Marcel Rindisbacher

EDUCATION

PhD, Universite de Montreal, 2000

SELECTED PUBLICATIONS

• Berrada, T., Detemple, J., Rindisbacher, M. (2018). "Asset Pricing with Beliefs-Dependent Risk Aversion and Learning", Journal of Financial Economics, 128 (3), 504-534
• Detemple, J., Rindisbacher, M. (2016). The Private Information Price of Risk. In M, Duygun., S, Fedotov., E, Haven., P, Molyneux., J, Wilson. (Eds.), "The Handbook of Post Crisis Financial Modeling", Palgrave Macmillan 190-213
• Detemple, J., Rindisbacher, M. (2013). "A Structural Model of Dynamic Market Timing", Review of Financial Studies, 26 (10), 2492-2547
• Detemple, J., Rindisbacher, M. (2011). Portfolio Optimization. In J, Duan,., JE, Gentle., W, Hardle. (Eds.), "Handbook of Computational Finance", Springer Verlag 675-702
• Detemple, J., Rindisbacher, M. (2011). Diffusion Models of Asset Prices. In J, Duan., JE, Gentle., W, Hardle. (Eds.), "Handbook of Computational Finance", Springer Verlag 35-60
• Detemple, J., Rindisbacher, M. (2010). "Dynamic Asset Allocation: Portfolio Decomposition Formula and Applications", Review of Financial Studies, 23 (1), 25-100
• Bodie, Z., Detemple, J., Rindisbacher, M. (2009). "Life Cycle Finance and the Design of Pension Plans", Annual Review of Financial Economics, 1 (1), 249-286
• Bodie, Z., Detemple, J., Rindisbacher, M. (2009). "Life-Cycle Finance and the Design of Pension Plans", Annual Review of Financial Economics, 1 249-286
• Detemple, J., Rindisbacher, M. (2008). "Dynamic asset liability management with tolerance for limited shortfalls", Insurance: Mathematics and Economics, 43 (3), 281-294
• Detemple, J., Rindisbacher, M. (2007). "Monte Carlo methods for derivatives of options with discontinuous payoffs", Computational Statistics and Data Analysis, 51 (7), 3393-3417
• Berrada, T., Hugonnier, J., Rindisbacher, M. (2007). "Heterogeneous preferences and equilibrium trading volume", Journal of Financial Economics, 83 (3), 719-750
• Detemple, J., Garcia, R., Rindisbacher, M. (2006). Simulation Methods for Optimal Portfolios. In JR, Birge., V, Linetsky. (Eds.), "Handbooks in Operations Research and Management Science, Volume 15, Financial Engineering", Elsevier 867-923
• Detemple, J., Garcia, R., Rindisbacher, M. (2006). "Asymptotic properties of Monte Carlo estimators of diffusion processes", Journal of Econometrics, 134 (1), 1-68
• Detemple, J., Garcia, R., Rindisbacher, M. (2005). "Asymptotic properties of Monte Carlo estimators of derivatives", Management Science, 51 (11), 1657-1675
• Detemple, J., Garcia, R., Rindisbacher, M. (2005). "Intertemporal asset allocation: A comparison of methods", Journal of Banking and Finance, 29 (11), 2821-2848
• Detemple, J., Rindisbacher, M. (2005). "Closed-form solutions for optimal portfolio selection with stochastic interest rate and investment constraints", Mathematical Finance, 15 (4), 539-568
• Detemple, R., Garcia, R., Rindisbacher, M. (2005). "Representation formulas for Malliavin derivatives of diffusion processes", Finance and Stochastics, 9 (3), 349-367
• Kürsteiner, G., Rindisbacher, M. (1994). "Real Business Cycle Models - Some Evidence for Switzerland", Swiss Journal of Economics and Statistics, 130 (I), 21-43
• Rindisbacher, M., Detemple, J., Robertson, S."Dynamic Noisy Rational Expectations with Insider Information",

SELECTED RESEARCH PRESENTATIONS

• Rindisbacher, M. , Detemple, J. , Yang, W. Information and Derivatives, Third International Conference in Financial Econometrics, PUC University Rio de Janeiro,Porto Seguro, Brazil, 2017

AWARDS AND HONORS

• 2013, Harry Markowitz Special Distinction Award, Journal of Investment Management
• 2008, Nancy Lang & Roger Martin Excellence in Research Award, Rotman School of Management, University of Toronto