Research

Johan Walden - Research

Asset pricing
Heavy-tailed risks
Networks in capital markets

Reseach Interests

The Limits of Diversification When Losses May Be Large (with Rustam Ibragimov), Journal of Banking and Finance, 2007,31(8), 2551-2569.

Publications

Working
papers

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Johan Walden

Portfolio Diversification Under Local, Moderate and Global Deviations From Power Laws (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008, 42(2), 594-599.

Research in applied mathematics (link)

Optimal Bundling Strategies under Heavy Tailed Valuations (with Rustam Ibragimov), Management Science, 2010, 56(11), 1963-1976.

Nondiversification Traps in Catastrophe Insurance Markets (with Dwight Jaffee and Rustam Ibragimov), Review of Financial Studies, 2009, 22(3), 959-993.

Investor Networks in the Stock Market, (with Han Ozsoylev, Deniz Yavuz and Recep Bildik).

Industrial Asset Pricing, (with Marcus Opp and Christine Parlour).

Asset Pricing in Large Information Networks, (with Han Ozsoylev), Journal of Economic Theory, 2011, 146(6), 2252-2280.

Financial Flexibility, Bank Capital Flows, and Asset Prices, (with Christine Parlour and Richard Stanton), Journal of Finance, forthcoming.

Insurance Equilibrium with Monoline and Multiline Insurers, (with Rustam Ibragimov and Dwight Jaffee).

Working
papers

Hedging Labor Income Risk, (with Sebastien Betermeier, Christine Parlour and Thomas Jansson), Journal of Financial Economics, forthcoming.

Limited Capital Market Participation and Human Capital Risk, (with Jonathan Berk).

Pricing and Capital Allocation for Multiline Insurance Firms (with Rustam Ibragimov and Dwight Jaffee), Journal of Risk and Insurance, 2010, 77(3), 551-578

Value at Risk and Efficiency Under Dependence and Heavy Tailedness (with Rustam Ibragimov), Annals of Finance, 2011, 7(3), 285-319.

Diversification Disasters (with Rustam Ibragimov and Dwight Jaffee), Journal of Financial Economics, 2011, 99(2), 333-348.

General Equilibrium Returns to Human and Investment Capital under Moral Hazard (with Christine Parlour), Review of Economic Studies, 2011, 78(1), 394-428.