Articles


Peer-Reviewed

    1. Chincarini, Ludwig. “Transaction Costs and Crowding.” Quantitative Finance, August 2017.
    2. Chincarini, Ludwig. “The Impact of Quantitative Techniques on Hedge Fund Performance.” European Financial Management, November 2014.
    3. Chincarini, Ludwig (w/ Salvatore Bruno and Robert Whitelaw). “An Alternative Method to Construct Levered Indices .” Journal of Indexed Investing, Fall 2014.
    4. Chincarini, Ludwig (w/ Daehwan Kim). “On Uses and Misuses of the Black-Litterman Model in Portfolio Construction.” Journal of Mathematical Finance, March, 2013.
    5. Chincarini, Ludwig (w/ Alex Nakao (Student)). “Measuring Hedge Fund Timing Ability Across Factors.” Journal of Investing, Winter 2011.
    6. Chincarini, Ludwig (w/ Salvatore Bruno). “A Multi-Asset Approach to Inflation Hedging for a US Investor.” Journal of Portfolio Management, Spring 2011, pp. 102-115.
    7. Chincarini, Ludwig. “No Chills or Burns from Temperature Surprises: An Empirical Analysis of the Weather Derivatives Market” Journal of Futures Markets, January 2011, pp. 1-33.
    8. Chincarini, Ludwig (w/ Christina Contreras (Student)). “Home Bias and International Betting Markets: Can Institutional Constraints and Behavioral Biases Lead to Arbitrage Profits?” Journal of Gambling and Economics, December 2010, pp. 20-30.
    9. Chincarini, Ludwig (w/ Salvatore Bruno). “A Historical Examination of Optimal Real Return Portfolios for Non-US Investors” Review of Financial Economics, October 2010, pp. 161-178.
    10. Chincarini, Ludwig (w/ Salvatore Bruno). “Optimal Real Return Portfolios” Investments and Wealth Monitor, July/August, 2010.
    11. Chincarini, Ludwig. “A Case Study on Risk Management: Lessons from the Collapse of Amaranth Advisors, L.L.C.” Journal of Applied Finance, Spring/Summer, 2008.
    12. Chincarini, Ludwig. “Flexible Insurance for Separate Accounts.” ICFAI Journal of Risk and Insurance, July, 2008.
    13. Chincarini, Ludwig (w/ Neer Asherie). “An Analytical Model for the Formation of Economic Clusters.” Regional Science and Urban Economics, May, 2008.
    14. Chincarini, Ludwig (w/ Daehwan Kim). “Another Look at the Information Ratio.” Journal of Asset Management, December, 2007.
    15. Chincarini, Ludwig. “The Amaranth Debacle: Failure of Risk Measures or Failure of Risk Management.” Journal of Alternative Investments, Winter, 2007.
    16. Chincarini, Ludwig. “The Effectiveness of Global Currency Hedging After the Asian Crisis” Journal of Asset Management, May, 2007.
    17. Chincarini, Ludwig. (w/ Daehwan Kim & Taeyoon Sung). “Corporate Scandals and the Market Response of Dividend Payout Changes.” Applied Financial Economics, April 1, 2006. V.16, Issue 7, pp. 535.
    18. Chincarini, Ludwig. (w/ David Bieri). “Riding the Yield Curve: A Variety of Strategies.” Journal of Fixed Income (September, 2005).
    19. Chincarini, Ludwig. “Managing Cash Flows in Sector Portfolios.” Derivatives Uses, Trading, and Regulation 10.1 (2004): 27-45.
    20. Chincarini, Ludwig. (w/ Daehwan Kim). “The Advantages of Tax Managed Investing.” Journal of Portfolio Management, Fall, 2001, pp. 56-72.

      Book Chapters

       

    21. Chincarini, Ludwig. “Trading Futures to Manage Risk.” Chapter 25, Investment Risk Management, Forthcoming.
    22. Chincarini, Ludwig. “A Case Study of Amaranth Advisors.” Chapter 26, Energy, Finance, and Economics, February, 2013.
    23. Chincarini, Ludwig. “Hedge Funds: An Introduction.” Chapter 1, Research Handbook on Hedge Funds, Private Equity and Alternative Investments, April, 2012.
    24. Non-Peer Reviewed: Professional

       

    25. Blitzer, David, Chincarini, Ludwig, Dellapa, Mike, and Srikant Dash. “The S&P 500 Equal Weight Index.” Standard and Poors Publication, 2003.
    26. Chincarini, Ludwig, Etzkowitz, Alex (student), and Jon Kadish (student). “The Effects of Laddering and Spinning in Underwriter Manipulation of IPOs.” Michigan Journal of Business, September 2012, pp. 43-59.


      Non-Peer Reviewed: Past Working Papers

       

    27. Chincarini, Ludwig. “Forecasting Volatility and Asset Allocation: Are GARCH-type models useful?”
    28. Chincarini, Ludwig. “Technical Appendix to Real-Business Cycle Models and the Forecastable Movements in Output, Hours, and Consumption.”
    29. Chincarini, Ludwig. “The Failure of Long-Term Capital Management.”
    30. Chincarini, Ludwig. “The Expectations Theory in the Money Market: Details Matter.”
    31. Chincarini, Ludwig. “Experimental Evidence of Trigger Strategies in Repeated Games.”
    32. Chincarini, Ludwig. “Wages and Knowledge Transfer.”
    33. Chincarini, Ludwig and Guillermo Llorente. “Volume and Return Information on Individual Stocks.”