Raman Uppal

EDHEC Business School

Professor

58 rue du Port

Lille, 59046

France

Centre for Economic Policy Research (CEPR)

Fellow

90-98 Goswell Road

London, EC1V 7RR

United Kingdom

  • EDHEC Business School

SCHOLARLY PAPERS

37

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27,284

SSRN CITATIONS
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708

CROSSREF CITATIONS

1,856

Scholarly Papers (37)

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1.

Equal or Value Weighting? Implications for Asset-Pricing Tests

Number of pages: 64 Posted: 21 Mar 2011 Last Revised: 29 Jan 2016
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 4,280 (2,659)
Citation 40

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empirical asset pricing, factor models, systematic risk, alpha, idiosyncratic volatility

2.

1/N

Downloads 3,850 ( 3,186)
Citation 8

1/N

EFA 2006 Zurich Meetings
Number of pages: 54 Posted: 23 Jun 2006
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 2,512 (6,476)
Citation 9

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Portfolio choice, asset allocation, investment management

How Inefficient are Simple Asset-Allocation Strategies?

Number of pages: 77 Posted: 03 Mar 2005
Lorenzo Garlappi, Victor DeMiguel and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, London Business School and EDHEC Business School
Downloads 1,338 (17,725)
Citation 5

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Portfolio choice, asset allocation, investment management

3.

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Downloads 3,552 ( 3,636)
Citation 61

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

Number of pages: 45 Posted: 16 Sep 2009 Last Revised: 18 Jun 2012
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 3,537 (3,600)
Citation 23

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mean variance, option-implied volatility, variance risk premium, option-implied skewness, portfolio optimization

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

CEPR Discussion Paper No. DP7686
Number of pages: 49 Posted: 01 Mar 2010
Victor DeMiguel, Yuliya Plyakha, Raman Uppal and Grigory Vilkov
London Business School, Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 15 (688,831)
Citation 16
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mean-variance, option-implied skewness, option-implied volatility, portfolio optimization, variance risk premium

4.

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Downloads 2,379 ( 7,187)
Citation 39

A Transaction-Cost Perspective on the Multitude of Firm Characteristics

Number of pages: 114 Posted: 08 Feb 2017 Last Revised: 17 Jan 2019
Victor DeMiguel, Alberto Martin-Utrera, Francisco J. Nogales and Raman Uppal
London Business School, New Jersey Institute of Technology, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2,377 (7,062)
Citation 42

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cross section of stock returns, trading diversification, factor zoo

A Portfolio Perspective on the Multitude of Firm Characteristics

CEPR Discussion Paper No. DP12417
Number of pages: 63 Posted: 06 Nov 2017
Victor DeMiguel, Alberto Martin Utrera, Francisco J. Nogales and Raman Uppal
London Business School, Lancaster University - Lancaster University Management School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (801,176)
Citation 2
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Anomalies, out of sample performance, Risk, transaction costs

5.

Why Does an Equal-Weighted Portfolio Outperform Value- and Price-Weighted Portfolios?

Number of pages: 54 Posted: 29 Jan 2016 Last Revised: 16 Sep 2017
Yuliya Plyakha, Raman Uppal and Grigory Vilkov
Universite du Luxembourg - School of Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1,634 (13,211)
Citation 8

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stock index, systematic risk, idiosyncratic risk, factor models, contrarian, trend following

6.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Downloads 1,184 ( 21,692)
Citation 41

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

AFA 2011 Denver Meetings Paper
Number of pages: 71 Posted: 17 Mar 2010 Last Revised: 14 Nov 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 1,182 (21,369)
Citation 19

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Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

CEPR Discussion Paper No. DP9456
Number of pages: 64 Posted: 02 May 2013
Victor DeMiguel, Francisco J. Nogales and Raman Uppal
London Business School, Universidad Carlos III de Madrid - Department of Statistics and EDHEC Business School
Downloads 2 (801,176)
Citation 11
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out-of-sample performance, portfolio choice, Serial dependence, vector autoregression

7.

