Philip Protter

Columbia University

Professor of Statistics

Mail Code 4403

New York, NY 10027

United States

http://www.stat.columbia.edu/~protter/

SCHOLARLY PAPERS

18

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4,101

SSRN CITATIONS
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Top 27,180

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16

CROSSREF CITATIONS

18

Scholarly Papers (18)

1.

A Mathematical Theory of Financial Bubbles

Number of pages: 115 Posted: 24 Jul 2012 Last Revised: 04 Nov 2012
Philip Protter
Columbia University
Downloads 1,821 (11,060)
Citation 4

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strict local martingale, bubble, stochastic differential equation, detection, foreign exchange

Positive Alphas, Abnormal Performance, and Illusory Arbitrage

Mathematical Finance, Vol. 23, Issue 1, pp. 39-56, 2013
Number of pages: 18 Posted: 10 Jan 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 1 (812,778)
Citation 1
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Jensen’s alpha, betas, excess expected return, state price density, arbitrage opportunities, martingale measures, local martingale measures, systematic risk, performance evaluation, asset pricing model, CAPM, ICAPM, CCAPM, APT

3.

Change of Numeraires and Relative Asset Price Bubbles

Number of pages: 29 Posted: 16 May 2013 Last Revised: 14 May 2015
Statistics Department, Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 421 (85,544)
Citation 1

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Bubble, No Free Lunch with Vanishing Risk, Arbitrage, Risk Neutral Measure, Girsanov's Theorem, Bond Bubbles, Change of Numéraire

4.

The Lifetime of a Financial Bubble

Number of pages: 25 Posted: 16 Jun 2015 Last Revised: 08 Apr 2016
Yoshiki Obayashi, Philip Protter and Shihao Yang
Applied Academics LLC, Columbia University and Harvard University, Department of Statistics, Students
Downloads 400 (90,741)
Citation 1

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Financial Bubbles, Bubble Lifetimes, Strict Local Martingales, Generalized Gamma Distributions

5.

Liquidity Suppliers and High Frequency Trading

Number of pages: 13 Posted: 15 Dec 2013
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 393 (92,593)
Citation 1

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High frequency trading, liquidity costs, front running, martingale measures, trading strategies

6.

A Rational Asset Pricing Model for Premiums and Discounts on Closed-End Funds: The Bubble Theory

Number of pages: 15 Posted: 20 Mar 2017
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 264 (142,746)
Citation 1

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closed-end funds, ETFs, asset price bubbles, no arbitrage

7.

Positive Alphas and a Generalized Multiple-Factor Asset Pricing Model

Number of pages: 23 Posted: 19 Dec 2013 Last Revised: 02 Oct 2015
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 230 (163,359)
Citation 9

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beta model, multiple-factor model, arbitrage pricing, stock alpha

8.

Modeling Credit Risk with Partial Information

Annals of Applied Probability, Forthcoming, Johnson School Research Paper Series No. 4-2013
Number of pages: 14 Posted: 14 Nov 2012 Last Revised: 07 Feb 2013
Cornell University - Cornell Theory Center (CTC), Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Zicklin School of Business, Baruch College - The City University of New York
Downloads 193 (192,436)
Citation 2

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Default risk, Azema martinglae, Brownian excursion

9.

Credit Risk, Liquidity, and Bubbles

Number of pages: 12 Posted: 21 Jun 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 129 (268,917)

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10.

Testing for Asset Price Bubbles: An Invariance Theorem

Number of pages: 35 Posted: 31 Mar 2019
Robert A. Jarrow, Philip Protter and Jaime San Martin
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and University of Chile
Downloads 97 (328,098)

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11.

Fair Microfinance Loan Rates

Number of pages: 13 Posted: 01 Mar 2018
Robert A. Jarrow and Philip Protter
Cornell University - Samuel Curtis Johnson Graduate School of Management and Columbia University
Downloads 64 (417,312)

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12.

Asset Price Bubbles: Invariance Theorems*

Number of pages: 41 Posted: 31 Dec 2020
Cornell SC Johnson College of Business, Columbia University, University of Chile and Cornell University - Johnson Graduate School of Management
Downloads 62 (424,074)
Citation 1

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13.

Optimal Group Size in Microlending

Protter, P., Quintos, A. Optimal group size in microlending. Ann Finance (2021). https://doi.org/10.1007/s10436-020-00382-0
Number of pages: 15 Posted: 30 Jun 2020 Last Revised: 26 Jan 2021
Philip Protter and Alejandra Quintos
Columbia University and Columbia University - Department of Statistics
Downloads 24 (600,329)

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Microcredit, Microlending, Group Lending, Group Size

14.

A Rational Asset Pricing Model for Premiums and Discounts on Closed‐End Funds: The Bubble Theory

Mathematical Finance, Vol. 29, Issue 4, pp. 1157-1170, 2019
Number of pages: 14 Posted: 29 May 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
Downloads 1 (776,901)
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asset price bubbles, closed‐end funds, ETFs, no arbitrage

15.

Fair Microfinance Loan Rates

International Review of Finance, Vol. 19, Issue 4, pp. 909-918, 2019
Number of pages: 10 Posted: 26 May 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
Downloads 1 (776,901)
Citation 2
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16.

Strict Local Martingales Via Filtration Enlargement

Electronic version of an article published as [International Journal of Theoretical and Applied Finance, Volume 23, Number 1, 2020, 28 pages] [DOI/10.1142/S0219024920500016] © [copyright World Scientific Publishing Company]
Posted: 01 Feb 2021
Aditi Dandapani and Philip Protter
University of Zurich, Institute of Mathematics, Department of Banking and Finance, University of Zurich, Institute of Mathematics, Department of Banking and Finance, Students and Columbia University

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Strict local martingales, filtration expansion, bubbles

17.

Credit Risk, Liquidity, and Bubbles

International Review of Finance, Vol. 20, Issue 3, pp. 737-746, 2020
Number of pages: 10 Posted: 06 Oct 2020
Robert Jarrow and Philip Protter
Cornell SC Johnson College of Business and Columbia University
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18.

The Effect of Trading Futures on Short Sale Constraints

Mathematical Finance, Vol. 25, Issue 2, pp. 311-338, 2015
Number of pages: 28 Posted: 04 Mar 2015
Robert A. Jarrow, Philip Protter and Sergio Pulido
Cornell University - Samuel Curtis Johnson Graduate School of Management, Columbia University and Laboratoire de Mathématiques et Modélisation d'Évry (LaMME); Université d'Évry-Val-d'Essonne, ENSIIE, Université Paris-Saclay, UMR CNRS 8071
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short sale constraints, futures contracts, futures prices, complete markets, martingale representation, supermartingale measures, overpricing hypothesis, bubbles