Francisco Peñaranda
Assistant Professor at Universitat Pompeu Fabra
Department of Economics and Business
francisco.penaranda@upf.edu
Research Interests:
Asset Pricing, Financial Econometrics, Portfolio Management.
CurriculumVitae
Published Papers:
"
On the Impact of Fundamentals, Liquidity and Coordination on Market Stability
"
(2010), joint with Jón Daníelsson. Forthcoming in
International Economic Review
.
'
'Portfolio Choice Beyond the Traditional Approach
''
(2008).
Revista de Economía Financiera
15, 50-90.
Working Papers:
"The Emergence of Biofuels and the Co-movement between Crude Oil and Agricultural Prices"
(2009), joint with Augusto Rupérez Micola. Revised version of UPF WP 1174.
''
Understanding Portfolio Efficiency with Conditioning Information
"
(2009). UPF WP 1146.
"
Duality in Mean-Variance Frontiers with Conditioning Information
"
(2008), joint with Enrique Sentana. Revised version of CEPR DP 6566.
''
Spanning Tests in Portfolio and Stochastic Discount Factor Mean-Variance Frontiers: A Unifying Approach
"
(2008), joint with Enrique Sentana. Revised version of CEPR DP 4422. Includes suplemental appendices.
''
On the Accuracy of Vector Autoregressive Models for Dynamic Asset Allocation
''
(2007). Revised version of CEMFI WP 419.
Finance Lunch Seminars
at UPF
.
Last update: January 2010.