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Fernando Zapatero - Publications

Affiliations: 
Applied Mathematics University of Southern California, Los Angeles, CA, United States 
Area:
Finance, Mathematics
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33 high-probability publications. We are testing a new system for linking publications to authors. You can help! If you notice any inaccuracies, please sign in and mark papers as correct or incorrect matches. If you identify any major omissions or other inaccuracies in the publication list, please let us know.

Year Citation  Score
2019 Belz A, Zapatero F, Terrile R, Kawas M, Giga A. Mapping the 'Valley of Death': Managing Selection and Technology Advancement in NASA's Small Business Innovation Research Program Ieee Transactions On Engineering Management. 1-10. DOI: 10.2139/Ssrn.3221328  0.341
2019 Sotes-Paladino JM, Zapatero F. Riding the Bubble with Convex Incentives Review of Financial Studies. 32: 1416-1456. DOI: 10.1093/Rfs/Hhy074  0.583
2019 Brocas I, Carrillo JD, Giga A, Zapatero F. Risk Aversion in a Dynamic Asset Allocation Experiment Journal of Financial and Quantitative Analysis. 54: 2209-2232. DOI: 10.1017/S0022109018001151  0.556
2016 Gomez J, Priestley R, Zapatero F. Labor Income, Relative Wealth Concerns, and the Cross-section of Stock Returns Journal of Financial and Quantitative Analysis. 51: 1111-1133. DOI: 10.1017/S002210901600048X  0.429
2015 Cetin C, Zapatero F. Optimal acquisition of a partially hedgeable house Mathematics and Financial Economics. 9: 123-147. DOI: 10.2139/Ssrn.1351964  0.538
2011 Zapatero F. Introduction — Government Guarantee in the Home Mortgage Market: Point and Counterpoint Quarterly Journal of Finance. 1: 665-666. DOI: 10.1142/S2010139211000195  0.357
2010 Xiouros C, Zapatero F. The representative agent of an economy with external habit formation and heterogeneous risk aversion Review of Financial Studies. 23: 3017-3047. DOI: 10.2139/Ssrn.1107495  0.572
2009 Gómez JP, Priestley R, Zapatero F. Implications of keeping-up-with-the-joneses behavior for the equilibrium cross section of stock returns: International evidence Journal of Finance. 64: 2703-2737. DOI: 10.1111/J.1540-6261.2009.01515.X  0.476
2008 Suh S, Zapatero F. A class of quadratic options for exchange rate stabilization Journal of Economic Dynamics and Control. 32: 3478-3501. DOI: 10.2139/Ssrn.872364  0.382
2008 Cvitanić J, Wiener Z, Zapatero F. Analytic pricing of employee stock options Review of Financial Studies. 21: 683-724. DOI: 10.2139/Ssrn.612881  0.358
2008 Cvitanié J, Polimenis V, Zapatero F. Optimal portfolio allocation with higher moments Annals of Finance. 4: 1-28. DOI: 10.1007/S10436-007-0071-5  0.41
2007 Cvitanić J, Goukasian L, Zapatero F. Optimal risk taking with flexible income Management Science. 53: 1594-1603. DOI: 10.1287/Mnsc.1070.0725  0.512
2007 Cadenillas A, Sarkar S, Zapatero F. Optimal dividend policy with mean-reverting cash reservoir Mathematical Finance. 17: 81-109. DOI: 10.1111/J.1467-9965.2007.00295.X  0.399
2007 Cadenillas A, Cvitanić J, Zapatero F. Optimal risk-sharing with effort and project choice Journal of Economic Theory. 133: 403-440. DOI: 10.1016/J.Jet.2005.12.007  0.48
2006 Cvitanić J, Lazrak A, Martellini L, Zapatero F. Dynamic portfolio choice with parameter uncertainty and the economic value of analysts' recommendations Review of Financial Studies. 19: 1113-1156. DOI: 10.1093/Rfs/Hhj039  0.384
