Publications: Raman Uppal

 
 


Books


  1. 1.Sercu, P. and R. Uppal, 2000, “Exchange Rate Volatility, Trade and Capital Flows under Alternative Exchange Rate Regimes,” Cambridge University Press. Received the 1995 Sanwa Monograph Award.


  1. 2.Sercu, P. and R. Uppal, 1995, “International Financial Markets and the Firm,” South-Western Publishing, Cincinnati, Ohio.



Published papers


  1. 1.DeMiguel, V., F.J. Nogales and R. Uppal, 2013, “Stock Return Serial Dependence and Out-of-Sample Portfolio Performance.” Forthcoming in The Review of Financial Studies.

  2. 2.Bhamra, H. and R. Uppal, 2013, “Asset Prices with Heterogeneity in Preferences and Beliefs.” Forthcoming in The Review of Financial Studies.

  3. 3.DeMiguel, V., Y. Plyakha, R. Uppal, and G. Vilkov, 2013, “Improving Portfolio Selection Using Option-Implied Volatility and Skewness.” Forthcoming in Journal of Financial and Quantitative Analysis.

  4. 4.Boyle, P., L. Garlappi, R. Uppal and T. Wang, 2012, “Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification,” Management Science 58.2, 253-272.

  5. 5.Bhamra, H. and R. Uppal, 2009, “The Effect of Improved Risk Sharing on Stock-Market Return Volatility When Agents Differ in Risk Aversion,” The Review of Financial Studies 22.6, 2303-2330.

  6. 6.DeMiguel, V., L. Garlappi and R. Uppal, 2009, “Optimal versus Naive Diversification: How Inefficient is the 1N Portfolio Strategy?” The Review of Financial Studies 22.5, 1915-1953. Awarded the Prize for the Best Paper presented at the conferences of INQUIRE-UK in 2005.

  7. 7.DeMiguel, V., L. Garlappi, J. Nogales and R. Uppal, 2009, “A Generalized Approach to Portfolio Optimization: Improving Performance By Constraining Portfolio Norms,” Management Science 55.5, 798-812.

  8. 8.Dumas, B., A. Kurshev and R. Uppal, 2009, “Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility,” The Journal of Finance 64.2, 579-629.

  9. 9.Kogan, L., I. Makarov and R. Uppal, 2007, “The Equity Risk Premium and the Riskfree Rate in an Economy with Borrowing Constraints,” Mathematics and Financial Economics 1.1, 1–19. Lead article.

  10. 10.Garlappi, L., Uppal, R. and T. Wang, 2007, “Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach,” Review of Financial Studies 20.1, 41-81. Awarded the Prize for the Best Paper presented at the conferences of INQUIRE-UK in 2003.

  11. 11.Bhamra, H. and R. Uppal, 2006, “The Effect of Risk Aversion and Intertemporal Substitution on Dynamic Consumption and Portfolio Rules with Recursive Utility,” Journal of Economic Dynamics and Control 30.6, 967-991.

  12. 12.DeMiguel, Angel-Victor and R. Uppal, 2005, “Portfolio Investment with the Exact Tax Basis via Nonlinear Programming,” Management Science 51.2, 277-290.

  13. 13.Das, S. and R. Uppal, 2004, “Systemic Risk and International Portfolio Choice,” Journal of Finance 59.6, 2809-2834. Awarded the Prize for the Best Paper presented at the conferences of INQUIRE-UK in 2002. Nominated for the 2005 Smith Breeden Prize for best paper published in the Journal of Finance.

  14. 14.Apte, P., Sercu, P. and R. Uppal, 2004, “The Exchange Rate and Purchasing Power Parity: Extending the Theory and Tests,” Journal of International Money and Finance, 23.4, 553-571. Lead article.

  15. 15.Uppal, R., and T. Wang, 2003, “Model Misspecification and Underdiversification,” Journal of Finance 58.6, 2465-2486. Nominated for the 2004 Smith Breeden Prize for best paper published in the Journal of Finance.

  16. 16.Sercu, P. and R. Uppal, 2003, “Exchange Rate Volatility and International Trade in a General Equilibrium Economy,” European Economic Review 47, 429-441.

  17. 17.Dumas, B. and R. Uppal, 2001, “Global Diversification, Growth and Welfare with Imperfect Markets for Goods,” The Review of Financial Studies 14.1, 277-305. Received the Best Paper in Finance Award for 2003 from the Europlace Institute of Finance (Institut Europlace de Finance).

  18. 18.Dumas, B., R. Uppal and T. Wang, 2000, “Efficient Intertemporal Allocations with Recursive Utility,” Journal of Economic Theory 93.2, 240-259.

  19. 19.Hollifield, B., and R. Uppal, 1997, “An Examination of Uncovered Interest Parity in Segmented International Commodity Markets,” Journal of Finance 52.5, 2145-2170. Received the Chicago Board of Trade Award for the best paper on Futures or Options on Futures at the 1995 Western Finance Association Meetings.

  20. 20.Uppal, R. and C. Van Hulle, 1997, “Sovereign Debt and the London Club: A Precommitment Device for Limiting Punishment,” Journal of Banking and Finance 21.5, 741-756.

  21. 21.Sercu, P., R. Uppal and C. Van Hulle, 1995, “The Exchange Rate in the Presence of Transactions Costs: Implications for Tests of Purchasing Power Parity,” Journal of Finance 50.4, 1309-1319.

  22. 22.Naik, V. and R. Uppal, 1994, “Leverage Constraints and the Optimal Hedging of Stock and Bond Options,” Journal of Financial and Quantitative Analysis 29.2, 199-222.

  23. 23.Edirisinghe, C., V. Naik and R. Uppal, 1993, “Optimal Replication of Options with Transaction Costs and Trading Restrictions,” Journal of Financial and Quantitative Analysis 28.1, 117-138.

  24. 24.Uppal, R., 1993, “A General Equilibrium Model of International Portfolio Choice,” Journal of Finance 48.2, 529-553. Nominated for the Smith Breeden Prize for 1993.

  25. 25.Uppal, R., 1992, “Deviations from Purchasing Power Parity and Capital Flows,” Journal of International Money and Finance 11.2, 126-144. Lead article.

 

Publications