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Lorenzo Garlappi Associate Professor
On leave at UBC for the academic year 2008-2009 |
Lorenzo Garlappi
Associate Professor
Department of Finance Office: CBA 6.228 McCombs School of Business Phone Number: (512) 471-5682 University of Texas at Austin E-mail: lorenzo.garlappi@mccombs.utexas.edu Austin, TX 78712 On leave at UBC for the academic year 2008-2009
Vita (updated to December 2, 2008)
Research Interests
Asset pricing, credit risk and real options
Asset pricing implications of corporate investment decisions
Financial distress and asset pricing
Investment, growth options and capital structure decisions
Portfolio choice and asset allocation
Portfolio choice under market incompleteness
Portfolio choice in the presence of model and parameter uncertainty
Numerical techniques for dynamic portfolio problems
Publications
"A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,'' with Victor DeMiguel, Javier Nogales and Raman Uppal. Management Science, forthcoming. Appendix.
"Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration Using Polynomial Approximations", with Georgios Skoulakis. Computational Economics, Vol.33, Issue 2, 2009, pp. 193-207.
"Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?," with Victor DeMiguel and Raman Uppal. The Review of Financial Studies, forthcoming. Best Paper Award at the 2005 seminars of INQUIRE-UK. Robustness Check Appendix
"Default Risk, Shareholder Advantage and Stock Returns," with Tao Shu and Hong Yan. The Review of Financial Studies, Vol. 21, No. 6, November 2008, pp. 2743-2778.
- "Public Sector Science and the `Strategy of the Commons'," with Ajay K. Agrawal. Economics of Innovation and New Technology, Vol. 16, No. 7, October 2007, pp. 517-539.
"Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," with Raman Uppal and Tan Wang. The Review of Financial Studies, Vol. 20, No. 1, January 2007, pp. 41-81. Best Paper Award at the 2003 seminars of INQUIRE-UK.
"Are Stocks Desirable in Tax-Deferred Accounts?," with Jennifer Huang, Journal of Public Economics, Vol. 90, No. 12, December 2006, pp. 2257-2283.
"Risk Premia and Preemption in R&D Ventures," Journal of Financial and Quantitative Analysis, Vol. 39, No.4, December 2004, pp. 843-872.
"Public Sector Science and the `Strategy of the Commons'," (Abridged), with Ajay K. Agrawal. Best Paper Proceedings, Academy of Management, Business Policy and Strategy Division, 2002.
"Equilibrium with Endogenous Technological Changes: Theory and Applications," Decisions in Economics and Finance, Vol. 19, No. 1-2, March 1996.
"Linear Operators and Coherent Probabilities," with Gabriele Gurioli. Conference Proceedings of the XIX A.M.A.S.E.S. Meeting, (1995).
Working Papers
"Financial Distress and the Cross-Section of Equity Returns," with Hong Yan. (September 29, 2008)
"Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds," with Keith C. Brown and Cristian-Ioan Tiu. (March 31, 2009)
"A State-Variable Decomposition Approach for Solving Portfolio Choice Problems," with Georgios Skoulakis. (December 9, 2008)
"Taylor Series Approximations to Expected Utility and Optimal Portfolio Choice," with Georgios Skoulakis (December 8, 2008)
"To Hold Familiar Assets or To Diversify? Keynes Meets Markowitz,'' with Phelim Boyle, Raman Uppal and Tan Wang (Under revision. Coming soon.)
Teaching
Financial Risk Management, FIN397.4 (MBA), FIN377.2 (BBA).
Cross-disciplinary interests
McCombs School of Business
Last update: 05/04/2009 05:34 PM
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