PhD - Finance
Northwestern University - 2000
Professional Preparation
Diploma - Applied Mathematics and Physics
Moscow Institute of Physics and Technology - 1995
Moscow Institute of Physics and Technology - 1995
Research Areas
RESEARCH INTERESTS
- Portfolio choice, asset pricing, heterogeneous agents, macro-finance, non-expected utility preferences
Publications
Fiscal Policy and Asset Prices with Incomplete Markets, 2013, with Francisco Gomes and Alexander Michaelides, The Review of Financial Studies, 26(2), pp. 531-66 2013 - Publication
“Probability Weighting Functions Implied in Option Prices” 2012, with Feng Zhao, forthcoming, Journal of Financial Economics 2012 - Publication
“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. 2011 - Publication
“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 Abstract and working paper (last unpublished version). 2011 - Publication
"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) 2009 - Publication
"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). 2009 - Publication
Life-Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Income Risk. Review of Financial Studies. 2007. 2007 - Publication
Household Portfolio Diversification: A Case for Rank-Dependent Preferences. Review of Financial Studies. 18.4. (2005): 1467-1502. 2005 - Publication
Appointments
Asscoiate Professor
University of Texas at Dallas [2013–Present]
University of Texas at Dallas [2013–Present]
Economist
Federal Reserve Board of Governors [2011–2013]
Federal Reserve Board of Governors [2011–2013]
Assistant Professor
University of Texas at Dalla [2006–2013]
University of Texas at Dalla [2006–2013]
visitor
Federal Reserve Bank of Minneapolis [2002–2006]
Federal Reserve Bank of Minneapolis [2002–2006]
Assistant Professor
University of Minnesota [2000–2006]
University of Minnesota [2000–2006]
Teaching Specialist
University of Minnesota [1999–2000]
University of Minnesota [1999–2000]
Lecturer
Northwestern University, [1998–1999]
Northwestern University, [1998–1999]
Additional Information
RESEARCH PRESENTATIONS/DISCUSSIONS
- 2013 American University, University of Houston, Temple University, FMA Asia conference, System Committee on International Economic Analysis (discussant), University of Oregon Mutual Funds Conference, University of St. Gallen
- 2012 ECB International Forum on Monetary Policy (Discussant), NBER Summer Institute (Capital Markets and the Economy workshop, discussant), Federal Reserve Board, Lone Star Finance Conference, University of Delaware
- 2011 AEA, University of Oregon, Federal Reserve Board of Governors, University of Arkansas, GWU/IMF Behavioral Finance conference
- 2010 FMA annual meetings, Miami Inaugural Conference in Behavioral Finance, UBC winter conference (discussant), SUNY at Bualo, Georgia State, Western Finance Association, China International Finance conference, Lone Star Finance Conference (discussant)
- 2009 London School of Economics conference "Housing and the Macroeconomy" (discussant), Lone Star Finance Conference (discussant), Indiana University
- 2008 American Economic Association (presentation, discussion), Financial Management Association (discussant), Midwest Macroeconomic Conference, NBER Summer Institute (Capital Markets and the Economy workshop)
- 2007 Federal Reserve Bank of Chicago, Western Finance Association (discussant, 2 papers), Lone Star Finance Conference, NBER Summer Institute (Capital Markets and the Economy workshop, discussant), Georgia State, Society for Economic Dynamics Conference", Society for Advancement of Economic Theory Conference", University of British Columbia
- 2006 Econometric Society (Boston), Federal Reserve Board of Governors, University of Texas at Dallas, University of Houston, University of Cincinnati, Lone Star Finance Conference (discussant), Texas Christian University
- 2005 Western Finance Association, Financial Markets Group (London School of Economics) conference "Public Policy Perspectives on Pensions Reform", University of Texas at Dallas, Financial Management Association (discussant)
- 2004 American Finance Association, Western Finance Association, CEPR conference "Pension Reform in Europe"
- 2003 NBER Summer Institute (Capital Markets and the Economy), Stanford Institute for Theoretical Economics (Computational Economics week), Econometric Society Summer meetings, London School of Economics (Financial Markets Group), Wharton conference \Household Financial Decision Making", American Finance Association (discussant), Econometric Society Winter meetings
- 2002 NYU-CV Starr Center \Finance and Macroeconomy", Society for Economic Dynamics, NBER Summer Institute (Capital Markets and the Economy)
SERVICE
- Seminar Coordinator (2010-2011)
- Recruiting Committee (2007, 2008, 2009-2010)
- Conference committee (department representative), Lone Star Finance Conference (2009, 2010)
- Organizer of the Lone Star Finance Conference at UTD (2008)
- Conference committee (session organizer), FMA (2007)
- PhD Admissions (2000, 2001, 2002, 2008, 2009, 2010)
- PhD Preliminary Exam Committee (2000, 2001, 2002, 2004, 2005, 2007, 2008, 2009, 2010)
- Department Seminar Committee (2000-2001, 2001-2002, 2002-2003)
- Search Committee for Asset Pricing Chair (2000-2001, 2001-2002)
- Research Computing (2000-2001)
PhD STUDENTS: JOINT RESEARCH WORK AND OTHER COMMITTEE SERVICE
- Yihua Zhao, joint research project, UTD Finance PhD candidate
- Seong-Kyu Byun, joint research project, UTD Finance PhD candidate
- Cathy Cao, committee member, UTD Finance PhD 2010
- Yiyu Shen, committee member, UTD Finance PhD 2007
- Jim Gunderson, co-adviser, UMN Finance PhD 2004
- Alexei Serednyakov, co-adviser, UMN Finance PhD 2006
- Igor Kojanov, committee member, UMN Finance PhD 2007
- External PhD exam chair: Hui Ma, Cathy Qun Xu (Computer Science, UTD), External Committee Member Economics Department, UMN: Thorsten Koehpl, Aleh Tsyvinski, Mikhail Golosov, Patrick Leoni, Alexander Uberfeldt, Sami Alpanda, Alexiy Krivtzov, Oksana Lekhina, Tetyana Dubovuk, Stanley Cho, Vadim Lepetyuk.