Filter Results
:
(24)
Show Results For
-
All HBS Web
(24)
- Research (24)
- Faculty Publications (10)
Show Results For
-
All HBS Web
(24)
- Research (24)
- Faculty Publications (10)
Page 1 of
24
Results
→
- 12 Oct 2010
- Working Paper Summaries
Crashes and Collateralized Lending
- 14 Oct 2011
- Working Paper Summaries
The Cost of Capital for Alternative Investments
Keywords:
by Jakub W. Jurek & Erik Stafford
- 07 Sep 2006
- Working Paper Summaries
Optimal Value and Growth Tilts in Long-Horizon Portfolios
Keywords:
by Jakub W. Jurek & Luis M. Viceira
- 13 Jul 2007
- Working Paper Summaries
Economic Catastrophe Bonds
- 13 Oct 2006
- Working Paper Summaries
Pricing Liquidity: The Quantity Structure of Immediacy Prices
- 09 Apr 2009
- Working Paper Summaries
The Economics of Structured Finance
- 20 Jan 2009
- Research & Ideas
Risky Business with Structured Finance
close examination and clear explanation of how the process of securitization transformed trillions of dollars of risky assets into securities that many considered to be a safe bet. Authored by HBS professors Joshua D. Coval and Erik...
View Details
- Article
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing...
View Details
Keywords:
Hedge Funds;
Required Returns;
Downside Risk;
Index Options;
Investment Funds;
Cost of Capital;
Investment Return;
Risk and Uncertainty;
Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Journal of Finance 70, no. 5 (October 2015): 2185–2226.
- 2011
- Working Paper
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge fund universe can be accurately matched by a simple index put option writing strategy that offers monthly liquidity and complete transparency...
View Details
Keywords:
Cost of Capital;
Financial Liquidity;
Investment;
Investment Return;
Mathematical Methods;
Risk and Uncertainty
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Harvard Business School Working Paper, No. 12-013, September 2011. (NBER Working Paper Series, No. 19643, November 2013.)
- Article
The Economics of Structured Finance
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
This paper investigates the spectacular rise and fall of structured finance. The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known...
View Details
Keywords:
Financial Crisis;
Asset Management;
Debt Securities;
Investment;
Risk Management;
Behavior
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "The Economics of Structured Finance." Journal of Economic Perspectives 23, no. 1 (Winter 2009): 3–25.
- 15 May 2007
- First Look
First Look: May 15, 2007
case: http://www.hbsp.harvard.edu/b01/en/common/item_detail.jhtml?id=301094 PublicationsThe Price of Immediacy Authors:George Chacko, Jakub W. Jurek, and Erik Stafford Periodical:Journal of Finance...
View Details
Keywords:
Martha Lagace
- 20 Sep 2011
- First Look
First Look: September 20
Authors:Jakub W. Jurek and Erik Stafford Abstract This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge fund universe can be accurately...
View Details
Keywords:
Sean Silverthorne
- 13 Oct 2010
- First Look
First Look: October 13, 2010
and Collateralized Lending Authors:Jakub W. Jurek and Erik Stafford Abstract This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We...
View Details
Keywords:
Sean Silverthorne
- 29 Jun 2007
- First Look
First Look: June 29, 2007
Working PapersEconomic Catastrophe Bonds Authors:Joshua D. Coval, Jakub W. Jurek, and Erik Stafford Abstract The central insight of asset pricing is that a security's value depends on both its distribution...
View Details
Keywords:
Martha Lagace
- 2007
- Working Paper
Economic Catastrophe Bonds
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." Harvard Business School Working Paper, No. 07-102, June 2007.
- 2010
- Working Paper
Crashes and Collateralized Lending
By: Jakub W. Jurek and Erik Stafford
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic...
View Details
Keywords:
Financial Crisis;
Borrowing and Debt;
Cost of Capital;
Credit;
Financing and Loans;
Interest Rates;
Investment;
Framework;
Risk and Uncertainty;
Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "Crashes and Collateralized Lending." Harvard Business School Working Paper, No. 11-025, September 2010.
- 28 Sep 2010
- First Look
First Look: September 28, 2010
paper: http://www.hbs.edu/research/pdf/11-029.pdf Crashes, Collateral, and the Financing of Securities Authors:Jakub W. Jurek and Erik Stafford Abstract This paper develops a parsimonious static model for...
View Details
Keywords:
Sean Silverthorne
- Article
Optimal Value and Growth Tilts in Long-Horizon Portfolios
By: Jakub W. Jurek and Luis M. Viceira
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this...
View Details
Keywords:
Decision Choices and Conditions;
Private Equity;
Investment;
Investment Portfolio;
Asset Pricing;
Value
Jurek, Jakub W., and Luis M. Viceira. "Optimal Value and Growth Tilts in Long-Horizon Portfolios." Review of Finance 15, no. 1 (January 2011): 29–74.
- June 2008
- Article
The Price of Immediacy
By: George Chacko, Jakub W. Jurek and Erik Stafford
Chacko, George, Jakub W. Jurek, and Erik Stafford. "The Price of Immediacy." Journal of Finance 63, no. 3 (June 2008): 1253–1290.
- 2006
- Working Paper
Pricing Liquidity: The Quantity Structure of Immediacy Prices
By: George Chacko, Jakub W. Jurek and Erik Stafford
Chacko, George, Jakub W. Jurek, and Erik Stafford. "Pricing Liquidity: The Quantity Structure of Immediacy Prices." Harvard Business School Working Paper, No. 07-017, September 2006.