NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

NBER Working Papers by Bernard Dumas

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

Working Papers

June 2013Financial-market Equilibrium with Friction
with Adrian Buss: w19155
January 2011Differences of Opinion and International Equity Markets
with Karen K. Lewis, Emilio Osambela: w16726
December 2008Incomplete-Market Equilibria Solved Recursively on an Event Tree
with Andrew Lyasoff: w14629

Published: Incomplete-Market Equilibria Solved Recursively on an Event Tree BERNARD DUMAS, ANDREW LYASOFF† Article first published online: 12 SEP 2012 DOI: 10.1111/j.1540-6261.2012.01775.x © 2012 The American Finance Association Issue The Journal of Finance The Journal of Finance Volume 67, Issue 5, pages 1897–1941, October 2012

September 2007Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility
with Alexander Kurshev, Raman Uppal: w13401

Published: Bernard Dumas & Alexander Kurshev & Raman Uppal, 2009. "Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility," Journal of Finance, American Finance Association, vol. 64(2), pages 579-629, 04. citation courtesy of

November 2005What Can Rational Investors Do About Excessive Volatility and Sentiment Fluctuations?
with Alexander Kurshev, Raman Uppal: w11803
November 2003Cross-Border Valuation: The International Cost of Equity Capital
with Gordon M. Bodnar, Richard D. Marston: w10115
March 1999Global Diversification, Growth and Welfare with Imperfectly Integrated Markets for Goods
with Raman Uppal: w6994

Published: Dumas, B. and R. Uppal. "Global Diversification, Growth, And Welfare With Imperfectly Integrated Markets For Goods," Review of Financial Studies, 2001, v14(1,Spring), 277-305. citation courtesy of

April 1998Efficient Intertemporal Allocations with Recursive Utility
with Raman Uppal, Tan Wang: t0231

Published: Dumas, Bernard, Raman Uppal and Tan Wang. "Efficient Intertemporal Allocations With Recursive Utility," Journal of Economic Theory, 2000, v93(2,Aug), 240-259.

March 1996Implied Volatility Functions: Empirical Tests
with Jeff Fleming, Robert E. Whaley: w5500

Published: The Journal of Finance, Vol. L111, no.6, (December 1998), pp. 2059-2106.

February 1994A Test of the International CAPM Using Business Cycles Indicators as Instrumental Variables
w4657

Published:

November 1993Currency Option Pricing in Credible Target Zones
with L. Peter Jennergren, Bertil Naslund: w4522

Published: Review of Futures Markets, Vol. 12, No. 2, pp. 323-346. (April 1992)

September 1993Partial- Vs. General-Equilibrium Models of the International Capital Market
w4446

Published: R. van der Ploeg, ed., Handbook of International Macroeconomics,(Basil Blackwell Publishers), 1994.

Realignment Risk and Currency Option Pricing in Target Zones
with L. Peter Jennergren, Bertil Naslund: w4458

Published: European Economic Review, Vol. 39, (1995), pp. 1523-1566. citation courtesy of

The World Price of Foreign Exchange Risk
with Bruno Solnik: w4459

Published: Journal of France, Vol.50, (1995), pp. 665-679.

December 1991How Long do Unilateral Target Zones Last?
with Lars E.O. Svensson: w3931

Published: Journal of International Economics, 36 (1994) pp. 467-481 citation courtesy of

January 1991Target Zones Big and Small
with Francisco Delgado: w3601

Published: "Target Zones, Broad and Narrow," Exchange Rate Targets and Currency Bands.eds. P. Krugman and M. Miller. Cambridge, U.K.: Cambridge University Press, for CEPR and NBER, 1992.

September 1990Monetary Contracting Between Central Banks and the Design of SustainableExchange-Rate Zones
with Francisco Delgado: w3440

Published: Journal of International Economics, Vol. 34, pp. 201-224 (1993).

April 1989Super Contact and Related Optimality Conditions: A Supplement to AvinashDixits:"A Simplified Exposition of Some Results Concerning Regulated Brownian.
t0077

Published: "Super Contact and Related Optimality Conditions," Journal of Economic Dynamics and Control, Vol 15, pp. 675-685, 1991.

Perishable Investment and Hysteresis in Capital Formation
w2930
April 1988Pricing Physical Assets Internationally
w2569

Published: "Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World," Review of Financial Studies, vol. 5, 1992, pp. 153-180

September 1986Two-Person Dynamic Equilibrium: Trading in the Capital Market
w2016

Published: "Two-Person Dynamic Equilibrium in the Capital Market." From The Review of Financial Studies, Vol. 2, No. 2, pp. 157-188, (1989).

Contact and additional information for this authorAll NBER papers and publicationsNBER Working Papers only

 
Publications
Activities
Meetings
NBER Videos
Data
People
About

Support
National Bureau of Economic Research, 1050 Massachusetts Ave., Cambridge, MA 02138; 617-868-3900; email: info@nber.org

Contact Us