FACULTY RESEARCH

The Department of Finance and Risk Engineering is commited to excellence and relevance in research.

Barry Blecherman Ph.D.,
Industry Associate Professor of Finance and Risk Engineering

Information Technology and Information Asymmetry: The Future of Private Individual Health Insurance
Eric K. Clemons, Matt E. Thatcher, Barry Blecherman, David Croson in Proceedings of 30th. Internation Conference on Information Sysytems (1997)

Participation Constraints On The Adoption Of Fully Automated Negotiation
Barry Blecherman in Best Paper Proceedings of the Academy of Management (1998)

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Frederick Novomestky, Ph.D.
Industry Associate Professor of
Management and Financial Engineering

Geometric Brownian Motion Model for U.S. Stocks, Bonds and Inflation: Solution, Calibration and Simulation
This paper addresses the problem of designing stochastic models for creating realistic sample paths of nominal U.S. asset class returns and inflation. Correlated geometric Brownian motion processes are used to describe the dynamic behavior of the real value of broad financial asset class values and inflation. These real values are linked to their nominal values using the Fisher effect.

Portfolio Analysis With Bayesian Dynamic Linear Models And Conditioning Information
Frederick Novomestky, John L. Kling. Under review at the Journal of Empirical Finance.

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