Person

Semyon Malamud

Related publications (30)

An Intermediation-Based Model of Exchange Rates

We develop a continuous-time general equilibrium model with intermediaries at the heart of international financial markets. Global intermediaries bargain with households and extract rents from providing access to foreign claims. By tilting state prices, in ...

Oxford University Press (OUP)2025

The Virtue of Complexity in Return Prediction

Semyon Malamud

Much of the extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in ...

Wiley2023

Principal Portfolios

Semyon Malamud

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...

WILEY2022

Illiquidity and Higher Cumulants

Semyon Malamud, Alberto Mokak Teguia

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

OXFORD UNIV PRESS INC2022

Dominant currency debt

Semyon Malamud

We propose a “debt view” to explain the dominant international role of the dollar. Within a simple capital-structure model with debt-currency choice, we show that the “dominant currency” is the one that (1) depreciates in global downturns over horizons of ...

2022

Managing inventory with proportional transaction costs

Semyon Malamud

We solve the problem of optimal inventory management for a CARA market-maker who faces proportional transaction costs and marking to market. Our model accommodates inventory shocks following an arbitrary compound Poisson process. We show that the no-tradin ...

SPRINGER HEIDELBERG2020

System and method for user data input to modify operating mode configurations

Semyon Malamud

A computer-implemented method, computer program product and computer system (100) for editing a configuration of a physical entity (30) to configure a future operating mode of a physical entity. A GUI component (200) provides a visual representation of a t ...

2020

System and method for user data input to modify configurations

Semyon Malamud

A computer-implemented method, computer program product and computer system (100) for editing a configuration of a real-world object to optimize a future state of the real-world object. The configuration includes a plurality of potential states for the rea ...

2020

Liquidity, Innovation, And Endogenous Growth

Semyon Malamud, Francesca Maria Zucchi

We build a model of endogenous, innovation-driven growth in which innovative firms have costly access to outside financing and hoard cash reserves to maintain financial flexibility. We show that financing frictions slow down Schumpeterian creative destruct ...

2019

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

Non-myopic betas

Semyon Malamud

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

Optimal reinsurance with multiple tranches

Semyon Malamud

Motivated by common practices in the reinsurance industry and in insurance markets such as Lloyd's, we study the general problem of optimal insurance contracts design in the presence of multiple insurance providers. We show that the optimal risk allocation ...

Elsevier Science Sa2016

Capital supply uncertainty, cash holdings, and investment

Erwan Morellec, Semyon Malamud, Julien Hugonnier

We develop a dynamic model of investment, financing, and cash management decisions in which investment is lumpy and firms face capital supply uncertainty. We characterize optimal policies explicitly, demonstrate that smooth-pasting conditions may not guara ...

2015

Information percolation in segmented markets (Reprinted from J Econ Theory, vol 153, pg 1-32, 2014)

Semyon Malamud, Darrell Duffie

We study equilibria of dynamic over-the-counter markets in which agents are distinguished by their preferences and information. Over time, agents are privately informed by bids and offers. Investors differ with respect to information quality, including ini ...

Elsevier2015

Credit market frictions and capital structure dynamics

Erwan Morellec, Semyon Malamud, Julien Hugonnier

We study the implications of credit market frictions for the dynamics of corporate capital structure and the risk of default of corporations. To do so, we develop a dynamic capital structure model in which firms face uncertainty regarding their ability to ...

2015

Information percolation in segmented markets

Semyon Malamud, Darrell Duffie

Elsevier2014

Capital Supply Uncertainty, Cash Holdings, and Investment

Erwan Morellec, Semyon Malamud, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Indifference pricing for CRRA utilities

Semyon Malamud

Springer, Springer-Verlag2013

Optimal incentives and securitization of defaultable assets

Semyon Malamud

We study optimal securitization in the presence of an initial moral hazard. A financial intermediary creates and then sells to outside investors defaultable assets, whose default risk is determined by the unobservable costly effort exerted by the intermedi ...

Elsevier2013

Credit Market Frictions and Capital Structure Dynamics

Erwan Morellec, Semyon Malamud, Julien Hugonnier

2012