Details about Raman Uppal

Access statistics for papers by Raman Uppal.

Last updated 2025-05-19. Update your information in the RePEc Author Service.

Short-id: pup16

Working Papers

2021

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

2020

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

2018

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

2017

6. A Portfolio Perspective on the Multitude of Firm Characteristics
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (8)
7. Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   Also in 2016 Meeting Papers, Society for Economic Dynamics (2016)
8. Does Household Finance Matter? Small Financial Errors with Large Social Costs
   CEPR Discussion Papers, C.E.P.R. Discussion Papers
   See also Journal Article Does Household Finance Matter? Small Financial Errors with Large Social Costs, American Economic Review, American Economic Association (2019) View citations (17) (2019)
9. Financial Innovation and Asset Prices
   CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)

2016

10. The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis
    Carlo Alberto Notebooks, Collegio Carlo Alberto View citations (19)
    Also in SAFE Working Paper Series, Leibniz Institute for Financial Research SAFE (2016) View citations (20)
    See also Journal Article The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis, Journal of Monetary Economics, Elsevier (2016) View citations (18) (2016)

2015

11. 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 (13)
12. 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

13. Asset Prices with Heterogeneity in Preferences and Beliefs
    2013 Meeting Papers, Society for Economic Dynamics View citations (10)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2013) View citations (18)
    See also Journal Article Asset Prices with Heterogeneity in Preferences and Beliefs, The Review of Financial Studies, Society for Financial Studies (2014) View citations (90) (2014)
14. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
    CEPR Discussion Papers, C.E.P.R. Discussion Papers
    See also Journal Article Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, The Review of Financial Studies, Society for Financial Studies (2014) View citations (61) (2014)

2010

15. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (22)
    See also Journal Article Improving Portfolio Selection Using Option-Implied Volatility and Skewness, Journal of Financial and Quantitative Analysis, Cambridge University Press (2013) View citations (102) (2013)
16. Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification, Management Science, INFORMS (2012) View citations (90) (2012)

2007

17. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (10)
    Also in Swiss Finance Institute Research Paper Series, Swiss Finance Institute (2007) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2007) View citations (8)
    See also Journal Article Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, Journal of Finance, American Finance Association (2009) View citations (186) (2009)

2006

18. 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)
19. What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
    Swiss Finance Institute Research Paper Series, Swiss Finance Institute View citations (7)
    Also in NBER Working Papers, National Bureau of Economic Research, Inc (2005) View citations (8)
    CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (9)

2005

20. How Inefficient is the 1/N Asset-Allocation Strategy?
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (5)
21. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (1)
    Also in CEPR Discussion Papers, C.E.P.R. Discussion Papers (2005) View citations (1)
    Money Macro and Finance (MMF) Research Group Conference 2004, Money Macro and Finance Research Group (2004) View citations (4)
    See also Journal Article Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach, The Review of Financial Studies, Society for Financial Studies (2007) View citations (297) (2007)
22. 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 The role of risk aversion and intertemporal substitution in dynamic consumption-portfolio choice with recursive utility, Journal of Economic Dynamics and Control, Elsevier (2006) View citations (30) (2006)

2002

23. Model Misspecification and Under-Diversification
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (4)
    See also Journal Article Model Misspecification and Underdiversification, Journal of Finance, American Finance Association (2003) View citations (199) (2003)
24. Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (16)
    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 (22)
25. Systemic Risk and International Portfolio Choice
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (3)
26. The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests
    CEPR Discussion Papers, C.E.P.R. Discussion Papers View citations (2)
    See also Journal Article The exchange rate and purchasing power parity: extending the theory and tests, Journal of International Money and Finance, Elsevier (2004) View citations (8) (2004)

1999

27. Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
    See also Journal Article Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods, The Review of Financial Studies, Society for Financial Studies (2001) View citations (19) (2001)

1998

28. Efficient Intertemporal Allocations with Recursive Utility
    NBER Technical Working Papers, National Bureau of Economic Research, Inc
    Also in Working Papers, HAL (1997) View citations (1)
    See also Journal Article Efficient Intertemporal Allocations with Recursive Utility, Journal of Economic Theory, Elsevier (2000) View citations (27) (2000)

1996

29. The Equilibrium Approach to Exchange Rates: Theory and Tests
    NBER Working Papers, National Bureau of Economic Research, Inc View citations (5)
30. Valuing Risk and Flexibility: A Comparison of Methods
    G.R.E.Q.A.M., Universite Aix-Marseille III View citations (21)
    See also Journal Article Valuing risk and flexibility: A comparison of methods, Resources Policy, Elsevier (1996) View citations (19) (1996)

Journal Articles

2024

1. A Multifactor Perspective on Volatility‐Managed Portfolios
   Journal of Finance, 2024, 79, (6), 3859-3891 View citations (3)

