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Details about Raman Uppal

Homepage:https://www.ramanuppal.com
Workplace:Département Comptabilité, Droit, Finance et Économie (Department of Accounting, Law, Finance and Economics), Groupe EDHEC (École de Hautes Études Commerciales du Nord) (EDHEC Business School), (more information at EDIRC)

Access statistics for papers by Raman Uppal.

Last updated 2022-08-03. Update your information in the RePEc Author Service.

Short-id: pup16


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Working Papers

2021

  1. Do the Effects of Individual Behavioral Biases Cancel Out?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  2. Dynamics of Asset Demands with Confidence Heterogeneity
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
  3. What Alleviates Crowding in Factor Investing?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2020

  1. Investor Sophistication and Portfolio Dynamics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2018

  1. The Implications of Financial Innovation for Capital Markets and Household Welfare
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads

2017

  1. A Portfolio Perspective on the Multitude of Firm Characteristics
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
  2. Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    Also in 2016 Meeting Papers, Society for Economic Dynamics (2016) Downloads
  3. Does Household Finance Matter? Small Financial Errors with Large Social Costs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in American Economic Review (2019)
  4. Financial Innovation and Asset Prices
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)

2016

  1. The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
    Carlo Alberto Notebooks, Collegio Carlo Alberto Downloads View citations (12)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) Downloads View citations (13)

    See also Journal Article in Journal of Monetary Economics (2016)

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 Downloads View citations (12)
  2. Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)

2013

  1. Asset Prices with Heterogeneity in Preferences and Beliefs
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (19)
    Also in 2013 Meeting Papers, Society for Economic Dynamics (2013) Downloads View citations (10)

    See also Journal Article in Review of Financial Studies (2014)
  2. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads
    See also Journal Article in Review of Financial Studies (2014)

2010

  1. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (21)
    See also Journal Article in Journal of Financial and Quantitative Analysis (2013)
  2. Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article in Management Science (2012)

2007

  1. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (9)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) Downloads View citations (7)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) Downloads View citations (7)

    See also Journal Article in Journal of Finance (2009)

2006

  1. The Effect of Introducing a Non-redundant Derivative on the Volatility of Stock-Market Returns
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (7)
  2. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute Downloads View citations (6)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (9)
    NBER Working Papers, National Bureau of Economic Research, Inc (2005) Downloads View citations (8)

2005

  1. How Inefficient is the 1/N Asset-Allocation Strategy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (5)
  2. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    Also in Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) Downloads View citations (3)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) Downloads View citations (1)

    See also Journal Article in Review of Financial Studies (2007)
  3. The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (1)
    See also Journal Article in Journal of Economic Dynamics and Control (2006)

2002

  1. Model Misspecification and Under-Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (4)
    See also Journal Article in Journal of Finance (2003)
  2. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (10)
    Also in Rodney L. White Center for Financial Research Working Papers, Wharton School Rodney L. White Center for Financial Research Downloads View citations (12)
    NBER Working Papers, National Bureau of Economic Research, Inc (2001) Downloads View citations (21)
  3. Systemic Risk and International Portfolio Choice
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (3)
  4. The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests
    CEPR Discussion Papers, C.E.P.R. Discussion Papers Downloads View citations (2)
    See also Journal Article in Journal of International Money and Finance (2004)

1999

  1. Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
    NBER Working Papers, National Bureau of Economic Research, Inc Downloads View citations (5)
    See also Journal Article in Review of Financial Studies (2001)

1998

  1. Efficient Intertemporal Allocations with Recursive Utility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc Downloads
    Also in Working Papers, HAL (1997) View citations (1)

    See also Journal Article in Journal of Economic Theory (2000)

1996

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

Journal Articles

2020

  1. A Transaction-Cost Perspective on the Multitude of Firm Characteristics
    Review of Financial Studies, 2020, 33, (5), 2180-2222 Downloads View citations (17)

2019

  1. Does Household Finance Matter? Small Financial Errors with Large Social Costs
    American Economic Review, 2019, 109, (3), 1116-54 Downloads View citations (6)
    See also Working Paper (2017)

2016

  1. The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
    Journal of Monetary Economics, 2016, 81, (C), 25-43 Downloads View citations (12)
    See also Working Paper (2016)

2014

  1. Asset Prices with Heterogeneity in Preferences and Beliefs
    Review of Financial Studies, 2014, 27, (2), 519-580 Downloads View citations (71)
    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 Downloads View citations (46)
    See also Working Paper (2013)

2013

  1. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    Journal of Financial and Quantitative Analysis, 2013, 48, (6), 1813-1845 Downloads View citations (78)
    See also Working Paper (2010)

2012

  1. Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
    Management Science, 2012, 58, (2), 253-272 Downloads View citations (75)
    See also Working Paper (2010)

2009

  1. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
    Management Science, 2009, 55, (5), 798-812 Downloads View citations (297)
  2. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    Journal of Finance, 2009, 64, (2), 579-629 Downloads View citations (147)
    See also Working Paper (2007)
  3. Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?
    Review of Financial Studies, 2009, 22, (5), 1915-1953 Downloads View citations (753)
  4. 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 Downloads View citations (41)

2007

  1. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    Review of Financial Studies, 2007, 20, (1), 41-81 Downloads View citations (246)
    See also Working Paper (2005)

2006

  1. 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 Downloads View citations (29)
    See also Working Paper (2005)

2005

  1. Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
    Management Science, 2005, 51, (2), 277-290 Downloads View citations (21)

2004

  1. The exchange rate and purchasing power parity: extending the theory and tests
    Journal of International Money and Finance, 2004, 23, (4), 553-571 Downloads View citations (8)
    See also Working Paper (2002)

2003

  1. Exchange rate volatility and international trade: A general-equilibrium analysis
    European Economic Review, 2003, 47, (3), 429-441 Downloads View citations (19)
  2. Model Misspecification and Underdiversification
    Journal of Finance, 2003, 58, (6), 2465-2486 Downloads View citations (165)
    See also Working Paper (2002)

2001

  1. Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods
    Review of Financial Studies, 2001, 14, (1), 277-305 View citations (17)
    See also Working Paper (1999)

2000

  1. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 Downloads View citations (24)
    See also Working Paper (1998)

1997

  1. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 Downloads View citations (32)
  2. Sovereign debt and the London Club: A precommitment device for limiting punishment for default
    Journal of Banking & Finance, 1997, 21, (5), 741-756 Downloads

1996

  1. Valuing risk and flexibility: A comparison of methods
    Resources Policy, 1996, 22, (1-2), 63-74 Downloads View citations (19)
    See also Working Paper (1996)

1995

  1. The Exchange Rate in the Presence of Transaction Costs: Implications for Tests of Purchasing Power Parity
    Journal of Finance, 1995, 50, (4), 1309-19 Downloads View citations (294)

1994

  1. Leverage Constraints and the Optimal Hedging of Stock and Bond Options
    Journal of Financial and Quantitative Analysis, 1994, 29, (2), 199-222 Downloads View citations (15)

1993

  1. A General Equilibrium Model of International Portfolio Choice
    Journal of Finance, 1993, 48, (2), 529-53 Downloads View citations (143)
  2. Optimal Replication of Options with Transactions Costs and Trading Restrictions
    Journal of Financial and Quantitative Analysis, 1993, 28, (1), 117-138 Downloads View citations (67)

1992

  1. Deviations from purchasing power parity and capital flows
    Journal of International Money and Finance, 1992, 11, (2), 126-144 Downloads 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 (27)
 
Page updated 2023-01-25