RPF-277.* "Applying the Grinblatt-Titman and the Conditional (Ferson-Schadt)
Performance Measures: The Case of Industry Rotation Via the Dynamic Investment
Model." Robert R. Grauer and Nils H. Hakansson. April 1998. Text
RPF-252.* Jacob Boudoukh, Matthew Richardson, Richard Stanton, and Robert
F. Whitelaw. "Pricing Mortgage-Backed Securities in a Multifactor
Interest Rate Environment: A Multivariate Density Estimation Approach."
July 1995. Stanton
RPF-239. Robert R. Grauer and Nils H. Hakansson. "Gains from Diversifying
into Real Estate: Three Decades of Portfolio Returns Based on the Dynamic
Investment Model." October 1994. (Published in Real Estate Economics,
23 (Summer 1995), 117-159.)
RPF-219. Lewis X. Lu. "Continuous Equilibrium in Speculative Markets
with Heterogeneous Information." November 1991.
RPF-218. Lewis X. Lu. "Optimal Continuous Speculation with Information
Extracted from Price History." November 1991.
RPF-217. Alan Jung. "Portfolio Policies with Transactions Costs:
Discrete Time Model." October 1991.
RPF-216. Gerard Gennotte and Alan Jung. "Commissions and Asset
Allocation." October 1991.
RPF-215. Hua He and Chi-fu Huang. "Efficient Consumption-Portfolio
Policies." October 1991.
RPF-214. Nils Hakansson. "Supershares." August 1991.
RPF-213. Gerard Gennotte and Alan Jung. "Investment Strategies
under Transaction Costs: The Finite Horizon Case." August 1991.
RPF-212. Nils H. Hakansson. "Welfare Economics of Financial Markets."
RPF-211. Gerard Gennotte and Hayne Leland. "Low Margins, Derivative
Securities, and Volatility." May 1991.
RPF-210. Gerard Gennotte and Terry A. Marsh. "Variations in Economic
Uncertainty and Risk Premiums on Capital Assets." May 1991.
RPF-209. Hua He. "Optimal Consumption-Portfolio Policies: A Convergence
from Discrete to Continuous Time Models." April 1991.
RPF-208. Steven E. Plaut. "The Prepayment Uncertainty of Collateralized
Mortgage Obligations." March 1991.
RPF-207. Steven E. Plaut. "Reinsurance and Securitization of Deposit
Insurance; A Workable Proposal for Risk-Based Pricing." February
RPF-206. Robert R. Grauer and Nils H. Hakansson. "On the Use of
Mean-Variance and Quadratic Approximations in Implementing Dynamic Investment
Strategies: A Comparison of Returns and Investment Policies." January
1991. (published in Management Science, 39 (July 1993), 856-871)
RPF-205. Mark Rubinstein. "Continuously Rebalanced Investment Strategies."
RPF-204. Richard R. Lindsey. "Market Makers, Asymmetric Information
and Price Information." December 1990.
RPF-203. Ulrike Schaede. "Black Monday in New York, Blue Tuesday
in Tokyo: The October 1987 Crash in Japan." December 1990.
RPF-202. Richard R. Lindsey and Ulrike Schaede. "Specialist vs.
Saitori: Market Making in New York and Tokyo." December 1990.
RPF-201. Jivendra K. Kale, Nils H. Hakansson, and Gerald W. Platt. "Industry
vs. Other Factors in Risk Prediction." March 1991.
RPF-200. Hua He and Henri F. Pags. "Consumption and Portfolio
Decisions with Labor Income and Borrowing Constraints." August 1990.
RPF-199. Hua He. "Convergence from Discrete to Continuous Time
Contingent Claims Prices." July 1990.
RPF-198. Joe Peek and James A. Wilcox. "Pitfalls in Fisher Model
Building: Interest Rates and Inflation in the Interwar Period." July
RPF-197. Gerard Gennotte and David Pyle. "Capital Controls and
Bank Risk." Revised December 1990.
RPF-196. Richard Breen and Gregory Connor. "The Relationship Between
Non- Arbitrage and Recursive Competitive Equilibrium Pricing." June
RPF-195. Hayne E. Leland. "Insider Trading: Should It Be Prohibited?"
RPF-194. Robert R. Grauer and Nils H. Hakansson. "Stein and CAPM
Estimators of the Means in Portfolio Choice: A Case of Unsuccess."
