Details about Karl Schmedders
Access statistics for papers by Karl Schmedders.
Last updated 2023-03-16. Update your information in the RePEc Author Service.
Short-id: psc9
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Working Papers
2018
- Re-use of collateral: leverage, volatility, and welfare
Working Paper Series, European Central Bank 
Also in 2017 Meeting Papers, Society for Economic Dynamics (2017) View citations (2) Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2017) View citations (2)
See also Journal Article in Review of Economic Dynamics (2023)
2017
- Dynamic Principal–Agent Models
Working Papers, Lancaster University Management School, Economics Department
2016
- A Large-Scale Optimization Model for Replicating Portfolios in the Life Insurance Industry
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- Dynamic Principal-Agent Models
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
- Higher-Order Effects in Asset-Pricing Models with Long-Run Risks
2016 Meeting Papers, Society for Economic Dynamics View citations (5)
See also Journal Article in Journal of Finance (2018)
- 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
- Statistical Approximation of High-Dimensional Climate Models
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
See also Journal Article in Journal of Econometrics (2020)
2015
- Higher-Order Dynamics in Asset-Pricing Models with Recursive Preferences
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (2)
2014
- Asset Prices with Temporary Shocks to Consumption
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- Margin regulation and volatility
Working Paper Series, European Central Bank View citations (1)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2013) View citations (5)
See also Journal Article in Journal of Monetary Economics (2015)
2013
- Collateral requirements and asset prices
Discussion Papers, Deutsche Bundesbank View citations (4)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2011) View citations (8) 2011 Meeting Papers, Society for Economic Dynamics (2011) View citations (7)
See also Journal Article in International Economic Review (2015)
- Long-Run UIP Holds Even in the Short Run
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
- The Perils of Performance Measurement in the German Mutual-Fund Industry
Swiss Finance Institute Research Paper Series, Swiss Finance Institute
2012
- A Polynomial Optimization Approach to Principal-Agent Problems
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
See also Journal Article in Econometrica (2015)
- Life-Cycle Portfolio Choice, the Wealth Distribution and Asset Prices
2012 Meeting Papers, Society for Economic Dynamics View citations (1)
Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2010) View citations (3)
- Margin Requirements and Asset Prices
2012 Meeting Papers, Society for Economic Dynamics View citations (2)
- Optimal and Naive Diversification in Currency Markets
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
See also Journal Article in Management Science (2017)
2010
- Finding All Pure-Strategy Equilibria in Static and Dynamic Games with Continuous Strategies
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
2009
- Non-parametric counterfactual analysis in dynamic general equilibrium
Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (1)
Also in PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania (2007) View citations (1)
See also Journal Article in Economic Theory (2010)
2008
- Bond Ladders and Optimal Portfolios
Swiss Finance Institute Research Paper Series, Swiss Finance Institute 
See also Journal Article in Review of Financial Studies (2011)
2007
- Competitive Equilibria in Semi-Algebraic Economies
PIER Working Paper Archive, Penn Institute for Economic Research, Department of Economics, University of Pennsylvania View citations (2)
See also Journal Article in Journal of Economic Theory (2010)
2006
- 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
2005
- A Computational Approach to Proving Uniqueness in Dynamic Games
Computing in Economics and Finance 2005, Society for Computational Economics View citations (6)
- Excess price volatility and financial innovation
Post-Print, HAL View citations (7)
