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All HBS Web
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- Faculty Publications (10)
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- Article
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
Traditional risk factor models indicate that hedge funds capture pre-fee alphas of 6% to 10% per annum over the period from 1996 to 2012. At the same time, the hedge fund return series is not reliably distinguishable from the returns of mechanical S&P 500 put-writing...
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Keywords:
Hedge Funds;
Required Returns;
Downside Risk;
Index Options;
Investment Funds;
Cost of Capital;
Investment Return;
Risk and Uncertainty;
Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Journal of Finance 70, no. 5 (October 2015): 2185–2226.
- 2011
- Working Paper
The Cost of Capital for Alternative Investments
By: Jakub W. Jurek and Erik Stafford
This paper studies the cost of capital for alternative investments. We document that the risk profile of the aggregate hedge fund universe can be accurately matched by a simple index put option writing strategy that offers monthly liquidity and complete transparency...
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Keywords:
Cost of Capital;
Financial Liquidity;
Investment;
Investment Return;
Mathematical Methods;
Risk and Uncertainty
Jurek, Jakub W., and Erik Stafford. "The Cost of Capital for Alternative Investments." Harvard Business School Working Paper, No. 12-013, September 2011. (NBER Working Paper Series, No. 19643, November 2013.)
- Article
Optimal Value and Growth Tilts in Long-Horizon Portfolios
By: Jakub W. Jurek and Luis M. Viceira
We develop an analytical solution to the dynamic portfolio choice problem of an investor with power utility defined over wealth at a finite horizon, who faces a time-varying investment opportunity set, parameterized using a flexible vector autoregression. We apply this...
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Keywords:
Decision Choices and Conditions;
Private Equity;
Investment;
Investment Portfolio;
Asset Pricing;
Value
Jurek, Jakub W., and Luis M. Viceira. "Optimal Value and Growth Tilts in Long-Horizon Portfolios." Review of Finance 15, no. 1 (January 2011): 29–74.
- 2010
- Working Paper
Crashes and Collateralized Lending
By: Jakub W. Jurek and Erik Stafford
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...
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Keywords:
Financial Crisis;
Borrowing and Debt;
Cost of Capital;
Credit;
Financing and Loans;
Interest Rates;
Investment;
Framework;
Risk and Uncertainty;
Financial Services Industry
Jurek, Jakub W., and Erik Stafford. "Crashes and Collateralized Lending." Harvard Business School Working Paper, No. 11-025, September 2010.
- Article
The Economics of Structured Finance
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
This paper investigates the spectacular rise and fall of structured finance. The essence of structured finance activities is the pooling of economic assets like loans, bonds, and mortgages, and the subsequent issuance of a prioritized capital structure of claims, known...
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Keywords:
Financial Crisis;
Asset Management;
Debt Securities;
Investment;
Risk Management;
Behavior
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "The Economics of Structured Finance." Journal of Economic Perspectives 23, no. 1 (Winter 2009): 3–25.
- June 2009
- Article
Economic Catastrophe Bonds
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." American Economic Review 99, no. 3 (June 2009).
- 2008
- Working Paper
The Economics of Structured Finance
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "The Economics of Structured Finance." Harvard Business School Working Paper, No. 09-060, October 2008.
- June 2008
- Article
The Price of Immediacy
By: George Chacko, Jakub W. Jurek and Erik Stafford
Chacko, George, Jakub W. Jurek, and Erik Stafford. "The Price of Immediacy." Journal of Finance 63, no. 3 (June 2008): 1253–1290.
- 2007
- Working Paper
Economic Catastrophe Bonds
By: Joshua D. Coval, Jakub W. Jurek and Erik Stafford
Coval, Joshua D., Jakub W. Jurek, and Erik Stafford. "Economic Catastrophe Bonds." Harvard Business School Working Paper, No. 07-102, June 2007.
- 2006
- Working Paper
Pricing Liquidity: The Quantity Structure of Immediacy Prices
By: George Chacko, Jakub W. Jurek and Erik Stafford
Chacko, George, Jakub W. Jurek, and Erik Stafford. "Pricing Liquidity: The Quantity Structure of Immediacy Prices." Harvard Business School Working Paper, No. 07-017, September 2006.