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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 sauder.ubc.ca
> |
University of British Columbia
Sauder School of Business
2053 Main Mall, Vancouver BC, V6T 1Z2
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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)