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Downloads 1,129 ( 23,311)
Citation 134

What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

Swiss Finance Institute Research Paper No. 06-19, AFA 2007 Chicago Meetings Paper
Number of pages: 50 Posted: 10 Mar 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 617 (52,972)
Citation 3

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Dynamic portfolio choice, excess volatility, general equilibrium

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Swiss Finance Institute Research Paper No. 07-37
Number of pages: 54 Posted: 11 Dec 2007
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 371 (98,705)
Citation 1

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Bayesian behavior, financial-market equilibrium, excess volatility, risk premia

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

NBER Working Paper No. w13401
Number of pages: 51 Posted: 14 Sep 2007 Last Revised: 13 Feb 2021
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 60 (441,945)
Citation 29

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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

NBER Working Paper No. w11803
Number of pages: 47 Posted: 22 Jan 2006 Last Revised: 03 Apr 2021
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 48 (485,945)

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What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?

CEPR Discussion Paper No. 5367
Number of pages: 49 Posted: 13 Feb 2006
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 30 (579,098)
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Behavioural equilibrium theory, non-Bayesian behaviour, portfolio choice

Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

CEPR Discussion Paper No. DP6455
Number of pages: 53 Posted: 30 May 2008
Bernard Dumas, Alexander Kurshev and Raman Uppal
INSEAD, London Business School and EDHEC Business School
Downloads 3 (790,337)
Citation 22
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Bayesian behaviour, excess volatility, financial-market equilibrium, risk premia

8.

Systemic Risk and International Portfolio Choice

Downloads 940 ( 30,271)
Citation 124

Systemic Risk and International Portfolio Choice

AFA 2003 Washington, DC Meetings
Number of pages: 55 Posted: 30 Nov 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 911 (31,227)
Citation 21

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asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

Systemic Risk and International Portfolio Choice

Number of pages: 59 Posted: 14 May 2002
Sanjiv Ranjan Das and Raman Uppal
Santa Clara University - Leavey School of Business and EDHEC Business School
Downloads 29 (585,428)
Citation 14
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Asset allocation, contagion, emerging markets, skewness, jump-diffusion processes

9.

Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

Downloads 903 ( 32,062)
Citation 60

Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

AFA 2010 Atlanta Meetings Paper
Number of pages: 44 Posted: 19 Mar 2009 Last Revised: 16 Sep 2009
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 517 (66,141)
Citation 10

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Tradeoff between Familiarity and Diversification

EFA 2009 Bergen Meetings Paper
Number of pages: 44 Posted: 16 Feb 2009 Last Revised: 16 Sep 2009
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 379 (96,024)
Citation 10

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Investment, portfolio choice, ambiguity, robust control

Keynes Meets Markowitz: The Trade-Off between Familiarity and Diversification

CEPR Discussion Paper No. DP7687
Number of pages: 45 Posted: 01 Mar 2010
Phelim P. Boyle, Lorenzo Garlappi, Raman Uppal and Tan Wang
Wilfrid Laurier University - School of Business & Economics, University of British Columbia (UBC) - Sauder School of Business, EDHEC Business School and University of British Columbia (UBC) - Division of Finance
Downloads 7 (755,839)
Citation 8
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ambiguity, diversification, investment, portfolio choice, robust control

10.

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Downloads 819 ( 36,647)
Citation 8

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Number of pages: 63 Posted: 24 Aug 2000
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 718 (43,252)
Citation 10

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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

NBER Working Paper No. w8609
Number of pages: 36 Posted: 17 Nov 2001 Last Revised: 25 Oct 2010
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 75 (388,385)

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Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies

Number of pages: 39 Posted: 16 May 2002
Leonid Kogan and Raman Uppal
Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 26 (605,716)
Citation 1
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Asset allocation, stochastic investment opportunities, incomplete markets, borrowing constraints, asymptotic analysis

11.

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

Downloads 685 ( 46,731)
Citation 183

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

EFA 2005 Moscow Meetings Paper, Sauder School of Business Working Paper
Number of pages: 52 Posted: 24 Feb 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 661 (48,317)
Citation 10

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Portfolio choice, asset allocation, estimation

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

CEPR Discussion Paper No. 5148
Number of pages: 47 Posted: 17 Aug 2005
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 24 (619,933)
Citation 41
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Portfolio choice, asset allocation, estimation error, uncertainty, ambiguity, robustness

Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

The Review of Financial Studies, Vol. 20, Issue 1, pp. 41-81, 2007
Posted: 29 Feb 2008
Lorenzo Garlappi, Tan Wang and Raman Uppal
University of British Columbia (UBC) - Sauder School of Business, University of British Columbia (UBC) - Division of Finance and EDHEC Business School

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12.

