Leonid Kogan

Nippon Telegraph & Telephone Professor of Management
Professor of Finance

Biography | Selected Publications

“Growth Opportunities, Technology Shocks, and Asset Prices.” ​Kogan, Leonid, and Dimitris Papanikolaou. Journal of Finance Vol. 69, No. 2 (2014): 675-718. (2014)

"Accuracy Verification for Numerical Solutions of Equilibrium Models." ​Kogan, Leonid and Indrajit Mitra, Working Paper. 2014.

"A Martingale Approach and Time- Consistent Sampling-based Algorithms for Risk Management in Stochastic Optimal Control." Huynh, Vu Anh, Leonid Kogan and Emilio Frazzoli, Working Paper. 2014.

"Firm Characteristics and Empirical Factor Models: a Data-Mining Experiment." Kogan, Leonid and Mary H. Tian, Federal Reserve Board International Finance Discussion Paper Number 1070. 2014.

Technological Innovation, Resource Allocation, and Growth.” ​Kogan, Leonid, Dimitris Papanikolaou, Amit Seru and Noah Stoffman. NBER Working Paper No. 17769. 2014.

“Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks.” ​Kogan, Leonid and Dimitris Papanikolaou. Review of Financial Studies Vol. 26, No. 11 (2013): 2718-2759. (2013)

"Measuring the "Dark Matter" in Asset Pricing Models." Hui Chen, Leonid Kogan and Winson Wei Dou. In Proceedings of the 2013 Red Rock Finance Conference. Springdale, UT: September 2013. 

Economic Activity of Firms and Asset Prices.” ​Kogan, Leonid and Dimitris Papanikolaou. Annual Review of Financial Economics, 4 (2012): 361-384. (2012)

“Displacement Risk and Asset Returns.” Gârleanu, Nicolae, Leonid Kogan and Stavros Panageas. Journal of Financial Economics Vol. 105: 491-510. (2012)

“Mutual Fund Trading Pressure: Firm- Level Stock Price Impact and Timing of SEOs.” ​Khan, Mozaffar and Leonid Kogan, and George Serafeim. Journal of Finance Vol. 67, No. 4 (2012): 1371-1395. (2012)

“Crude or Refined: Identifying Oil Price Dynamics through the Crack Spread.” Ahn, Daniel P. and Leonid Kogan. Working Paper. 2012.

Market Selection.” Kogan, Leonid, Stephen Ross, Jiang Wang and Mark M. Westerfield. NBER Working Paper No. 15189. 2012.

"Growth Opportunities and Technology Shocks." ​Kogan, Leonid and Dimitris Papanikolaou. American Economic Review Vol. 100, No. 2 (2010): 532-536. (2010)

“Market Selection.” Leonid Kogan, Stephen Ross, Jiang Wang and Mark M. Westerfield, NBER Working Paper 15189. Cambridge, MA: National Bureau of Economic Research, June 2009.

“Durability of Output and the Cross- Section of Stock Returns.” ​Gomes, João F., Leonid Kogan, and Motohiro Yogo. Journal of Political Economy Vol. 117, No. 5 (2009): 941-986. (2009)

“Oil Futures Prices in a Production Economy with Investment Constraints.” Kogan, Leonid, Dmitry Livdan and Amir Yaron. Journal of Finance Vol. 64, No. 3 (2008): 1345-1375. (2008)

“Duality Theory and Approximate Dynamic Programming for Pricing American Options and Portfolio Optimization.” ​Haugh, Martin B, and Leonid Kogan. Handbooks in Operations Research and Management Science: Financial Engineering, John Birge and Vadim Linetsky, 925-947. Amsterdam, The Netherlands: North-Holland 2007.

“The Equity Risk Premium and the Riskfree Rate in an Economy with Borrowing Constraints.” Kogan, Leonid, Igor Makarov and Raman Uppal. Mathematics and Financial Economics Vol. 1, No. 1 (2007): 1-19. (2007)

The Price Impact and Survival of Irrational Traders.” ​Kogan, Leonid, Stephen A. Ross, Jiang Wang and Mark M. Westerfield. Journal of Finance Vol. 61, No. 1 (2006): 195-229. (2006)

“Portfolio Optimization with Position Constraints: an Approximate Dynamic Programming Approach.” ​Haugh, Martin B., Leonid Kogan and Zhen Wu. Working Paper. (2006)

“Asset Prices and Real Investment.” Kogan, Leonid. Journal of Financial Economics Vol. 73, No. 3 (2004): 411-432. (2004)

“Evaluating Portfolio Policies: A Duality Approach.” ​Haugh, Martin B., Leonid Kogan and Jiang Wang. Operations Research Vol. 54, No. 3 (2004): 405-418. (2004)

“Pricing American Options: A Duality Approach.” ​Haugh, Martin B. and Leonid Kogan. Operations Research Vol. 52, No. 1 (2004): 258-270. (2004)

“Equilibrium Cross-Section of Returns.” ​Gomes, João F., Leonid Kogan and Lu Zhang. Journal of Political Economy Vol. 111, No. 4 (2003): 693-732. (2003)

A Simple Theory of Asset Pricing under Model Uncertainty.” ​Kogan, Leonid and Tan Wang. Working Paper. 2003.

"Catching Up with the Joneses: Heterogeneous Preferences and the Dynamics of Asset Prices.” ​Chan, Yeung Lewis and Leonid Kogan. Journal of Political Economy Vol. 110, No. 6 (2002): 1255-1285. (2002)

“An Equilibrium Model of Irreversible Investment.” ​Kogan, Leonid. Journal of Financial Economics Vol. 62, No. 2 (2001): 201-245. (2001)

"Hedging Derivative Securities and Incomplete Markets: An e-Arbitrage Approach." Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Operations Research Vol. 49, No. 3 (2001): 372–397. (2001)

Risk Aversion and Optimal Portfolio Policies in Partial and General Equilibrium Economies.” ​Kogan, Leonid and Raman Uppal, Working Paper. 2001.

"When Is Time Continuous?" Bertsimas, Dimitris, Leonid Kogan and Andrew W. Lo. Journal of Financial Economics Vol. 55 (2000): 173–204. (2000)

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Contact Information
Office: E62-636
Tel: (617) 253-2289
Fax: (617) 258-6855
Support Staff
Name: Miss Bridgette Ann Hayes
Tel: (617) 253-3386
Group(s)

Research Center(s)

General Expertise
Arbitrage pricing theory; Asset management; Asset pricing; Derivatives; Finance; Financial engineering; Financial markets; Financial services; Options pricing valuation; Portfolio choice; Stock market