Details about Raman Uppal

Access statistics for papers by Raman Uppal.

Last updated 2016-03-05. Update your information in the RePEc Author Service.

Short-id: pup16

Working Papers

2015

1. Asset prices in general equilibrium with recursive utility and illiquidity induced by transactions costs
   SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE View citations (9)
2. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)

2013

3. Asset Prices with Heterogeneity in Preferences and Beliefs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (14)
   Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) View citations (3)
   See also Journal Article in Review of Financial Studies (2014)
4. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article in Review of Financial Studies (2014)

2010

5. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (20)
   See also Journal Article in Journal of Financial and Quantitative Analysis (2013)
6. Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
   See also Journal Article in Management Science (2012)

2007

7. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2007) View citations (7)
   See also Journal Article in Journal of Finance (2009)

2006

8. The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (7)
9. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
   Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (4)
   Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (7)
   CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (5)

2005

10. How Inefficient is the 1/N Asset-Allocation Strategy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
11. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005)
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (2)
    See also Journal Article in Review of Financial Studies (2007)
12. The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2002

13. Model Misspecification and Under-Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
14. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers 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 (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) View citations (10)
15. Systemic Risk and International Portfolio Choice
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
16. The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article in Journal of International Money and Finance (2004)

1999

17. Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (4)
    See also Journal Article in Review of Financial Studies (2001)

1998

18. Efficient Intertemporal Allocations with Recursive Utility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    Also in Working Papers, HAL (1997)
    See also Journal Article in Journal of Economic Theory (2000)

1996

19. The Equilibrium Approach to Exchange Rates: Theory and Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
20. Valuing Risk and Flexibility: A Comparison of Methods
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (16)
    See also Journal Article in Resources Policy (1996)

Journal Articles

2014

1. Asset Prices with Heterogeneity in Preferences and Beliefs
   Review of Financial Studies, 2014, 27, (2), 519-580 View citations (24)
   See also Working Paper (2013)
2. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
   Review of Financial Studies, 2014, 27, (4), 1031-1073 View citations (30)
   See also Working Paper (2013)

2013

3. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
   Journal of Financial and Quantitative Analysis, 2013, 48, (6), 1813-1845 View citations (34)
   See also Working Paper (2010)

2012

4. Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
   Management Science, 2012, 58, (2), 253-272 View citations (45)
   See also Working Paper (2010)

2009

5. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
   Management Science, 2009, 55, (5), 798-812 View citations (178)
6. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
   Journal of Finance, 2009, 64, (2), 579-629 View citations (93)
   See also Working Paper (2007)
7. Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?
   Review of Financial Studies, 2009, 22, (5), 1915-1953 View citations (443)
8. The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion
   Review of Financial Studies, 2009, 22, (6), 2303-2330 View citations (24)

2007

9. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
   Review of Financial Studies, 2007, 20, (1), 41-81 View citations (175)
   See also Working Paper (2005)

2006

10. The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility
    Journal of Economic Dynamics and Control, 2006, 30, (6), 967-991 View citations (24)
    See also Working Paper (2005)

2005

11. Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
    Management Science, 2005, 51, (2), 277-290 View citations (17)

2004

12. The exchange rate and purchasing power parity: extending the theory and tests
    Journal of International Money and Finance, 2004, 23, (4), 553-571 View citations (7)
    See also Working Paper (2002)

2003

13. Exchange rate volatility and international trade: A general-equilibrium analysis
    European Economic Review, 2003, 47, (3), 429-441 View citations (16)

2001

14. Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods
    Review of Financial Studies, 2001, 14, (1), 277-305 View citations (13)
    See also Working Paper (1999)

2000

15. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 View citations (20)
    See also Working Paper (1998)

1997

16. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 View citations (28)
17. Sovereign debt and the London Club: A precommitment device for limiting punishment for default
    Journal of Banking & Finance, 1997, 21, (5), 741-756

1996

18. Valuing risk and flexibility: A comparison of methods
    Resources Policy, 1996, 22, (1-2), 63-74 View citations (14)
    See also Working Paper (1996)

1995

19. The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity
    Journal of Finance, 1995, 50, (4), 1309-19 View citations (190)

1994

20. Leverage Constraints and the Optimal Hedging of Stock and Bond Options
    Journal of Financial and Quantitative Analysis, 1994, 29, (2), 199-222 View citations (13)

1993

21. A General Equilibrium Model of International Portfolio Choice
    Journal of Finance, 1993, 48, (2), 529-53 View citations (119)
22. Optimal Replication of Options with Transactions Costs and Trading Restrictions
    Journal of Financial and Quantitative Analysis, 1993, 28, (1), 117-138 View citations (63)

1992

23. Deviations from purchasing power parity and capital flows
    Journal of International Money and Finance, 1992, 11, (2), 126-144 View citations (7)

Books

2006

1. Exchange Rate Volatility, Trade, and Capital Flows under Alternative Exchange Rate Regimes
   Cambridge Books, Cambridge University Press View citations (1)
   Also in Cambridge Books, Cambridge University Press (2000) View citations (18)