Raman Uppal

EDHEC Business School

Professor

58 rue du Port

Lille, 59046

France

Centre for Economic Policy Research (CEPR)

Fellow

90-98 Goswell Road

London, EC1V 7RR

United Kingdom

SCHOLARLY PAPERS

38

DOWNLOADS
Rank 1,299

SSRN RANKINGS

Top 1,299

in Total Papers Downloads

28,066

SSRN CITATIONS
Rank 343

SSRN RANKINGS

Top 343

in Total Papers Citations

701

CROSSREF CITATIONS

1,865

Scholarly Papers (38)

1.

Equal or Value Weighting? Implications for Asset-Pricing Tests

Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 29 Jan 2016
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 4,328 (2,775)
Citation 40

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empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility

2.
Downloads 3,952 ( 3,253)
Citation 8

1/N

EFA 2006 Zurich Meetings
Number of pages: 54 Posted: 23 Jun 2006
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 2,603 (6,416)
Citation 9

Abstract:

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Portfolio choice, asset allocation, investment management

How Inefficient are Simple Asset-Allocation Strategies?

Number of pages: 77 Posted: 03 Mar 2005
University of British Columbia (UBC) - Sauder School of Business, London Business School and EDHEC Business School
Downloads 1,349 (18,309)
Citation 5

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Portfolio choice, asset allocation, investment management

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,582 (3,752)
Citation 23

Abstract:

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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 49 Posted: 01 Mar 2010
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (711,181)
Citation 17
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
London Business School, Iowa State University, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,451 (7,088)
Citation 42

Abstract:

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cross section of stock returns, trading diversification, factor zoo

A Portfolio Perspective on the Multitude of Firm Characteristics

Number of pages: 63 Posted: 06 Nov 2017
London Business School, Lancaster University - Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 3 (814,114)
Citation 2
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Anomalies, out of sample performance, Risk, transaction costs

5.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1,793 (11,961)
Citation 8

Abstract:

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stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,184 (22,227)
Citation 19

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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Number of pages: 64 Posted: 02 May 2013
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (824,806)
Citation 11
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Swiss Finance Institute Research Paper No. 06-19, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 10 Mar 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 618 (54,987)
Citation 3

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Dynamic portfolio choice, excess volatility, general equilibrium

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Swiss Finance Institute Research Paper No. 07-37
Number of pages: 54 Posted: 11 Dec 2007
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 371 (102,226)
Citation 1

Abstract:

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Bayesian behavior, financial-market equilibrium, excess volatility, risk premia

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 15 Aug 2021
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 63 (442,143)
Citation 32

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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Number of pages: 47 Posted: 22 Jan 2006 Last Revised: 07 Oct 2021
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 48 (502,674)

Abstract:

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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Number of pages: 49 Posted: 13 Feb 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 30 (598,602)
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Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Number of pages: 53 Posted: 30 May 2008
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 3 (814,114)
Citation 22
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Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia

8.
Downloads 943 ( 31,418)
Citation 124

Systemic Risk and International Portfolio Choice

AFA 2003 Washington, DC Meetings
Number of pages: 55 Posted: 30 Nov 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 914 (32,400)
Citation 21

Abstract:

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asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Systemic Risk and International Portfolio Choice

Number of pages: 59 Posted: 14 May 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 29 (605,117)
Citation 16
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Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

AFA 2010 Atlanta Meetings Paper
Number of pages: 44 Posted: 19 Mar 2009 Last Revised: 16 Sep 2009
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 527 (67,254)
Citation 10

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 16 Sep 2009
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 379 (99,752)
Citation 10

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification

Number of pages: 45 Posted: 01 Mar 2010
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 7 (779,747)
Citation 8
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ambiguity, diversification, investment, portfolio choice, robust control

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Number of pages: 63 Posted: 24 Aug 2000
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 723 (44,611)
Citation 10

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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Number of pages: 36 Posted: 17 Nov 2001 Last Revised: 25 Oct 2010
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 78 (392,835)

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Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Number of pages: 39 Posted: 16 May 2002
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 26 (625,725)
Citation 1
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

EFA 2005 Moscow Meetings Paper, Sauder School of Business Working Paper
Number of pages: 52 Posted: 24 Feb 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 668 (49,626)
Citation 10

Abstract:

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Portfolio choice, asset allocation, estimation

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

Number of pages: 47 Posted: 17 Aug 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 24 (640,470)
Citation 42
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Portfolio choice, asset allocation, estimation error, uncertainty, ambiguity, robustness

