Publications

June 2009 (Revised March 2010)
Supplement

Hansson Private Label, Inc.: Evaluating an Investment in Expansion, Teaching Note Spreadsheet (Brief Case)

By: Erik Stafford and Joel L. Heilprin

September 2010 (Revised May 2012)
Case

Harvard Management Company (2010)

By: Andre F. Perold and Erik Stafford

In February 2010, Jane Mendillo, CEO of Harvard Management Company, was reflecting on the list of issues facing Harvard University's endowment in preparation for the upcoming board meeting. The recent financial crisis had vividly highlighted several key issues... View Details

Keywords: Financial Crisis; Higher Education; Asset Management; Financial Liquidity; Investment Portfolio; Risk Management; Education Industry; Financial Services Industry; Massachusetts

January 2008
Teaching Note

Options (TN)

By: Joshua D. Coval and Erik Stafford

Teaching Note for [208116], [208117], [208118], and [208119]. View Details

Keywords: Stock Options

January 2008
Teaching Note

Credit Risk: Valuing Risky Debt & CDOs (TN)

By: Joshua D. Coval and Erik Stafford

Teaching Note for [208111] and [208113]. View Details

Keywords: Price; Credit; Risk Management; Investment; Bonds; Borrowing and Debt; Decisions

November 2007
Background Note

Event Arbitrage

By: Joshua D. Coval and Erik Stafford

The event arbitrage module includes two simulation sessions. The first simulation focuses on analyzing and evaluating individual merger transactions, while the second simulation emphasizes managing a portfolio of individual positions and the limitations of arbitrage... View Details

Keywords: Mergers and Acquisitions; Capital Markets; Financial Management; Investment Portfolio; Risk Management

November 2007
Teaching Note

Asset Allocation I, II & III (TN)

By: Joshua D. Coval and Erik Stafford

Keywords: Resource Allocation; Assets

February 2013 (Revised January 2015)
Supplement

Grantham, Mayo, and Van Otterloo, 2012: Estimating the Equity Risk Premium (CW)

By: Samuel Gregory Hanson, Erik Stafford and Luis M. Viceira

March 2008
Teaching Note

2006 Hurricane Risk (TN)

By: André Perold and Erik Stafford

Teaching Note for [207075]. View Details

Keywords: Decision Choices and Conditions; Loss; Investment; Insurance; Natural Disasters; California

January 2004
Article

Investigating the Economic Role of Mergers

By: Gregor Andrade and Erik Stafford

Find at Harvard

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29 Jan 2013
First Look

First Look: Jan. 29

reaping the benefits of FDI (which relate to when FDI will generate growth) and (2) the mechanisms by which FDI creates positive externalities (which relate to how FDI generates growth). Technology and Innovation Management... View Details

Keywords: Sean Silverthorne

Article

Hinged Dissections Exist

By: Timothy G. Abbott, Zachary Abel, David Charlton, Erik D. Demaine, Martin L. Demaine and Scott Duke Kominers

We prove that any finite collection of polygons of equal area has a common hinged dissection. That is, for any such collection of polygons there exists a chain of polygons hinged at vertices that can be folded in the plane continuously without self-intersection to form... View Details

Keywords: Folding; Reconfiguration; Hinge; Plygon; Refinement; Mathematical Methods

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January 2008
Background Note

Equity Options

By: Joshua Coval and Erik Stafford

The goal of this simulation is to understand the reliance of option values on volatility. When an investor trades an option, they are essentially trading volatility. Therefore, much of the focus in this lesson is on forecasting volatility. Students are able to use two... View Details

Keywords: Volatility; Forecasting and Prediction; Stock Options; Investment Return; Price; Market Transactions; Mathematical Methods; Value

January 2008
Background Note

Equity Derivatives

By: Joshua Coval and Erik Stafford

The goal of these simulations is to understand the dynamic replication technique behind the Black-Scholes/Merton options model. The simulations focus on a single stock and a risk-free discount bond, which are used to replicate a contingent payoff. The underlying stock... View Details

Keywords: Equity; Bonds; Stocks; Price; Risk Management

January 2008
Background Note

Convertible Arbitrage

By: Joshua Coval and Erik Stafford

The goal of this simulation is to understand how convertible bonds can be viewed as a portfolio of simpler securities and to introduce an over-the-counter market. The convertible bonds that are available during the simulation are at-the-money and in-the-money so that... View Details

Keywords: Bonds; Investment Portfolio; Price; Risk Management; Mathematical Methods