Robert F. Stambaugh
entry
in Wharton Guide to Faculty
curriculum vitae
Portfolio Optimization:
program and description
some
filled-in input forms
for the optimization program, used as examples in Investment Management (Finance 205/720)
Data:
Pastor-Stambaugh liquidity series
updated through 2010.
Plot
of the aggregate liquidity level.
Working papers:
"The Short of It: Investor Sentiment and Anomalies"
, with Jianfeng Yu and Yu Yuan;
"On the Size of the Active Management Industry"
, with Lubos Pastor;
"Are Stocks Really Less Volatile in the Long Run?"
, with Lubos Pastor;
Technical Appendix
available
"Predictive Systems: Living with Imperfect Predictors"
, with Lubos Pastor;
Technical Appendix
available
"Inference about Survivors"
"Investing in Socially Responsible Mutual Funds"
, with Christopher C. Geczy and David Levin
"Long-Horizon Returns and Short-Horizon Models"
(1987), with Shmuel Kandel
"Bias in Regressions with Lagged Stochastic Regressors"
(1986)