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Suleyman Basak

Professor of Finance; Joint Chair, Finance Faculty


BSc (University College London), MS (Civil Engineering), MS (Financial Economics), PhD (Carnegie Mellon)

Professor Suleyman Basak is recognised as one of the world’s leading experts on asset pricing and risk management. His influential and prize winning research focuses on financial innovation, asset allocation, and market imperfections. It addresses issues related to portfolio insurance, Value at Risk-based risk management, credit risk, tax arbitrage, incentive problems plaguing institutional asset management, mispricing, arbitrageurs, and monopoly power in financial markets.

He has won a number of awards for his teaching. He received the General Excellence Teaching and Best Teacher Masters in Finance Award at London Business School. He was previously at Wharton (University of Pennsylvania) where he won the David Hauck Teaching Award; and the Wharton Graduate and Undergraduate Divisions Excellence in Teaching Award.

Previously, he was at the Wharton School of the University of Pennsylvania, held a visiting position at the Graduate School of Business at the University of Chicago, and acted as a consultant to Goldman Sachs.

2015

A model of financialization of commodities

Basak S; Pavlova A

Journal of Finance

2014

Strategic asset allocation in money management

Basak S; Makarov D

Journal of Finance

2013

Asset prices and institutional investors

Basak S; Pavlova A

American Economic Review

2012

Difference in interim performance and risk taking with short-sale constraints

Basak S; Makarov D

Journal of Financial Economics

Dynamic hedging in incomplete markets: A simple solution

Basak S; Chabakauri G

Review of Financial Studies

2010

Dynamic mean-variance asset allocation

Basak S; Chabakauri G

Review of Financial Studies

2008

Multiplicity in general financial equilibrium with portfolio constraints

Basak S; Cass D; Licari J M; Pavlova A

Journal of Economic Theory

Offsetting the implicit incentives: Benefits of benchmarking in money management

Basak S; Pavlova A; Shapiro A

Journal of Banking and Finance

2007

International good market segmentation and financial innovation

Basak S; Croitoru B

Journal of International Economics

Optimal asset allocation and risk shifting in money management

Basak S; Pavlova A; Shapiro A

Review of Financial Studies

2006

On the role of arbitrageurs in rational markets

Basak S; Croitoru B

Journal of Financial Economics

Risk management with benchmarking

Shapiro A; Tepla L; Basak S

Management Science

2005

A model of credit risk, optimal policies and asset prices

Basak S; Shapiro A

Journal of Business

Asset pricing with heterogeneous beliefs

Basak S

Journal of Banking and Finance

2003

Capital market equilibrium with differential taxation

Basak S; Gallmeyer M

European Finance Review

2002

Comparative study of portfolio insurance

Basak S

Journal of Economic Dynamics and Control

2001

Nonlinear taxation, tax arbitrage and equilibrium asset prices

Basak S; Croitoru B

Journal of Mathematical Economics

Value-at-risk-based risk management: optimal policies and asset prices

Basak S; Shapiro A

Review of Financial Studies

2000

Equilibrium mispricing in a capital market with portfolio constraints

Basak S; Croitoru B

Review of Financial Studies

1998

Equilibrium model with restricted stock market participation

Basak S; Cuoco D

Review of Financial Studies

1996

Intertemporal model of international capital market segmentation

Basak S

Journal of Financial and Quantitative Analysis

1995

A general equilibrium model of portfolio insurance

Basak S

Review of Financial Studies

PhD Course in Continuous-Time Finance SUM15

E261 Elective Course in Fixed Income Securities SPR15 (Streams A & B)
E310 Elective Course in Financial Engineering and Risk Management SUM15 (Streams A & B)

Research Award

  1. Best Paper Award, Multinational Finance Society, Larnaca, 2014. For “A Model of Financialization of Commodities."

American Association of Individual Investors Award for the Best Paper on Investments, Western Finance Association, Santa Monica, 1999. For "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices."


Geewax, Terker Prize in Investment Research, Rodney L. White Center for Financial Research, University of Pennsylvania, 1999. For "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices."


Geewax, Terker Prize in Investment Research, Rodney L. White Center for Financial Research, University of Pennsylvania, 1999. For "An Equilibrium Model with Restricted Stock Market Participation."


Alexander Henderson Award for Excellence in Economic Theory, Carnegie Mellon University, 1993. For PhD thesis "General Equilibrium Continuous-Time Asset Pricing in the Presence of Portfolio Insurers and Non-Price Taking Investors."


Teaching Awards


Best Teacher Award MiF, London Business School, 2007, 2008, 2009, 2010, 2011, 2012, 2013.


General Excellence Teaching Award, London Business School, 2001.


Graduate Division Excellence in Teaching Award, The Wharton School, University of Pennsylvania, 2000.


Undergraduate Division Excellence in Teaching Award, The Wharton School, University of Pennsylvania, 1996, 1997, 1998, 1999.


David Hauck Teaching Award, The Wharton School, University of Pennsylvania, 1997.


Best Student Teacher Award, Carnegie Mellon University, 1991.


Fellowship


William Larimer Mellon Fellowship, Carnegie Mellon University, 1988-1991.


Scholarship


Fulbright Scholarship, Cyprus-America Scholarship Program, Washington, DC, 1986-1988.


Research Grants


ESRC, Economic & Social Research Council, UK, 2003.


Other


Who's Who in the World, Who's Who in Finance and Industry, 2002-present.




Research Interests

Asset Pricing, asset allocation, risk management, market imperfections, international finance and financial innovation.