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

The Review of Financial Studies, Vol. 20, Issue 1, pp. 41-81, 2007
Posted: 29 Feb 2008
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School

Abstract:

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Asset Prices with Heterogeneity in Preferences and Beliefs

AFA 2010 Atlanta Meetings Paper
Number of pages: 71 Posted: 19 Mar 2009 Last Revised: 08 Jan 2015
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 625 (54,200)
Citation 33

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heterogeneity, general equilibrium, stationarity, equity risk premium, volatility

Asset Prices with Heterogeneity in Preferences and Beliefs

Number of pages: 78 Posted: 08 May 2013
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 5 (796,740)
Citation 29
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Asset Pricing, General Equilibrium

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 413 (90,283)

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Frankfurt School of Finance & Management, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 193 (199,835)
Citation 11

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

14.

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

Number of pages: 92 Posted: 03 Dec 2015 Last Revised: 12 Jul 2016
Raman Uppal and Paolo Zaffaroni
EDHEC Business School and Imperial College Business School
Downloads 573 (61,179)
Citation 4

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Active and passive portfolios, pricing errors, managerial skill, factor models, mean-variance portfolio, global-minimum-variance portfolio, estimation error, robust estimation

15.
Downloads 485 ( 75,337)
Citation 1

What Alleviates Crowding in Factor Investing?

Number of pages: 66 Posted: 10 Jun 2019 Last Revised: 18 Oct 2021
London Business School, Iowa State University and EDHEC Business School
Downloads 485 (74,586)
Citation 1

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capacity of quantitative strategies, price impact, competition.

What Alleviates Crowding in Factor Investing?

Number of pages: 69 Posted: 22 Sep 2021
London Business School, Iowa State University and EDHEC Business School
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capacity of quantitative strategies, Competition, price impact

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Number of pages: 108 Posted: 27 Jan 2016 Last Revised: 01 Oct 2018
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 474 (76,711)
Citation 4

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Portfolio choice, underdiversification bias, growth, social welfare

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Number of pages: 63 Posted: 06 Nov 2017
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
Citation 10
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familiarity bias, growth, Portfolio choice, social welfare, underdiversification

17.
Downloads 468 ( 78,623)
Citation 131

Model Misspecification and Under-Diversification

EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 31 Posted: 16 Dec 2001
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 448 (82,110)
Citation 11

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Model Misspecification and Under-Diversification

Number of pages: 33 Posted: 09 May 2002
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 20 (671,134)
Citation 19
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Portfolio choice, uncertainty, ambiguity, robust control

The Implications of Financial Innovation for Capital Markets and Household Welfare

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 43 Posted: 09 Aug 2017 Last Revised: 22 Aug 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 427 (86,925)
Citation 4

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household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.

Financial Innovation and Asset Prices

Number of pages: 56 Posted: 06 Nov 2017
Adrian Buss and Raman Uppal
Frankfurt School of Finance & Management and EDHEC Business School
Downloads 0
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differences in beliefs, parameter uncertainty, rational learning, recursive utility, spillover effects

The Implications of Financial Innovation for Capital Markets and Household Welfare

Number of pages: 46 Posted: 17 Sep 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 46 Posted: 12 Dec 2013 Last Revised: 11 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 199 (194,371)
Citation 5

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Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 48 Posted: 18 Feb 2014 Last Revised: 14 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 175 (219,121)
Citation 4

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 367 (103,494)
Citation 2

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portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

21.

Non-Redundant Derivatives in a Dynamic General Equilibrium Economy

London Business School Working Paper; EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 53 Posted: 20 Mar 2002
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 357 (107,560)

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Asset pricing, derivative valuation, portfolio choice, incomplete markets

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

Sauder School of Business Working Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 40 Posted: 15 Mar 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 340 (112,892)
Citation 6

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Excess volatility, general equilibrium, heterogeneous agents, prudence

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

Number of pages: 30 Posted: 16 Aug 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 14 (719,679)
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General equilibrium, options, volatility, risk-sharing

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

EFA 2003 Annual Conference Paper No. 267, Sauder School of Business Working Paper
Number of pages: 28 Posted: 21 Jul 2003
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 312 (123,920)

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Intertemporal optimization and decision making

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

Number of pages: 32 Posted: 24 Aug 2005
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 25 (632,977)
Citation 2
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Intertemporal optimization, decision making

24.

Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming

Number of pages: 47 Posted: 01 Jul 2004
Victor DeMiguel and Raman Uppal
London Business School and EDHEC Business School
Downloads 208 (186,720)
Citation 9

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Portfolio choice, capital gains tax, optimization, nonlinear programming

Do the Effects of Individual Behavioral Biases Cancel Out?

Number of pages: 46 Posted: 04 Jan 2017 Last Revised: 06 Jul 2021
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 157 (239,379)
Citation 3

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Behavioral finance, money market, aggregate growth, stochastic discount factor.

Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?

Number of pages: 59 Posted: 06 Nov 2017
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
Citation 1
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aggregate growth, ambiguity aversion, behavioral finance, investment, underdiversification

Do the Effects of Individual Behavioral Biases Cancel Out?

Number of pages: 49 Posted: 14 Jul 2021
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
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26.

Robust Portfolio Choice

Number of pages: 63 Posted: 01 Oct 2021 Last Revised: 03 Nov 2021
IESE Business SchoolImperial College Business School, EDHEC Business School and Imperial College Business School
Downloads 117 (301,499)

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Model misspecification, factor models, factor investing, alpha, beta, latent asset demand

Dynamics of Asset Demands with Confidence Heterogeneity

Number of pages: 50 Posted: 05 Sep 2020 Last Revised: 12 Aug 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 109 (316,844)

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institutional asset demand, asset-demand elasticity, investors' expectations, trend chasing, predictability

Investor Sophistication and Portfolio Dynamics

Number of pages: 56 Posted: 18 Aug 2020 Last Revised: 11 Feb 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1 (838,183)
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Dynamics of Asset Demands with Confidence Heterogeneity

Number of pages: 53 Posted: 22 Sep 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
Frankfurt School of Finance & Management, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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asset-demand elasticity, Institutional asset demand, investors' expectations, predictability, trend chasing

28.

Efficient Intertemporal Allocations with Recursive Utility

Number of pages: 33 Posted: 26 Aug 2000 Last Revised: 21 Aug 2021
Bernard Dumas, Tan Wang and Raman Uppal
INSEAD, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 62 (439,759)
Citation 8

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29.

The Equilibrium Approach to Exchange Rates: Theory and Tests

Number of pages: 44 Posted: 07 Nov 1996 Last Revised: 17 Sep 2021
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 50 (485,400)

Abstract:

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30.

How Inefficient is the 1/N Asset-Allocation Strategy?

Number of pages: 64 Posted: 17 Aug 2005
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 42 (520,651)
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Portfolio choice, asset allocation, investment management

31.

Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods

Number of pages: 34 Posted: 07 Apr 1999 Last Revised: 13 Aug 2021
Bernard Dumas and Raman Uppal
INSEAD and EDHEC Business School
Downloads 29 (589,259)

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32.

The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests

Number of pages: 25 Posted: 04 Jun 2002
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 21 (642,677)
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Abstract:

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General equilibrium, purchasing power parity, regression tests

33.

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, Vol. 22, Issue 6, pp. 2303-2330, 2009
Posted: 01 Jun 2009
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School

Abstract:

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G12, D51, D52, D91

34.

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1915-1953, 2009
Posted: 13 Apr 2009
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

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G11

35.

A Test of Uncovered Interest Rate Parity in Segmented International Commodity Markets

Posted: 31 Dec 1998
Burton Hollifield and Raman Uppal
Carnegie Mellon University - David A. Tepper School of Business and EDHEC Business School

Abstract:

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36.

Leverage Constraints and the Optimal Hedging of Stock and Bond Options

J of Financial and Quantitative Analysis, Vol. 29, No. 2, June 1994
Posted: 20 Dec 1998
Vasant Naik and Raman Uppal
Lehman Brothers International, Europe and EDHEC Business School

Abstract:

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37.

Index-Induced Errors and Purchasing Power Parity: Bounding the Possible Bias

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, Vol 5 (2/3) 1995
Posted: 24 Aug 1998
Sandra Betton, Maurice D. Levi and Raman Uppal
Concordia University, Quebec - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

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38.

The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity

JOURNAL OF FINANCE, Vol 50 No 4, September 1995
Posted: 15 Jul 1998
Piet Sercu, Cynthia Van Hulle and Raman Uppal
FEB at KU Leuven, KU Leuven - Department of Applied Economics and EDHEC Business School

Abstract:

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