See also Journal Article in Economic Theory (2005)
- Two-Fund Separation in Dynamic General Equilibrium
2005 Meeting Papers, Society for Economic Dynamics View citations (2)
Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2005) View citations (2)
See also Journal Article in Theoretical Economics (2007)
2004
- Approximate Versus Exact Equilibria
Computing in Economics and Finance 2004, Society for Computational Economics View citations (1)
Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2003)
2002
- Controlling Price Volatility Through Financial Innovation
Working Papers, HAL
Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2002)  HEC Research Papers Series, HEC Paris (2002)
- Optimal Policies for Patent Races
Computing in Economics and Finance 2002, Society for Computational Economics
- Optimal Rules for Patent Races
Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (12)
Also in GSIA Working Papers, Carnegie Mellon University, Tepper School of Business View citations (4)
See also Journal Article in International Economic Review (2012)
- Price Caps and Uncertain Demands
Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (3)
2001
- Asset Pricing in Models with incomplete markets and default
Computing in Economics and Finance 2001, Society for Computational Economics View citations (11)
- Computing Equilibria in Finance Economies with Incomplete Markets and Transaction Costs
Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (2)
Also in Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR) (2000) 
See also Journal Article in Economic Theory (2006)
- 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
- Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science View citations (19)
See also Journal Article in Econometrica (2003)
2000
- Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science 
See also Journal Article in Journal of Finance (2003)
- Evidence of the effect of domicile on corporate average effective tax rates in the European Union
Research Memorandum, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR)
- INCOMPLETE MARKETS, TRANSITORY SHOCKS AND WELFARE
Computing in Economics and Finance 2000, Society for Computational Economics View citations (4)
Also in Levine's Working Paper Archive, David K. Levine (2000) View citations (5) Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (10)
See also Journal Article in Review of Economic Dynamics (2001)
- MONOPOLISTIC SECURITY DESIGN IN FINANCE ECONOMIES
Computing in Economics and Finance 2000, Society for Computational Economics View citations (1)
Also in Discussion Papers, Northwestern University, Center for Mathematical Studies in Economics and Management Science (2000) View citations (1)
See also Journal Article in Economic Theory (2001)
Undated
- Computational General Equilibrium with Incomplete Assets
Computing in Economics and Finance 1997, Society for Computational Economics
Journal Articles
2023
- Re-use of collateral: Leverage, volatility, and welfare
Review of Economic Dynamics, 2023, 47, 19-46 
See also Working Paper (2018)
2021
- Asset pricing with heterogeneous agents and long-run risk
Journal of Financial Economics, 2021, 140, (3), 941-964 View citations (3)
2020
- Computing Economic Equilibria Using Projection Methods
Annual Review of Economics, 2020, 12, (1), 317-353
- Discrete‐time dynamic principal–agent models: Contraction mapping theorem and computational treatment
Quantitative Economics, 2020, 11, (4), 1215-1251
- Statistical approximation of high-dimensional climate models
Journal of Econometrics, 2020, 214, (1), 67-80 View citations (2)
See also Working Paper (2016)
2018
- Higher Order Effects in Asset Pricing Models with Long‐Run Risks
Journal of Finance, 2018, 73, (3), 1061-1111 View citations (45)
See also Working Paper (2016)
- Introduction: Einführung
Journal of Economics and Statistics (Jahrbuecher fuer Nationaloekonomie und Statistik), 2018, 238, (3-4), 183-187
2017
- Optimal and Naive Diversification in Currency Markets
Management Science, 2017, 63, (10), 3347-3360 View citations (10)
See also Working Paper (2012)
2016
- Asset prices with non-permanent shocks to consumption
Journal of Economic Dynamics and Control, 2016, 69, (C), 152-178
2015
