Books:
- Robert Savickas, ``Portfolio Management: Modeling, Simulation, Allocation,'' 2006, University Readers, a textbook for Fina 6275 course at GWU.
Research Grants:
- Investment Management Consultants Association's research grant for research in asset pricing, in collaboration with Arun Muralidhar, 3/2015.
- ``Preemptive Strategies for the Assessment and Management of
Financial System Risk Levels in Latin American Countries,'' 2001,
In collaboration with the Financial Markets Research Institute,
Center for Latin American Issues, Center for Real Estate and Urban
Analysis, and four other faculty members and funded by the
George Washington University Globalization Center.
Working Papers and Projects
(download: https://papers.ssrn.com/author=202597):
- ``The Social Media Risk Premium'', 2022, coauthored with Amin Hosseini, Gergana Jostova, and Alexander Philipov, working paper, George Washington University, George Mason University.
- ``Determinants of Firms' Presence on and Use of Twitter: An Empirical Study'', 2022, coauthored with Amin Hosseini, Sok-Hyon Kang, Atul Singh, working paper, George Washington University.
- ``Dynamic Risk Factors and Asset Returns'', 2020, coauthored with Tina T. Swan and Bruce Q. Sun, working paper, University of Pittsburg, SUNY - Buffalo State, and George Washington University.
- `` The Excess Volatility in Foreign Exchange Risk Premium and the Forward Rate Bias'', 2020, coauthored with Tina T. Swan and Bruce Q. Sun, working paper, University of Pittsburg, SUNY - Buffalo State, and George Washington University.
- ``Asset Pricing Anomalies: Two Hedge Factors with Negative Risk Premia Embedded in Portfolios!'', 2019, coauthored with Arun Muralidhar and Tzu-Jui Mao, working paper, George Washington University.
- ``A Theory and Evidence on Technology, Value Premium, and Volatility'', 2017, coauthored with Wachindra Bandara, working paper, George Washington University.
- ``Return Decomposition: A Bayesian State-Space Model Approach,'' 2014, coauthored with Yuan-Szu Chang, working paper, George Washington University.
- ``The Convenience Yield to Owning One's Home,'' 2013, coauthored with Jason Thomas, working paper, George Washington University.
- ``Market Sentiment and Dividend Policy: Cross Sectional Evidence,'' 2013, coauthored with Bo Zhao, working paper, George Washington University.
- ``Distribution Effect and Idiosyncratic Volatility Discount,'' 2013, coauthored with Bo Zhao, working paper, George Washington University.
- ``Cross-Sectional Estimation Biases in Risk Premia and Zero-Beta Excess Returns'', 2013, coauthored with Jianhua Yuan, working paper, George Washington University.
- ``Modeling Credit-Risky Bonds with Correlated-factor Models,''
2010, coauthored with Leonard Tchuindjo, working paper, George Washington University.
- ``Understanding Stock Return Predictability,''
2008, coauthored with Hui Guo, working paper, George Washington University and the Federal Reserve Bank of St. Louis.
- ``On the cross section of conditionally expected stock returns,'' 2005, coauthored with Hui Guo, working paper, George Washington University and the Federal Reserve Bank of St. Louis.
- ``A Robustness Test for Cross-Sectional Asset Pricing,'' 2005, coauthored with Hui Guo, working paper, George Washington University and the Federal Reserve Bank of St. Louis.
- ``Does idiosyncratic risk matter: another look,'' 2004, coauthored with Hui Guo, working paper, George Washington University and the Federal Reserve Bank of St. Louis.
- ``The chance of ruin, the momentum, and stochastic dominance of
risk-based strategies,'' 2003, working paper, George Washington
University.
Papers from the last century:
- ``1995 WMEC/WQEC/WSEC-TV member survey,'' with Paul Thistlethwaite,
February 1996.
- ``Real estate in the former Soviet Union: changing environment, new
approaches,'' Midwest Review of Finance and Insurance, vol. 10,
Spring 1996, pp. 231-239.
- ``Commercial banks taxation: a study of the direct and indirect
taxation of commercial banks,'' with Robert Kunkel and Rick Voss,
Midwest Review of Finance and Insurance, vol. 10,
Spring 1996, pp. 179-188.
- ``GATT (WTO) and former USSR. Example of Latvia,'' with Larry Wall,
Midwest Review of International Business Research, vol. 10, Spring
1996, pp.109-118.
- ``Annual report on the early prevention of school failure project, 1994-1995,''
with Paul Thistlethwaite and Marie Bell, October 1995.
- ``Analysis of alumni information for the home economics department; Spring
1994 survey,''
with Paul Thistlethwaite and Felix Brautigam, May 1995.
- ``Analysis of the flu clinics for the McDonough District Hospital; fall 1994,''
with Paul Thistlethwaite, April 1995.
- ``Transporta loģistika Latvijā: teorija un pielietošana.''
(``Transportation logistics in Latvia: theory and application.''), proposal
of a guide for a logistics course at Riga Technical University, May 1994.