2004 Lazrak A, Zapatero F. Efficient consumption set under recursive utility and unknown beliefs Journal of Mathematical Economics. 40: 207-226. DOI: 10.1016/S0304-4068(03)00088-0  0.36
2004 Cadenillas A, Cvitanić J, Zapatero F. Leverage decision and manager compensation with choice of effort and volatility Journal of Financial Economics. 73: 71-92. DOI: 10.1016/J.Jfineco.2003.06.003  0.578
2003 Gómez JP, Zapatero F. Asset pricing implications of benchmarking: A two-factor CAPM European Journal of Finance. 9: 343-357. DOI: 10.2139/Ssrn.433842  0.589
2003 Sarkar S, Zapatero F. The trade-off model with mean reverting earnings: Theory and empirical tests Economic Journal. 113: 834-860. DOI: 10.1111/1468-0297.T01-1-00156  0.368
2003 Cvitanić J, Lazrak A, Martellini L, Zapatero F. Optimal allocation to hedge funds: An empirical analysis Quantitative Finance. 3: 28-39. DOI: 10.1088/1469-7688/3/1/303  0.547
2003 Zapatero F, Reverter LF. Exchange rate intervention with options Journal of International Money and Finance. 22: 289-306. DOI: 10.1016/S0261-5606(02)00077-3  0.397
2003 Cvitanić J, Goukasian L, Zapatero F. Monte Carlo computation of optimal portfolios in complete markets Journal of Economic Dynamics and Control. 27: 971-986. DOI: 10.1016/S0165-1889(02)00051-9  0.47
2002 Cvitanić J, Martellini L, Zapatero F. Optimal active management fees Winter Simulation Conference Proceedings. 2: 1555-1559.  0.413
2001 Cvitanić J, Lazrak A, Quenez MC, Zapatero F. Incomplete Information With Recursive Preferences International Journal of Theoretical and Applied Finance. 4: 245-261. DOI: 10.1142/S0219024901000948  0.373
2000 Cadenillas A, Zapatero F. Classical and impulse stochastic control of the exchange rate using interest rates and reserves Mathematical Finance. 10: 141-156. DOI: 10.1111/1467-9965.00086  0.35
2000 Cuoco D, Zapatero F. On the recoverability of preferences and beliefs Review of Financial Studies. 13: 417-431. DOI: 10.1093/Rfs/13.2.417  0.389
1999 Cadenillas A, Zapatero F. Optimal Central Bank intervention in the foreign exchange market Journal of Economic Theory. 87: 218-242. DOI: 10.1006/Jeth.1999.2523  0.335
1998 Zapatero F. Effects of financial innovations on market volatility when beliefs are heterogeneous Journal of Economic Dynamics and Control. 22: 597-626. DOI: 10.1016/S0165-1889(97)00076-6  0.445
1997 Sundaresan S, Zapatero F. Valuation, optimal asset allocation and retirement incentives of pension plans Review of Financial Studies. 10: 631-660. DOI: 10.1093/Rfs/10.3.631  0.351
1996 Goldstein R, Zapatero F. General equilibrium with constant relative risk aversion and Vasicek interest rates Mathematical Finance. 6: 331-340. DOI: 10.1111/J.1467-9965.1996.Tb00120.X  0.484
1995 Zapatero F. Equilibrium asset prices and exchange rates Journal of Economic Dynamics and Control. 19: 787-811. DOI: 10.1016/0165-1889(94)00804-Q  0.418
1992 Detemple JB, Zapatero F. Optimal Consumption-Portfolio Policies With Habit Formation Mathematical Finance. 2: 251-274. DOI: 10.1111/J.1467-9965.1992.Tb00032.X  0.407
1991 Detemple JB, Zapatero F. Asset Prices in an Exchange Economy with Habit Formation Econometrica. 59: 1633-1657. DOI: 10.2307/2938283  0.555
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