by Jakub W. Jurek - Publications - Faculty & Research

close examination and clear explanation of how the process of securitization transformed trillions of dollars of risky assets into securities that many considered to be a safe bet. Authored by HBS professors Joshua D. Coval and Erik... View Details

Keywords: by Julia Hanna; Banking; Financial Services

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... View Details

Keywords: Hedge Funds; Required Returns; Downside Risk; Index Options; Investment Funds; Cost of Capital; Investment Return; Risk and Uncertainty; Financial Services Industry

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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... View Details

Keywords: Cost of Capital; Financial Liquidity; Investment; Investment Return; Mathematical Methods; Risk and Uncertainty

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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... View Details

Keywords: Financial Crisis; Asset Management; Debt Securities; Investment; Risk Management; Behavior

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15 May 2007
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First Look: May 15, 2007

case: http://www.hbsp.harvard.edu/b01/en/common/item_detail.jhtml?id=301094 PublicationsThe Price of Immediacy Authors:George Chacko, Jakub W. Jurek, and Erik Stafford Periodical:Journal of Finance... View Details

Keywords: Martha Lagace

20 Sep 2011
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First Look: September 20

Authors:Jakub W. Jurek and Erik Stafford Abstract 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... View Details

Keywords: Sean Silverthorne

13 Oct 2010
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First Look: October 13, 2010

and Collateralized Lending Authors:Jakub W. Jurek and Erik Stafford Abstract This paper develops a parsimonious static model for characterizing financing terms in collateralized lending markets. We... View Details

Keywords: Sean Silverthorne

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... View Details

Keywords: Financial Crisis; Borrowing and Debt; Cost of Capital; Credit; Financing and Loans; Interest Rates; Investment; Framework; Risk and Uncertainty; Financial Services Industry

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29 Jun 2007
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First Look: June 29, 2007

Working PapersEconomic Catastrophe Bonds Authors:Joshua D. Coval, Jakub W. Jurek, and Erik Stafford Abstract The central insight of asset pricing is that a security's value depends on both its distribution... View Details

Keywords: Martha Lagace

28 Sep 2010
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First Look: September 28, 2010

paper: http://www.hbs.edu/research/pdf/11-029.pdf Crashes, Collateral, and the Financing of Securities Authors:Jakub W. Jurek and Erik Stafford Abstract This paper develops a parsimonious static model for... View Details

Keywords: Sean Silverthorne

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... View Details

Keywords: Decision Choices and Conditions; Private Equity; Investment; Investment Portfolio; Asset Pricing; Value

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