- A Polynomial Optimization Approach to Principal–Agent Problems
Econometrica, 2015, 83, 729-769 View citations (9)
See also Working Paper (2012)
- COLLATERAL REQUIREMENTS AND ASSET PRICES
International Economic Review, 2015, 56, (1), 1-25 View citations (5)
See also Working Paper (2013)
- Margin regulation and volatility
Journal of Monetary Economics, 2015, 75, (C), 54-68 View citations (10)
See also Working Paper (2014)
2012
- Financial Innovation and Asset Price Volatility
American Economic Review, 2012, 102, (3), 147-51 View citations (10)
- Finding all pure‐strategy equilibria in games with continuous strategies
Quantitative Economics, 2012, 3, (2), 289-331 View citations (5)
- OPTIMAL RULES FOR PATENT RACES
International Economic Review, 2012, 53, (1), 23-52 View citations (10)
See also Working Paper (2002)
2011
- Bond Ladders and Optimal Portfolios
Review of Financial Studies, 2011, 24, (12), 4123-4166 View citations (3)
See also Working Paper (2008)
2010
- Competitive equilibria in semi-algebraic economies
Journal of Economic Theory, 2010, 145, (1), 301-330 View citations (18)
See also Working Paper (2007)
- Non-parametric counterfactual analysis in dynamic general equilibrium
Economic Theory, 2010, 45, (1), 181-200 View citations (5)
See also Working Paper (2009)
- Tackling Multiplicity of Equilibria with Gröbner Bases
Operations Research, 2010, 58, (4-part-2), 1037-1050 View citations (10)
- Uniqueness of Steady States in Models with Overlapping Generations
Journal of the European Economic Association, 2010, 8, (2-3), 635-644 View citations (4)
2007
- On Price Caps Under Uncertainty
Review of Economic Studies, 2007, 74, (1), 93-111 View citations (29)
- Two-fund separation in dynamic general equilibrium
Theoretical Economics, 2007, 2, (2) View citations (3)
See also Working Paper (2005)
2006
- Computing equilibria in finance economies with incomplete markets and transaction costs
Economic Theory, 2006, 27, (3), 493-512 View citations (14)
See also Working Paper (2001)
- 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 View citations (2)
2005
- Approximate versus Exact Equilibria in Dynamic Economies
Econometrica, 2005, 73, (4), 1205-1235 View citations (24)
See also Chapter (2008)
- Excess price volatility and financial innovation
Economic Theory, 2005, 26, (3), 559-587 View citations (12)
See also Working Paper (2005)
2003
- Asset Trading Volume with Dynamically Complete Markets and Heterogeneous Agents
Journal of Finance, 2003, 58, (5), 2203-2217 View citations (32)
See also Working Paper (2000)
- Generic inefficiency of equilibria in the general equilibrium model with incomplete asset markets and infinite time
Economic Theory, 2003, 22, (1), 1-15 View citations (5)
- Stationary Equilibria in Asset-Pricing Models with Incomplete Markets and Collateral
Econometrica, 2003, 71, (6), 1767-1793 View citations (142)
See also Working Paper (2001)
2002
- RECURSIVE EQUILIBRIA IN ECONOMIES WITH INCOMPLETE MARKETS
Macroeconomic Dynamics, 2002, 6, (2), 284-306 View citations (59)
2001
- Incomplete Markets, Transitory Shocks, and Welfare
Review of Economic Dynamics, 2001, 4, (4), 747-766 View citations (16)
See also Working Paper (2000)
- Monopolistic security design in finance economies
Economic Theory, 2001, 18, (1), 37-72 View citations (3)
See also Working Paper (2000)
2000
- Computing Equilibria in Stochastic Finance Economies
Computational Economics, 2000, 15, (1-2), 145-72 View citations (10)
- Computing equilibria in infinite-horizon finance economies: The case of one asset
Journal of Economic Dynamics and Control, 2000, 24, (5-7), 1047-1078 View citations (12)
1999
- General equilibrium models and homotopy methods
Journal of Economic Dynamics and Control, 1999, 23, (9-10), 1249-1279 View citations (54)
1998
- Computing equilibria in the general equilibrium model with incomplete asset markets
Journal of Economic Dynamics and Control, 1998, 22, (8-9), 1375-1401 View citations (29)
Edited books
2012
- Operations Research Proceedings 2011
Operations Research Proceedings, Springer View citations (38)
Chapters
2008
- Approximate Versus Exact Equilibria in Dynamic Economies
Springer
See also Journal Article in Econometrica (2005)
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