Asset Prices with Heterogeneity in Preferences and Beliefs

Downloads 620 ( 53,297)
Citation 91

Asset Prices with Heterogeneity in Preferences and Beliefs

AFA 2010 Atlanta Meetings Paper
Number of pages: 71 Posted: 19 Mar 2009 Last Revised: 08 Jan 2015
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 615 (53,201)
Citation 34

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heterogeneity, general equilibrium, stationarity, equity risk premium, volatility

Asset Prices with Heterogeneity in Preferences and Beliefs

CEPR Discussion Paper No. DP9459
Number of pages: 78 Posted: 08 May 2013
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 5 (772,893)
Citation 26
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Asset Pricing, General Equilibrium

13.

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

Downloads 598 ( 55,777)
Citation 11

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

INSEAD Working Paper No. 2016/29/FIN
Number of pages: 49 Posted: 25 Jan 2016 Last Revised: 05 May 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 408 (88,137)

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis

SAFE Working Paper No. 124
Number of pages: 59 Posted: 17 Nov 2016
Adrian Buss, Bernard Dumas, Raman Uppal and Grigory Vilkov
INSEAD - Finance, INSEAD, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 190 (195,522)
Citation 11

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Tobin tax, borrowing constraints, short-sale constraints, stock market volatility, incomplete markets, differences of opinion

14.

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

Number of pages: 92 Posted: 03 Dec 2015 Last Revised: 12 Jul 2016
Raman Uppal and Paolo Zaffaroni
EDHEC Business School and Imperial College Business School
Downloads 557 (60,990)
Citation 4

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Active and passive portfolios, pricing errors, managerial skill, factor models, mean-variance portfolio, global-minimum-variance portfolio, estimation error, robust estimation

15.

Model Misspecification and Under-Diversification

Downloads 467 ( 75,874)
Citation 132

Model Misspecification and Under-Diversification

EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 31 Posted: 16 Dec 2001
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 447 (79,150)
Citation 11

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Model Misspecification and Under-Diversification

Number of pages: 33 Posted: 09 May 2002
Tan Wang and Raman Uppal
University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 20 (649,741)
Citation 20
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Portfolio choice, uncertainty, ambiguity, robust control

16.

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Downloads 460 ( 77,244)
Citation 11

Does Household Finance Matter? Small Financial Errors with Large Social Costs

Number of pages: 108 Posted: 27 Jan 2016 Last Revised: 01 Oct 2018
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 460 (76,503)
Citation 4

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Portfolio choice, underdiversification bias, growth, social welfare

Does Household Finance Matter? Small Financial Errors with Large Social Costs

CEPR Discussion Paper No. DP12414
Number of pages: 63 Posted: 06 Nov 2017
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
Citation 10
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familiarity bias, growth, Portfolio choice, social welfare, underdiversification

17.

The Implications of Financial Innovation for Capital Markets and Household Welfare

Downloads 425 ( 84,804)
Citation 3

The Implications of Financial Innovation for Capital Markets and Household Welfare

INSEAD Working Paper No. 2017/52/FIN
Number of pages: 43 Posted: 09 Aug 2017 Last Revised: 22 Aug 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 425 (84,057)
Citation 4

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household finance, household portfolio choice, wealth inequality, differences in beliefs, parameter uncertainty, Bayesian learning, recursive utility.

Financial Innovation and Asset Prices

CEPR Discussion Paper No. DP12416
Number of pages: 56 Posted: 06 Nov 2017
Adrian Buss and Raman Uppal
INSEAD - Finance and EDHEC Business School
Downloads 0
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differences in beliefs, parameter uncertainty, rational learning, recursive utility, spillover effects

The Implications of Financial Innovation for Capital Markets and Household Welfare

CEPR Discussion Paper No. DP13137
Number of pages: 46 Posted: 17 Sep 2018
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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Bayesian Learning, differences in beliefs, household finance, household portfolio choice, parameter uncertainty, recursive utility, Wealth Inequality

18.

What Alleviates Crowding in Factor Investing?

