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Lorenzo Garlappi Assistant Professor
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Lorenzo Garlappi
Assistant 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
Vita (updated to September 18, 2007)
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 with frictions in the form of constraints and or taxes
Portfolio choice in the presence of model and parameter uncertainty
Assessing the effectiveness of portfolio models used by individuals and institutions
Numerical techniques for dynamic portfolio problems
Publications
"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, forthcoming.
- "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. (April 10, 2007)
"Does Asset Allocation Influence Portfolio Performance?: Evidence from University Endowment Funds" with Keith Brown and Cristian-Ioan Tiu. (August 7, 2008)
"A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,'' with Victor DeMiguel, Javier Nogales and Raman Uppal. (July 13, 2007)
"A State-Variable Decomposition Approach for Solving Portfolio Choice Problems," with Georgios Skoulakis. (May, 31, 2008)
"Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration Using Polynomial Approximations", with Georgios Skoulakis. (January 2008)
"To Hold Familiar Assets or To Diversify? Keynes Meets Markowitz,'' with Phelim Boyle, Raman Uppal and Tan Wang (August 17, 2006).
Teaching
Financial Risk Management, FIN397.4 (MBA), FIN377.2 (BBA).
Cross-disciplinary interests
McCombs School of Business
Last update: 08/07/2008 12:02 PM
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