March 1990. (published in International Review of Financial Analysis,
4 (1995), 35-66.)
RPF-193. Hua He. "Moment Approximation and Estimation of Diffusion
Models of Asset Prices." March 1990.
RPF-192. Gerard Gennotte and Hayne Leland. "Market Liquidity, Hedging
and Crashes." December l989. (Revised version of Working Paper 184,
of May l989)
RPF-191. Hua He and Neil D. Pearson. "Consumption and Portfolio
Policies with Incomplete Markets and Short-Sale Constraints: The Infinite
Dimensional Case." October 1989.
RPF-190. Hua He. "Convergence from Discrete to Continuous Time
Financial Model." October l989.
RPF-189. Hua He and Neil D. Pearson. "Consumption and Portfolio
Policies with Incomplete Markets and Short-Sale Constraints: The Finite
Dimensional Case." September l989.
RPF-188. Robert R. Grauer, Nils H. Hakansson, and Frederick C. Shen.
"Industry Rotation in the U.S. Stock Market: 1934-1986 Returns on
Passive, Semi-passive, and Active Strategies." August 1989.
RPF-187. Mark Rubinstein. "Market Basket Alternatives." August
RPF-186. David H. Pyle and Avinash K. Verma. "Competitive Pricing
of Demand Deposits." June 1989.
RPF-185. Hayne E. Leland. "LBOs and Taxes: No One to Blame But
Ourselves?" May 1989.
RPF-184. Gerard Gennotte and Hayne Leland. "Market Liquidity, Hedging
and Crashes." May 1989. (Revised as Working Paper 192, of December
RPF-183. Mark Latham. "The Arbitrage Pricing Theory: A State-Preference
Analysis." August 1988.
RPF182. Reuven Glick and Steven E. Plaut. "Money and Off-Balance-Sheet
Liquidity: An Empirical Analysis." April l988.
RPF181. Gregory Connor and Robert A. Korajczyk. "The Attributes,
Behavior and Performance of U.S. Mutual Funds." March l988.
RPF180. Ehud I. Ronn and Lemma W. Senbet. "Debt and Market Incompleteness."
RPF179. Yoon Dokko and Robert H. Edelstein. "Stock Prices, Risk
Premia, Inflation, and Uncertainty." October l987.
RPF178. Reuven Glick and Steven E. Plaut. "Off-Balance-Sheet Liquidity
and Monetary Control." October l987.
RPF177. Richard C. Grinold. "Ex-Ante Characterization of an Efficient
Portfolio." September l987.
RPF176. Gregory Connor and Robert Korajczyk. "An Intertemporal
Equilibrium Beta Pricing Model." August l987.
RPF175. Gregory Connor and Robert T. Uhlaner. "New Cross-Sectional
Regression Tests of Beta Pricing Models." August l987.
RPF174. Gregory Connor and Robert Korajczyk. "Risk and Return in
an Equilibrium APT." April l987.
RPF173. Gregory Connor and Robert A. Korajczyk. "Estimating Pervasive
Economic Factors with Missing Observations." April l987.
RPF172. Steven E. Plaut and Arie L. Melnik. "The Pricing of Bank
Loans with Contingent Assets and Liabilities." May l987.
RPF171. Aimee G. Ronn and Ehud I. Ronn. "A New Option Spread Arbitrage
Condition: Theory, Tests and Investment Strategies." May l987. (published
in Review of Financial Studies, vol.2, no. 1 (1989) pp91-108, http://www.jstor.org)
RPF170. Ehud I. Ronn. "Non-Additive Preferences and the Marginal
Propensity to Consume." April l987.
RPF169. Ehud I. Ronn and Avinash K. Verma. "A Multi-Attribute Comparative
Evaluation of a Relative Risk for a Sample of Banks." April l987.
RPF168. Robert R. Grauer and Nils H. Hakansson. "Gains from International
Diversification: l968-85 Returns on Portfolios of Stocks and Bonds."
March l987. (published in Journal of Finance,
42 (July 1987), 721-739.)
RPF167. Aamir Sheikh. "Stock Splits, Volatility Increases and Implied
Volatilities." March l987.
RPF166. Richard C. Grinold. "Multiple Factor Risk Models and Exact
Factor Pricing." February l987.
