Pascal J. Maenhout, Ph.D.
Affiliations: | Harvard University, Cambridge, MA, United States | ||
| Insead, Fontainebleau, Île-de-France, France |
Area:
EconomicsGoogle:
"Pascal Maenhout"Mean distance: 7633.29
Parents
Sign in to add mentor| John Y. Campbell | grad student | 2000 | Harvard (Econometree) | |
| (Essays on portfolio choice and asset pricing.) | ||||
| David Laibson | grad student | 2000 | Harvard | |
| (Essays on portfolio choice and asset pricing.) | ||||
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Publications
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| Driessen J, Maenhout PJ. (2013) The world price of jump and volatility risk Journal of Banking and Finance. 37: 518-536 |
| Driessen J, Maenhout PJ, Vilkov G. (2009) The price of correlation risk: Evidence from equity options Journal of Finance. 64: 1377-1406 |
| Cremers M, Driessen J, Maenhout P, et al. (2009) Does skin in the game matter? Director incentives and governance in the mutual fund industry Journal of Financial and Quantitative Analysis. 44: 1345-1373 |
| Cremers KJM, Driessen J, Maenhout P. (2008) Explaining the Level of Credit Spreads: Option-Implied Jump Risk Premia in a Firm Value Model Review of Financial Studies. 21: 2209-2242 |
| Cremers M, Driessen J, Maenhout P, et al. (2008) Individual stock-option prices and credit spreads Journal of Banking and Finance. 32: 2706-2715 |
| Driessen J, Maenhout PJ. (2007) An Empirical Portfolio Perspective on Option Pricing Anomalies Review of Finance. 11: 561-603 |
| Maenhout PJ. (2006) Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium Journal of Economic Theory. 128: 136-163 |
| Cocco JF, Gomes FJ, Maenhout PJ. (2005) Consumption and portfolio choice over the life cycle Review of Financial Studies. 18: 491-533 |
| Maenhout PJ. (2004) Robust portfolio rules and asset pricing Review of Financial Studies. 17: 951-983 |
| Maenhout PJ. (2002) Discussion of “Robustness and Pricing with Uncertain Growth” Review of Financial Studies. 15: 405-412 |