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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.

2016

A model of financialization of commodities

Basak S; Pavlova A

Journal of Finance 2016 Vol 71:4 p 1511-1556

2014

Strategic asset allocation in money management

Basak S; Makarov D

Journal of Finance 2014 p 179-217

2013

Asset prices and institutional investors

Basak S; Pavlova A

American Economic Review 2013 Vol 103:5 p 1728-1758

2012

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

Basak S; Makarov D

Journal of Financial Economics 2012 February Vol 103:2 p 377-392

Dynamic hedging in incomplete markets: A simple solution

Basak S; Chabakauri G

Review of Financial Studies 2012 Vol 25:6 p 1845-1896

2010

Dynamic mean-variance asset allocation

Basak S; Chabakauri G

Review of Financial Studies 2010:23 p 2970-3016

Equilibrium asset prices and investor behavior in the presence of money illusion

Basak S; Yan H

Review of Economic Studies 2010 Vol 77:3 p 914-936

2008

Multiplicity in general financial equilibrium with portfolio constraints

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

Journal of Economic Theory 2008 September Vol 142:1 p 100-127

Offsetting the implicit incentives: Benefits of benchmarking in money management

Basak S; Pavlova A; Shapiro A

Journal of Banking and Finance 2008:32 p 1883-1893

2007

International good market segmentation and financial innovation

Basak S; Croitoru B

Journal of International Economics 2007 Vol 71:2 p 267-293

Optimal asset allocation and risk shifting in money management

Basak S; Pavlova A; Shapiro A

Review of Financial Studies 2007 Vol 20:5 p 1583-1621

2006

On the role of arbitrageurs in rational markets

Basak S; Croitoru B

Journal of Financial Economics 2006 Vol 81:1 p 143-173

Risk management with benchmarking

Shapiro A; Tepla L; Basak S

Management Science 2006 Vol 52 p 542-557

2005

A model of credit risk, optimal policies and asset prices

Basak S; Shapiro A

Journal of Business 2005 Vol 78:4 p 1215-1266

Asset pricing with heterogeneous beliefs

Basak S

Journal of Banking and Finance 2005 Vol 29:11 p 2849-2881

Monopoly power and the firm's valuation: a dynamic analysis of short- versus long-term policies

Basak S; Pavlova A

in Citanna A et al. eds, Essays in dynamic general equilibrium theory: festschrift for David Cass, Springer, 2005

2004

Monopoly power and the firm's valuation: a dynamic analysis of short- versus long-term policies

Basak S; Pavlova A

Economic Theory 2004 Oct Vol 24:3 p 503-530

2003

Capital market equilibrium with differential taxation

Basak S; Gallmeyer M

European Finance Review 2003 Vol 7:2 p 121-159

2002

Comparative study of portfolio insurance

Basak S

Journal of Economic Dynamics and Control 2002 July Vol 26:7-8 p 1217-1241

2001

Nonlinear taxation, tax arbitrage and equilibrium asset prices

Basak S; Croitoru B

Journal of Mathematical Economics 2001 Vol 35:2 p 347-382

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

Basak S; Shapiro A

Review of Financial Studies 2001 January Vol 14:2 p 371-405

2000

Equilibrium mispricing in a capital market with portfolio constraints

Basak S; Croitoru B

Review of Financial Studies 2000 Fall Vol 13:3 p 715-748

Model of dynamic equilibrium asset pricing with heterogeneous beliefs and extraneous risk

Basak S

Journal of Economic Dynamics and Control 2000 January Vol 24:1 p 63-95

1999

Currency prices, the nominal exchange rate, and security prices in a two-country dynamic monetary equilibrium

Basak S; Gallmeyer M

Mathematical Finance 1999 January Vol 9:1 p 1-30

On the fluctuations in consumption and stock market in the presence of labor and human capital: an equilibrium analysis

Basak S

Journal of Economic Dynamics and Control 1999 June Vol 23:7 p 1029-1064

1998

Equilibrium model with restricted stock market participation

Basak S; Cuoco D

Review of Financial Studies 1998 Summer Vol 11:2 p 309-341

1997

Consumption choice and asset pricing with a non-price-taking agent

Basak S

Economic Theory 1997 Vol 10:3 p 437-462

1996

Intertemporal model of international capital market segmentation

Basak S

Journal of Financial and Quantitative Analysis 1996 June Vol 31:2 p 161-188

1995

A general equilibrium model of portfolio insurance

Basak S

Review of Financial Studies 1995 Winter Vol 8:4 p 1059-1090

2016

A model of financialization of commodities

Basak S; Pavlova A

Social Sciences Research Network

A Theory of Operational Risk

Basak S; Buffa A

Working Paper

Belief dispersion in the stock market

Basak S; Atmaz A

Working Paper

Investor Protection and Asset Prices

Basak S; Chabakauri G; Yavuz D

Working Paper

Security design with status concerns

Basak S; Makarov D; Shapiro A; Subrahmanyam M

Working Paper

2010

A dynamic model with import quota constraints

Basak S; Pavlova A

Working Paper

1999

Equilibrium with different borrowing and lending rates

Basak S; Cuoco D

Working Paper

PhD


  • Continuous-Time Finance


Electives


  • E261: Fixed Income Securities

  • E310: Financial Engineering and Risk Management

Research Awards


  • Best Paper AwardMultinational 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

  • Financial innovation