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Lorenzo Garlappi Associate Professor TSX Venture Exchange Professorship in Finance
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Lorenzo Garlappi
Associate Professor
TSX Venture Exchange Professorship in Finance
Department of Finance Office: HA 859 Sauder School of Business Phone Number: (604) 822-8848 University of British Columbia E-mail: lorenzo.garlappi@sauder.ubc.ca 2053 Main Mall Vancouver, BC Canada, V6T 1Z2
Vita (updated to July 30, 2012)
Research Interests
Asset pricing, credit risk and the macroedonomy
Asset pricing implications of corporate investment decisions
Financial distress and asset pricing
Investment, growth options and capital structure decisions
Portfolio choice and asset allocation
Portfolio choice under market incompleteness
Portfolio choice in the presence of model and parameter uncertainty
Numerical techniques for dynamic portfolio problems
Publications
"Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification," with Phelim Boyle, Raman Uppal and Tan Wang. Management Science, Vol. 58, No. 2, 2012, pp. 253-272.
"Taylor Series Approximations to Expected Utility and Optimal Portfolio Choice," with Georgios Skoulakis. Mathematics and Financial Economics, Vol. 5, No. 2, 2011, pp. 121-156
"Financial Distress and the Cross-Section of Equity Returns," with Hong Yan. Journal of Finance, Vol. LXVI, No. 3, June 2011. Winner of the 2010 Crowell Memorial Prize (second prize), Panagora Asset Management. Internet Appendix
"Solving Consumption and Portfolio Choice Problems: The State Variable Decomposition Method," with Georgios Skoulakis. Review of Financial Studies, Vol. 23, 2010, pp. 3346-3400.
"Asset Allocation and Portfolio Performance: Evidence from University Endowment Funds," with Keith C. Brown and Cristian-Ioan Tiu. Journal of Financial Markets, Vol. 13, 2010, pp. 268-294.
"A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,'' with Victor DeMiguel, Javier Nogales and Raman Uppal. Management Science, Vol. 55, No. 5, May 2009, pp. 798-812. Appendix.
"Numerical Solutions to Dynamic Portfolio Problems: The Case for Value Function Iteration Using Polynomial Approximations", with Georgios Skoulakis. Computational Economics, Vol. 33, Issue 2, 2009, pp. 193-207.
"Optimal versus Naive Diversification: How Inefficient Is the 1/N Portfolio Strategy?," with Victor DeMiguel and Raman Uppal. The Review of Financial Studies, Vol. 22, No. 5, May 2009, pp. 1915--1953. Best Paper Award at the 2005 seminars of INQUIRE-UK. Robustness Check Appendix
"Default Risk, Shareholder Advantage and Stock Returns," with Tao Shu and Hong Yan. The Review of Financial Studies, Vol. 21, No. 6, November 2008, pp. 2743-2778.
- "Public Sector Science and the `Strategy of the Commons'," with Ajay K. Agrawal. Economics of Innovation and New Technology, Vol. 16, No. 7, October 2007, pp. 517-539.
"Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," with Raman Uppal and Tan Wang. The Review of Financial Studies, Vol. 20, No. 1, January 2007, pp. 41-81. Best Paper Award at the 2003 seminars of INQUIRE-UK.
"Are Stocks Desirable in Tax-Deferred Accounts?," with Jennifer Huang, Journal of Public Economics, Vol. 90, No. 12, December 2006, pp. 2257-2283.
"Risk Premia and Preemption in R&D Ventures," Journal of Financial and Quantitative Analysis, Vol. 39, No.4, December 2004, pp. 843-872.
"Public Sector Science and the `Strategy of the Commons'," (Abridged), with Ajay K. Agrawal. Best Paper Proceedings, Academy of Management, Business Policy and Strategy Division, 2002.
"Equilibrium with Endogenous Technological Changes: Theory and Applications," Decisions in Economics and Finance, Vol. 19, No. 1-2, March 1996.
"Linear Operators and Coherent Probabilities," with Gabriele Gurioli. Conference Proceedings of the XIX A.M.A.S.E.S. Meeting, (1995).
Working Papers
"Corporate Innovation and Returns," with Jan Bena (August 2012)
"Ambiguity and Corporate Finance," with Ron Giammarino and Ali Lazrak (Coming Soon)
Teaching
Investment (BBA,MBA)
Advanced Topics in Asset Pricing Theory (PhD)
Sauder School of Business
