Sauder School of Business

Ali  Lazrak

Ali Lazrak
BA (ENSAE), Master (Paris), PhD (Toulouse)

Associate Professor

Office:    Henry Angus 877
Phone:     +1-604-822-9481
Fax:    +1-604-822-4695
Email:    < ali.lazrak at >

University of British Columbia
Sauder School of Business
2053 Main Mall, Vancouver BC, V6T 1Z2

Personal Homepage

Research Interests
Current Research Interests include Asset Pricing and Portfolio Selection Theory and Preference Theory under Uncertainty.

Selected Publications

Jaksa Cvitanic, Ali Lazrak, Lionel Martellini, and Fernando Zapatero
Dynamic Portfolio Choice with Parameter Uncertainty and the Economic Value of Analysts' Recommendations
Review of Financial Studies, forthcoming

Ali Lazrak
“Generalized Stochastic Differential Utility and Preference for Information”
Annals of Applied Probability, Vol.14, 2004, 2149-2175.

Ali Lazrak and Fernando Zapatero
“Efficient Consumption Set under Recursive Utility and Unknown Beliefs”
Journal of Mathematical Economics, Vol. 40, 2004, 207-226.

Jaksa Cviatanic, Ali Lazrak, Lionel Martellini, and Fernando Zapatero
“Optimal Allocation to Hedge Funds: An Empirical Analysis”
Quantitative Finance, Vol. 3, 2003, 29-39.

Ali Lazrak and Marie Claire Quenez
“A Generalized Stochastic Differential Utility”
Mathematics of Operation Research, Vol. 28, 2003, 154-180.

Jaksa Cvitanic, Ali Lazrak, Marie Claire Quenez, and Fernando Zapatero
“Recursive Utility Optimization under Incomplete Information”
International Journal of Theoretical and Applied Finance, Vol. 4, 2001, 1-17.

Jean Paul Décamps and Ali Lazrak
“A Martingale Characterization of Equilibrium Asset Price Processes”
Economic Theory, Vol. 15, 2000, 207-213.

Working Papers

Jaksa Cvitanic, Ali Lazrak, and Tan Wang
The Implications of Sharpe ratio as a Performance Measure in a Multi-Period Setting” (2007)

Murray Carlson and Ali Lazrak
Leverage Choice and Credit Spread Dynamics when Managers Risk Shift” (2006)