloads View citations (3)
    See also Working Paper (2005)

2006

  1. Computing equilibria in finance economies with incomplete markets and transaction costs
    Economic Theory, 2006, 27, (3), 493-512 Downloads View citations (6)
    See also Working Paper (2001)
  2. 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 Downloads View citations (2)

2005

  1. Approximate versus Exact Equilibria in Dynamic Economies
    Econometrica, 2005, 73, (4), 1205-1235 Downloads View citations (17)
  2. Excess price volatility and financial innovation
    Economic Theory, 2005, 26, (3), 559-587 Downloads View citations (11)
    See also Working Paper (2005)

2003

  1. Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
    Economic Theory, 2003, 22, (1), 1-15 Downloads View citations (5)
  2. Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
    Econometrica, 2003, 71, (6), 1767-1793 Downloads View citations (99)
    See also Working Paper (2001)

2002

  1. RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
    Macroeconomic Dynamics, 2002, 6, (2), 284-306 Downloads View citations (44)

2001

  1. Incomplete Markets, Transitory Shocks, and Welfare
    Review of Economic Dynamics, 2001, 4, (4), 747-766 Downloads View citations (10)
    See also Working Paper (2000)
  2. Monopolistic security design in finance economies
    Economic Theory, 2001, 18, (1), 37-72 Downloads View citations (2)
    See also Working Paper (2000)

2000

  1. Computing Equilibria in Stochastic Finance Economies
    Computational Economics, 2000, 15, (1-2), 145-72 Downloads View citations (9)
  2. Computing equilibria in infinite-horizon finance economies: The case of one asset
    Journal of Economic Dynamics and Control, 2000, 24, (5-7), 1047-1078 Downloads View citations (8)

1999

  1. General equilibrium models and homotopy methods
    Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1249-1279 Downloads View citations (31)

1998

  1. Computing equilibria in the general equilibrium model with incomplete asset markets
    Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1375-1401 Downloads View citations (25)
 
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