RPF165. Bjorn Flesaker and Ehud I. Ronn. "Inflation Futures and
a Riskless Real Interest Rate." December l986.
RPF164. Mark Latham. "Informational Efficiency and the Private
Value of Information." December l986.
RPF163. Terry A. Marsh and Robert C. Merton. "Dividend Behavior
for the Aggregate Stock Market." July l986.
RPF162. Joe Mattey and Richard Meese. "Empirical Assessment of
Present Value Relations." June l986.
RPF161. Ehud I. Ronn. "On the Rationality of Common Stock Return
Volatility." May l986.
RPF160. Ehud I. Ronn and Avinash K. Verma. "The Determination of
Capital Adequacy Standards for Banks." May l986.
RPF159. Ehud I. Ronn. "A New Linear Programming Approach to Bond
Portfolio Management." May l986. (Published in Journal of Financial
and Quantitative Analysis vol 22, no. 4, (Dec. 1987) pp 439-466. http:www.jstor.org)
RPF158. David H. Pyle. "Financial Deregulation." February
RPF157. Yoon Dokko and Robert H. Edelstein. "Stock Market Returns
and Inflation: The Effects of Economic Uncertainty." August l985.
RPF156. David F. Babbel and Eisaku Ohtsuka. "Aspects of Optimal
Multiperiod Life Insurance." August l985.
RPF155. David F. Babble. "The Brennan and Schwartz Two Factor Model
of the Term Structure of Interest; Empirical Extension." August l985.
RPF154. David F. Babbel and Jaime Cuevas Dermody. "Optimal Insurance
of the Common Form Under Moral Hazard." August l985.
RPF153. Robert R. Grauer and Nils Hakansson. "A Half-Century of
Returns on Levered and Unlevered Portfolios of Stocks, Bonds, and Bills,
With and Without Small Stocks." July l985.
RPF152. Ehud I. Ronn and Avinash K. Verma. "Pricing Risk-Adjusted
Deposit Insurance." May l985. (published in Journal of Finance
vol 41, no. 4 (Sept 12986) pp. 871-895 http://www.jstor.org)
RPF151. Robert H. Litzenberger and Ehud I. Ronn. "A Utility-Based
Model of Common Stock Price Movements." May l985.
RPF150. Mark Latham. "Defining Capital-Market Efficiency."
April l985. (Published in Journal of Finance vol 41, no.1 (Mar
1986), pp. 67-92. http://www.jstor.org)
RPF149. D. Chinhyung Cho, Cheol S. Eun and Lemma W. Senbet. "International
Arbitrage Pricing Theory: An Empirical Investigation." March l985.
RPF148. Robert M. Dammon and Lemma W. Senbet. "Tax Effects of Production
and Finance." January l985.
RPF147. Sudipto Bhattacharya and Dilip Mookherhee. "Portfolio Choice
in Research and Development." December l984.
RPF146. Joe Peek and James A. Wilcox. "Taxable and Tax-Exempt Interest
Rates: The Role of Personal and Corporate Tax Rates." January l985.
RPF145. James A. Wilcox. "Short-Term Movements of Long-Term Interest
Rates: Evidence from the U.K. Indexed Market." January l985.
RPF144. Hayne E. Leland. "Option Pricing and Replication with Transactions
Costs." December l984.
RPF143. Sudipto Bhattacharya and Kathleen Hagerty. "Dealerships,
Trading Externalities, and General Equilibrium." October l984.
RPF142. David H. Pyle. "Pricing Deposit Insurance: The Effects
of Mismeasurement." October l983.
RPF141. David H. Pyle and Jeffrey Skelton. "Default Risk, Liquidity
and Loan Commitments." June l983.
RPF140. Jeffrey A. Frankel and William T. Dickens. "Are Asset-Demand
Functions Determined by CAPM?" May l983.
RPF139. Stephen Figlewski. "Hedging With Stock Index Futures: Theory
and Application in a New Market." May l983.
RPF138. Stephen Figlewski. "Why Are Prices for Stock Index Futures
So Low?" May l983.
RPF137.* Roy D. Henriksson. "Market Timing and Mutual Fund Performance:
An Empirical Investigation." March l983.
RPF136. James W. Hoag and Dennis Draper. "Portfolio Strategies
Using Treasury Bond Options and Futures." March l983.
RPF135. Eitan Gurel and David Pyle. "Bank Income Taxes and Interest
Rate Risk Management." January l983.
