Current Research in Asset Pricing

Asset pricing with heterogeneous investors
Heavy-tailed distributions in markets for risk
Numerical asset pricing

Interests

The limits of diversification when losses may be large (with Rustam Ibragimov). Journal of Banking and Finance, 2007.

Recent
publications

On the survival of irrational investors in financial markets (with Yuri Fedyk).

Working
papers

Home

Research

Teaching

Vita

Links

Johan Walden

Portfolio diversification under local,moderate and global deviations from power laws (with Rustam Ibragimov), Insurance, Mathematics and Economics, 2008.

Research in applied mathematics (link)

Pricing and Capital Allocation for Multiline Insurance Firms (with Rustam Ibragimov and Dwight Jaffee), Journal of Risk and Insurance, forthcoming

Nondiversification traps in catastrophe insurance markets (with Dwight Jaffee and Rustam Ibragimov). Review of Financial Studies, 2009.

Capital, contracts and the cross-section of stock returns (with Christine Parlour).

Asset Pricing in Large Information Networks (with Han Ozsoylev).

Optimal bundling strategies under heavy tailed valuations (with Rustam Ibragimov).

Revisiting asset pricing anomalies in an exchange economy (with Christine Parlour and Richard Stanton).

Banking and asset pricing in a flexible tree economy (with Christine Parlour and Richard Stanton).

Financial intermediary equilibrium with monoline and multiline insurance (with Rustam Ibragimov and Dwight Jaffee).