2020

2. A Transaction-Cost Perspective on the Multitude of Firm Characteristics
   The Review of Financial Studies, 2020, 33, (5), 2180-2222 View citations (46)

2019

3. Does Household Finance Matter? Small Financial Errors with Large Social Costs
   American Economic Review, 2019, 109, (3), 1116-54 View citations (17)
   See also Working Paper Does Household Finance Matter? Small Financial Errors with Large Social Costs, CEPR Discussion Papers (2017) (2017)

2016

4. The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis
   Journal of Monetary Economics, 2016, 81, (C), 25-43 View citations (18)
   See also Working Paper The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis, Carlo Alberto Notebooks (2016) View citations (19) (2016)

2014

5. Asset Prices with Heterogeneity in Preferences and Beliefs
   The Review of Financial Studies, 2014, 27, (2), 519-580 View citations (90)
   See also Working Paper Asset Prices with Heterogeneity in Preferences and Beliefs, 2013 Meeting Papers (2013) View citations (10) (2013)
6. Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
   The Review of Financial Studies, 2014, 27, (4), 1031-1073 View citations (61)
   See also Working Paper Stock Return Serial Dependence and Out-of-Sample Portfolio Performance, CEPR Discussion Papers (2013) (2013)

2013

7. Improving Portfolio Selection Using Option-Implied Volatility and Skewness
   Journal of Financial and Quantitative Analysis, 2013, 48, (6), 1813-1845 View citations (102)
   See also Working Paper Improving Portfolio Selection Using Option-Implied Volatility and Skewness, CEPR Discussion Papers (2010) View citations (22) (2010)

2012

8. Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
   Management Science, 2012, 58, (2), 253-272 View citations (90)
   See also Working Paper Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification, CEPR Discussion Papers (2010) View citations (4) (2010)

2009

9. A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms
   Management Science, 2009, 55, (5), 798-812 View citations (389)
10. Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
    Journal of Finance, 2009, 64, (2), 579-629 View citations (186)
    See also Working Paper Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility, NBER Working Papers (2007) View citations (10) (2007)
11. Optimal Versus Naive Diversification: How Inefficient is the 1-N Portfolio Strategy?
    The Review of Financial Studies, 2009, 22, (5), 1915-1953 View citations (1024)
12. The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion
    The Review of Financial Studies, 2009, 22, (6), 2303-2330 View citations (47)

2007

13. Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
    The Review of Financial Studies, 2007, 20, (1), 41-81 View citations (297)
    See also Working Paper Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach, CEPR Discussion Papers (2005) View citations (1) (2005)

2006

14. 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 (30)
    See also Working Paper The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choicewith Recursive Utility, CEPR Discussion Papers (2005) View citations (1) (2005)

2005

15. Portfolio Investment with the Exact Tax Basis via Nonlinear Programming
    Management Science, 2005, 51, (2), 277-290 View citations (22)

2004

16. 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 (8)
    See also Working Paper The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests, CEPR Discussion Papers (2002) View citations (2) (2002)

2003

17. Exchange rate volatility and international trade: A general-equilibrium analysis
    European Economic Review, 2003, 47, (3), 429-441 View citations (23)
18. Model Misspecification and Underdiversification
    Journal of Finance, 2003, 58, (6), 2465-2486 View citations (199)
    See also Working Paper Model Misspecification and Under-Diversification, CEPR Discussion Papers (2002) View citations (4) (2002)

2001

19. Global Diversification, Growth, and Welfare with Imperfectly Integrated Markets for Goods
    The Review of Financial Studies, 2001, 14, (1), 277-305 View citations (19)
    See also Working Paper Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods, NBER Working Papers (1999) View citations (5) (1999)

2000

20. Efficient Intertemporal Allocations with Recursive Utility
    Journal of Economic Theory, 2000, 93, (2), 240-259 View citations (27)
    See also Working Paper Efficient Intertemporal Allocations with Recursive Utility, NBER Technical Working Papers (1998) (1998)

1997

21. An Examination of Uncovered Interest Rate Parity in Segmented International Commodity Markets
    Journal of Finance, 1997, 52, (5), 2145-70 View citations (35)
22. Sovereign debt and the London Club: A precommitment device for limiting punishment for default
    Journal of Banking & Finance, 1997, 21, (5), 741-756

1996

23. Valuing risk and flexibility: A comparison of methods
    Resources Policy, 1996, 22, (1-2), 63-74 View citations (19)
    See also Working Paper Valuing Risk and Flexibility: A Comparison of Methods, G.R.E.Q.A.M. (1996) View citations (21) (1996)

1995

24. 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 (301)

1994

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

1993

26. A General Equilibrium Model of International Portfolio Choice
    Journal of Finance, 1993, 48, (2), 529-53 View citations (154)
27. Optimal Replication of Options with Transactions Costs and Trading Restrictions
    Journal of Financial and Quantitative Analysis, 1993, 28, (1), 117-138 View citations (73)

1992

28. 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 (28)