RPF134. Sasson Bar-Yosef and Hayne Leland. "Risk Adjusted Discounting."
RPF133. James A. Ohlson. "Ex Post Stockholder Unanimity: A Complete
and Simplified Treatment." December l982.
RPF132. Michael Adler and Bernard Dumas. "International Portfolio
Choice and Corporation Finance: A Survey." November l982.
RPF131. Avi Bick. "On the Doubling Strategy Paradox and the Definition
of Arbitrage." September l982.
RPF130. Roy D. Henriksson and Donald R. Lessard. "The Efficiency
of the Forward Exchange Market: A Conditional Nonparametric Test of Forecasting
Ability." July l982.
RPF129. Joe Peek and James A. Wilcox. "The Postwar Stability of
the Fisher Effect." August l982.
RPF128. James A. Wilcox. "Excess Reserves in the Great Depression."
RPF127. Yuk-Shee Chan. "On the Positive Role of Financial Intermediation
in Allocation of Venture Capital in a Market with Imperfect Information."
RPF126. Itzhak Venezia. "Optimal Duration of Growth Investments
-- A Bayesian Approach." June l982.
125. Avi Bick. "Comments on the Valuation of Derivative Assets."
Revised April l982.
RPF124. Nils H. Hakansson. "To Pay or Not to Pay Dividends."
RPF123. Nils H. Hakansson. "Changes in the Financial Market: Welfare
and Price Effects and the Basic Theorems of Value Conservation."
Revised October l981.
RPF122. Nils H. Hakansson, J. Gregory Kunkel, and James A. Ohlson. "Sufficient
and Necessary Conditions for Information to Have Social Value in Pure
Exchange." Revised August l981.
RPF121. Sasson Bar-Yosef and Yoram Landskroner. "The Impact of
the Government on Financial Equilibrium and Corporate Financial Decisions."
RPF120. Elroy Dimson and Paul Marsh. "The Stability of UK Risk
Measures and the Problem of Thin Trading." September l981.
RPF119. Mark Rubinstein. "A Simple Formula for the Expected Rate
of Return of an Option over a Finite Holding Period." October l981.
RPF118. Mark Rubinstein. "Displaced Diffusion Option Pricing."
RPF117. Mark Rubinstein. "Nonparametric Tests of Alternative Option
Pricing Models Using All Reported Trades and Quotes on the 30 Most Active
CBOE Option Classes from August 23, l976 through August 31, l978."
RPF116. Yuk-Shee Chan. "Information Production, Market Signalling,
and the Theory of Financial Intermediation: A Comment." September
RPF115. David F. Babbel and Nicholas Economides. "The Pareto-Optimal
Design of Term Life Insurance Contracts." l981.
RPF114. James A. Wilcox. "Interest Rates, Expected Inflation, and
Supply Shocks or Why Real Interest Rates Were So Low in the l970s."
RPF113. Yaacov Z. Bergman. "A Characterization of Self-Financing
Portfolio Strategies." August l981.
RPF112. Menachem Brenner and Dan Galai. "The Properties of the
Estimated Risk of Common Stocks Implied by Option Prices." l981.
RPF111. Jivendra Kale. "An Analytical Model and Evaluation of a
Modern Market Clearing System." May l981.
RPF110. James W. Hoag. "An Introduction to the Valuation of Commodity
Option." May l978.
RPF109. Yaacov Z. Bergman. "Option Pricing with Different Interest
Rates for Borrowing and for Lending." March l981.
RPF108. David F. Babbel and Kim B. Staking. "A Capital Budgeting
Analysis of Life Insurance Costs in the United States: l950-l979."
RPF107. Thomas F. Cargill and Gillian G. Garcia. "Deregulation
and Monetary Control: Historical Perspective and Impact of the l980 Act."
RPF106. Nils H. Hakansson, Avraham Beja, and Jivendra Kale. "On
the Feasibility of Automated Market Making by a Programmed Specialist."
RPF105. Steinar Ekern. "Time Dominance Efficiency Analysis."
RPF104. Richard C. Grinold. "Market Value Maximization and Markov
Dynamic Programming." November l980.
RPF103. Mark B. Garman and James A. Ohlson. "Valuation of Risky
Assets in Arbitrage-Free Economies with Transactions Costs." October
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