Valery Polkovnichenko
Research page

Mail address:

Federal Reserve Board of Governors

Division of Research and Statistics

Capital Markets, MS 89
20^th & C Street

Washington DC 20551

Other contact:

Phone: (202) 912-7842
e-mail: valery.y.polkovnichenko_"at"_frb.org

Home page at FRB http://www.federalreserve.gov/econresdata/valery-polkovnichenko.htm
Home page at UTD http://www.utdallas.edu/~polkovn

CV

My papers at SSRN library

Areas of Interest:
Asset pricing, Portfolio choice, Incomplete markets, Heterogeneous agents, Non-expected utility preferences

Working Papers (submitted or in preparation for another round of review)

• “Fiscal Policy and Asset Prices with Incomplete Markets”, 09/11, revising for 2-d round review, with Francisco Gomes and Alexander Michaelides
• “Ambiguity Aversion and the Arbitrage Pricing Theory”, 08/11, revising for 2-d round review, (Abstract and working paper)
• “Downside Consumption Risk and Expected Returns”, 12/10, revising for 3-d round review, Abstract and working paper (old version only).
• “Quantifying the Distortionary Fiscal Cost of ‘The Bailout’,” 08/11, submitted, with Francisco Gomes and Alexander Michaelides, Abstract and working paper.

Publications:

• “Probability Weighting Functions Implied in Option Prices” 2012, with Feng Zhao, conditionally accepted, Journal of Financial Economics
• “Risk attitude toward small and large bets in the presence of background risk”, 2011, with David Chapman, The Review of Finance, 15(4), pp. 909-27. Abstract and working paper (last unpublished version).
• “Individual Investor Portfolios”, 2010, in “Behavioral Finance” (Robert Kolb series in Finance) by Kent Baker and John Nofsinger, eds., John Wiley & Sons, Hoboken, New Jersey.
• "Wealth accumulation and portfolio choice with taxable and tax-deferred accounts," December 2009, with Francisco Gomes and Alexander Michaelides, Review of Economic Dynamics, 12(4), pp. 718-35 Abstract and working paper (last SSRN version).
• "First Order Risk Aversion, Heterogeneity in Preferences and Asset Markets Outcomes," August 2009, with David Chapman, The Journal of Finance, 64(4), pp. 1863-88 Abstract and working paper (last SSRN version)
• Life cycle portfolio choice with additive habit formation preferences and uninsurable labor income risk", The Review of Financial Studies, January 2007, 20(1), pp. 83-124 Abstract and working paper (last SSRN version)
• "Household Portfolio Diversification: A Case for Rank-Dependent Preferences," The Review of Financial Studies, Winter 2005, 18(4), pp.1467-1501. Abstract and working paper (last SSRN version)
• "Limited Stock Market Participation and the Equity Premium," Finance Research Letters, 1(1), March 2004. Abstract and working paper (last SSRN version)
• "Human Capital and the Private Equity Premium", Review of Economic Dynamics, 6(4), October 2003, pp. 831-845. Abstract and a working paper (last SSRN version)

Work in progress:

• Quantitative analysis of economies with heterogeneous agents and investment adjustment costs (with Francisco Gomes and Alex Michaelides)
• Heterogeneous preferences and the long run risk (with David Chapman)
• Simulation-based analysis of multi-factor asset pricing models (with Yexiao Xu and Yihua Zhao)
• Risk preferences and demand for active management (with Kelsey Wei and Feng Zhao)

• Uncertainty in investment opportunities and corporate cash holdings (with Seong Byun and Michael Rebello)

Old working paper

o “Competition in Financial Dealership Markets”, with Ilan Kremer, 2000. This paper won the Trefftz prize (best Ph.D. student paper) of the1999 WFA conference. Working paper.