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Jurek, Jakub W.

Overview
Works: 13 works in 43 publications in 1 language and 169 library holdings
Roles: Author
Classifications: HB1, 332.6
Publication Timeline
Key
Publications about Jakub W Jurek
Publications by Jakub W Jurek
Most widely held works by Jakub W Jurek
Optimal value and growth tilts in long-horizon portfolios by Jakub W Jurek( Book )
18 editions published between 2005 and 2006 in English and held by 40 libraries worldwide
We develop an analytical solution to the dynamic portfolio choice problem of an investor with utility defined over wealth at a terminal horizon who faces an investment opportunity set with time-varying risk premia, real interest rates and inflation. The variation in investment opportunities is captured by a flexible vector autoregressive parameterization, which readily accommodates a large number of assets and state variables. We find that the optimal dynamic portfolio strategy is an affine function of the vector of state variables describing investment opportunities, with coefficients that are a function of the investment horizon. We apply our method to the optimal portfolio choice problem of an investor who can choose between value and growth stock portfolios, and among these equity portfolios plus bills and bonds
Crashes and collateralized lending by Jakub W Jurek( Book )
7 editions published between 2010 and 2011 in English and held by 9 libraries worldwide
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic crash risk exposure of the collateral. We then apply Modigliani and Miller's (1958) Proposition Two (MM) to split the cost of bearing this risk between the borrower and lender, resulting in a schedule of haircuts and financing rates. The model produces comparative statics and time-series dynamics that are consistent with the empirical features of repo market data, including the dramatic change in financing terms for structured products during the credit crisis of 2007-2008
The Cost of Capital for Alternative Investments by Jakub W Jurek( Book )
7 editions published between 2011 and 2013 in English and held by 6 libraries worldwide
We document that the risks and pre-fee returns of broad hedge fund indices can be accurately matched with simple equity index put writing strategies, which provide monthly liquidity and complete transparency over their state-contingent payoff profiles. This nonlinear risk exposure combines with large allocations, typical among investors in alternatives, to produce required rates of return that are more than twice as large as those implied by popular linear factor models. Despite earning annualized excess returns over 6% between 1996 and 2010, many hedge fund investors have not covered their proper cost of capital
Exploring deviations between prices and values in capital asset markets by Jakub W Jurek( Archival Material )
2 editions published in 2008 in English and held by 3 libraries worldwide
Essay 2, joint with George Chacko and Erik Stafford, derives a model of transaction costs in a setting where the market maker has transitory pricing power relative to investors demanding immediate execution. Agents submit their demands using limit orders, which are shown to be American options. The limit prices inducing immediate exercise determine the bid and ask prices, and the option's value measures the price of immediacy. By solving for the bid and ask prices as a function of the demanded quantity, we demonstrate that the market maker's supply curves imply proportional transaction costs that are concave in quantity. The model's predictions find considerable empirical support in the cross- section of NYSE firms, and the model produces unbiased, out-of-sample forecasts of abnormal returns for firms added to the S & P 500 index. Essay 3, joint with Halla Yang, derives the optimal dynamic trading strategy for a finite-horizon, risk-averse arbitrageur with access to a mean-reverting mispricing. Arbitrageurs bet against the mispricing until a critical bound is reached, beyond which further increases in the misvaluation precipitate a reduction in the allocation. We demonstrate that intertemporal hedging demands play an important role in the optimal strategy, and that performance-related fund flows effectively increase the arbitrageur's risk aversion. When applied to Siamese twin shares, the optimal strategy delivers a significant improvement in the realized Sharpe ratio and welfare relative to commonly employed threshold rules
Optical dynamic trading strategies with Bayesian inference about market liquidity by Jakub W Jurek( Archival Material )
1 edition published in 2002 in English and held by 3 libraries worldwide
Economic catastrophe bonds by Joshua Coval( Book )
1 edition published in 2007 in English and held by 2 libraries worldwide
The central insight of asset pricing is that a security's value depends on both its distribution of payoffs across economic states and state prices. In fixed income markets, many investors focus exclusively on estimates of expected payoffs, such as credit ratings, without considering the state of the economy in which default is likely to occur. Such investors are likely to be attracted to securities whose payoffs resemble those of economic catastrophe bonds-bonds that default only under severe economic conditions. We show that many structured finance instruments can be characterized as economic catastrophe bonds, but offer far less compensation than alternatives with comparable payoff profiles. We argue that this difference arises from the willingness of rating agencies to certify structured products with a low default likelihood as "safe" and from a large supply of investors who view them as such
Pricing liquidity : the quantity structure of immediacy prices ( Computer File )
1 edition published in 2006 in English and held by 1 library worldwide
Crashes and collateralized lending by Jakub W Jurek( Computer File )
1 edition published in 2010 in English and held by 1 library worldwide
Economic catastrophe bonds ( Computer File )
1 edition published in 2007 in English and held by 1 library worldwide
The economics of structured finance ( Computer File )
1 edition published in 2008 in English and held by 1 library worldwide
Pricing liquidity : the quantity structure of immediacy prices by George Chacko( Book )
1 edition published in 2006 in English and held by 1 library worldwide
This paper develops a model for understanding liquidity via the pricing of limit orders. Limit orders can be well defined and priced with the tools of option pricing, allowing the complex tradeoff between transaction size and speed to be reduced to a single price. The option-based framework allows the properties of liquidity to be characterized as functions of the fundamental value and the order flow processes. In the special case when immediate execution is desired, the option strike price at which immediate exercise is optimal determines the effective bid/ask price. A model with full-information, but imperfect market making, is able to describe many of the known properties of transaction costs
Crashes, collateral, and the financing of securities by Jakub W Jurek( Book )
1 edition published in 2010 in English and held by 1 library worldwide
This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We characterize the systematic risk exposures for a variety of securities and develop a simple indifference-pricing framework to value the systematic crash risk exposure of the collateral. We then apply Modigliani and Miller's (1958) Proposition Two (MM) to split the cost of bearing this risk between the borrower and lender, resulting in a schedule of haircuts and financing rates. The model produces comparative statics and time-series dynamics that are consistent with the empirical features of repo market data, including the credit crisis of 2007-2008
The economics of structured finance by Joshua Coval( Book )
1 edition published in 2008 in English and held by 1 library worldwide
We examine how the process of securitization allowed trillions of dollars of risky assets to be transformed into seccurities that were widely considered to be safe. Actually, securities produced by structured finance have far less chance of surviving a severe economic downturn
 
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Alternative Names
Jurek, Jakub Wojciech
Languages
English (43)
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