Number of pages: 66 Posted: 10 Jun 2019 Last Revised: 19 May 2021
Victor DeMiguel, Alberto Martin-Utrera and Raman Uppal
London Business School, New Jersey Institute of Technology and EDHEC Business School
Downloads 411 (88,154)
Citation 1

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capacity of quantitative strategies, price impact, competition.

19.

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

Downloads 369 ( 99,806)
Citation 8

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

INSEAD Working Paper No. 2014/01/FIN
Number of pages: 46 Posted: 12 Dec 2013 Last Revised: 11 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 197 (189,249)
Citation 5

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Liquidity premium, incomplete markets, portfolio choice, heterogeneous agents, general equilibrium

Asset Prices in General Equilibrium with Recursive Utility and Illiquidity Induced by Transactions Costs

SAFE Working Paper No. 41
Number of pages: 48 Posted: 18 Feb 2014 Last Revised: 14 Jan 2019
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 172 (213,476)
Citation 4

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liquidity premium, incomplete markets, portfolio choice, heterogeneous agents

20.

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Downloads 365 (101,060)
Citation 2

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

Number of pages: 59 Posted: 15 Dec 2014 Last Revised: 12 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 365 (100,311)
Citation 2

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portfolio choice, alternative assets, private equity, transaction costs, heterogeneous beliefs, incomplete markets

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

CEPR Discussion Paper No. DP10437
Number of pages: 61 Posted: 24 Feb 2015
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 0
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alternative assets, heterogeneous beliefs, incomplete markets, portfolio choice, private equity, transaction costs

21.

Non-Redundant Derivatives in a Dynamic General Equilibrium Economy

London Business School Working Paper; EFA 2002 Berlin Meetings Presented Paper, Sauder School of Business Working Paper
Number of pages: 53 Posted: 20 Mar 2002
Harjoat Singh Bhamra, Leonid Kogan and Raman Uppal
Imperial College Business School, Massachusetts Institute of Technology (MIT) - Sloan School of Management and EDHEC Business School
Downloads 354 (104,640)

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Asset pricing, derivative valuation, portfolio choice, incomplete markets

22.

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

Downloads 353 (104,938)
Citation 4

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

Sauder School of Business Working Paper, AFA 2007 Chicago Meetings Paper
Number of pages: 40 Posted: 15 Mar 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 339 (109,056)
Citation 6

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Excess volatility, general equilibrium, heterogeneous agents, prudence

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns

CEPR Discussion Paper No. 5726
Number of pages: 30 Posted: 16 Aug 2006
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 14 (696,998)
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General equilibrium, options, volatility, risk-sharing

23.

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

Downloads 333 (112,015)
Citation 11

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

EFA 2003 Annual Conference Paper No. 267, Sauder School of Business Working Paper
Number of pages: 28 Posted: 21 Jul 2003
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 308 (121,070)

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Intertemporal optimization and decision making

The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-Portfolio Choice with Recursive Utility

CEPR Discussion Paper No. 5020
Number of pages: 32 Posted: 24 Aug 2005
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 25 (612,651)
Citation 2
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Intertemporal optimization, decision making

24.

Portfolio Investment with the Exact Tax Basis Via Nonlinear Programming

Number of pages: 47 Posted: 01 Jul 2004
Victor DeMiguel and Raman Uppal
London Business School and EDHEC Business School
Downloads 205 (182,535)
Citation 9

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Portfolio choice, capital gains tax, optimization, nonlinear programming

25.

Do the Effects of Individual Behavioral Biases Cancel Out?

Downloads 152 (236,786)
Citation 4

Do the Effects of Individual Behavioral Biases Cancel Out?

Number of pages: 46 Posted: 04 Jan 2017 Last Revised: 06 Jul 2021
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 152 (237,315)
Citation 3

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Behavioral finance, money market, aggregate growth, stochastic discount factor.

Do Individual Behavioral Biases Affect Financial Markets and the Macroeconomy?

CEPR Discussion Paper No. DP12415
Number of pages: 59 Posted: 06 Nov 2017
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
Citation 1
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aggregate growth, ambiguity aversion, behavioral finance, investment, underdiversification

Do the Effects of Individual Behavioral Biases Cancel Out?

