Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
G Chacko, LM Viceira - The Review of Financial Studies, 2005 - academic.oup.com
This paper examines the optimal consumption and portfolio-choice problem of long-horizon
investors who have access to a riskless asset with constant return and a risky asset (“stocks”…
investors who have access to a riskless asset with constant return and a risky asset (“stocks”…
Spectral GMM estimation of continuous-time processes
G Chacko, LM Viceira - Journal of Econometrics, 2003 - Elsevier
This paper derives a methodology for the estimation of continuous-time stochastic models
based on the characteristic function. The estimation method does not require discretization of …
based on the characteristic function. The estimation method does not require discretization of …
Latent liquidity: A new measure of liquidity, with an application to corporate bonds
…, A Nashikkar, M Subrahmanyam, G Chacko… - Journal of Financial …, 2008 - Elsevier
We present a new measure of liquidity known as “latent liquidity” and apply it to a unique
corporate bond database. Latent liquidity is defined as the weighted average turnover of …
corporate bond database. Latent liquidity is defined as the weighted average turnover of …
[BOOK][B] Financial derivatives: pricing, applications, and mathematics
J Baz, G Chacko - 2004 - books.google.com
Combining their corporate and academic experiences, Jamil Baz and George Chacko offer
financial analysts a complete, succinct account of the principles of financial derivatives pricing…
financial analysts a complete, succinct account of the principles of financial derivatives pricing…
Pricing interest rate derivatives: a general approach
The relationship between affine stochastic processes and bond pricing equations in exponential
term structure models has been well established. We connect this result to the pricing of …
term structure models has been well established. We connect this result to the pricing of …
Strategic asset allocation in a continuous-time VAR model
This paper derives an approximate solution to a continuous-time intertemporal portfolio and
consumption choice problem. The problem is the continuous-time equivalent of the discrete-…
consumption choice problem. The problem is the continuous-time equivalent of the discrete-…
Negative signaling in B lymphocytes induces tyrosine phosphorylation of the 145-kDa inositol polyphosphate 5-phosphatase, SHIP.
GW Chacko, S Tridandapani, JE Damen… - … (Baltimore, Md.: 1950 …, 1996 - journals.aai.org
Stimulation of the B cell Ag receptor (BCR) has been reported to induce tyrosine
phosphorylation of a 145-kDa protein and its association with the adapter protein Shc. We have …
phosphorylation of a 145-kDa protein and its association with the adapter protein Shc. We have …
Regulation of constitutive TCR internalization by the ζ-chain
The ability of a T cell to be activated is critically regulated by the number of TCRs expressed
on the plasma membrane. Cell surface TCR expression is influenced by dynamic processes …
on the plasma membrane. Cell surface TCR expression is influenced by dynamic processes …
The price of immediacy
This paper models transaction costs as the rents that a monopolistic market maker extracts
from impatient investors who trade via limit orders. We show that limit orders are American …
from impatient investors who trade via limit orders. We show that limit orders are American …
Are disruption index indicators convergently valid? The comparison of several indicator variants with assessments by peers
…, S Devarakonda, A Tekles, G Chacko - Quantitative Science …, 2020 - direct.mit.edu
Recently, Wu, Wang, and Evans (2019) proposed a new family of indicators, which measure
whether a scientific publication is disruptive to a field or tradition of research. Such …
whether a scientific publication is disruptive to a field or tradition of research. Such …