Researcher interests: Microscopic simulation of financial markets. Wealth inequality: talent or luck? Wealth distribution and the distribution of stock returns. Social phase transitions. Multiple equilibria in the capital asset pricing model (CAPM). The evolutionary basis of decision-making.
FACULTY / SCHOOL: School of Business Administration
DEPARTMENT: Finance and Banking
Selected Publications
stocks for the log run and constant relative risk aversion preferences (2019)|
European Journal of Operational Research|
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under diversification and the size effect (2019)|
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comment on aging population retirement and risk taking (2018)|
Management Science|
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generalized performance measures optimal overweighing of fees relative to sample returns (2018)|
The Journal of Portfolio Management|
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prospect theory and the investment horizon (2017)|
Social Science Research Network|
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generalized portfolio performance measures optimal overweighting of fees relative to sample returns (2017)|
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90 cents of every pay for performance dollar are paid for luck (2016)|
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measuring portfolio performance sharpe alpha or the geometric mean (2016)|
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seeking alpha it s a bad guideline for portfolio optimization (2016)|
The Journal of Portfolio Management|
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the marginal cost of capital a portfolio theory perspective (2016)|
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