CEPR Discussion Paper No. DP16335
Number of pages: 49 Posted: 14 Jul 2021
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School
Downloads 0
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26.

Investor Sophistication and Portfolio Dynamics

Downloads 64 (418,265)

Investor Sophistication and Portfolio Dynamics

Number of pages: 53 Posted: 05 Sep 2020 Last Revised: 04 Feb 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 63 (427,320)

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household finance, wealth inequality, belief formation, investors' expectations, trend chasing

Investor Sophistication and Portfolio Dynamics

CEPR Discussion Paper No. DP15116
Number of pages: 56 Posted: 18 Aug 2020 Last Revised: 11 Feb 2021
Adrian Buss, Raman Uppal and Grigory Vilkov
INSEAD - Finance, EDHEC Business School and Frankfurt School of Finance & Management
Downloads 1 (814,463)
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27.

Efficient Intertemporal Allocations with Recursive Utility

NBER Working Paper No. t0231
Number of pages: 33 Posted: 26 Aug 2000 Last Revised: 19 Feb 2021
Bernard Dumas, Tan Wang and Raman Uppal
INSEAD, University of British Columbia (UBC) - Division of Finance and EDHEC Business School
Downloads 57 (442,784)
Citation 8

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28.

The Equilibrium Approach to Exchange Rates: Theory and Tests

NBER Working Paper No. w5748
Number of pages: 44 Posted: 07 Nov 1996 Last Revised: 04 Oct 2010
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 49 (473,335)

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29.

How Inefficient is the 1/N Asset-Allocation Strategy?

CEPR Discussion Paper No. 5142
Number of pages: 64 Posted: 17 Aug 2005
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School
Downloads 42 (503,489)
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Portfolio choice, asset allocation, investment management

30.

Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods

NBER Working Paper No. w6994
Number of pages: 34 Posted: 07 Apr 1999 Last Revised: 11 Feb 2021
Bernard Dumas and Raman Uppal
INSEAD and EDHEC Business School
Downloads 27 (582,186)

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31.

The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests

Number of pages: 25 Posted: 04 Jun 2002
Prakash Apte, Piet Sercu and Raman Uppal
Indian Institute of Management, Bangalore, FEB at KU Leuven and EDHEC Business School
Downloads 21 (621,876)
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General equilibrium, purchasing power parity, regression tests

32.

The Effect of Introducing a Non-Redundant Derivative on the Volatility of Stock-Market Returns When Agents Differ in Risk Aversion

The Review of Financial Studies, Vol. 22, Issue 6, pp. 2303-2330, 2009
Posted: 01 Jun 2009
Harjoat Singh Bhamra and Raman Uppal
Imperial College Business School and EDHEC Business School

Abstract:

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G12, D51, D52, D91

33.

Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy?

The Review of Financial Studies, Vol. 22, Issue 5, pp. 1915-1953, 2009
Posted: 13 Apr 2009
Victor DeMiguel, Lorenzo Garlappi and Raman Uppal
London Business School, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

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G11

34.

A Test of Uncovered Interest Rate Parity in Segmented International Commodity Markets

Posted: 31 Dec 1998
Burton Hollifield and Raman Uppal
Carnegie Mellon University - David A. Tepper School of Business and EDHEC Business School

Abstract:

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35.

Leverage Constraints and the Optimal Hedging of Stock and Bond Options

J of Financial and Quantitative Analysis, Vol. 29, No. 2, June 1994
Posted: 20 Dec 1998
Vasant Naik and Raman Uppal
Lehman Brothers International, Europe and EDHEC Business School

Abstract:

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36.

Index-Induced Errors and Purchasing Power Parity: Bounding the Possible Bias

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS, INSTITUTIONS & MONEY, Vol 5 (2/3) 1995
Posted: 24 Aug 1998
Sandra Betton, Maurice D. Levi and Raman Uppal
Concordia University, Quebec - Department of Finance, University of British Columbia (UBC) - Sauder School of Business and EDHEC Business School

Abstract:

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37.

The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity

JOURNAL OF FINANCE, Vol 50 No 4, September 1995
Posted: 15 Jul 1998
Piet Sercu, Cynthia Van Hulle and Raman Uppal
FEB at KU Leuven, KU Leuven - Department of Applied Economics and EDHEC Business School

Abstract:

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