Sergey Isaenko, PhD
Associate Professor, Finance
Dr. Isaenko joined the Department of Finance in 2003 from the Wharton School where he received his PhD in 2003. Dr. Isaenko also holds a Master's degree from the Moscow Engineering and Physics Institute 1993, and a PhD from the University of Pennsylvania in Physics, which he received in 1998. He has publications in prestige Finance and Physics Journals.
PhD (University of Pennsylvania)
Areas of expertise
- Theoretical asset pricing
- Portfolio selection
- High frequency trading
1. TransactionCosts, Frequent Trading, and Stock Prices. 2017, Journal of Financial Markets, forthcoming.
2. Slow-MovingCapital and Stock Returns. 2020. Quantitative Finance, 20, 969-984
3. Mean-Reverting Strategy in the Presence ofProportional Transaction Costs and Delays in Capital Allocations. 2018. Quantitative Finance, 18, 2051-2065
4. EquilibriumTheory of Stock Market Crashes. Journal of Economic Dynamics and Control,2015, 60, 73-94
5. StockMarket Crises, Background Risk and Liquidity Premium (with Rui Zhong). Quantitative Finance, 2015, 15, 79-90.
6. PortfolioChoice under Transitory Price Impact. 2ndplace prize for the “Best Paper in the Asset Allocation Symposium” categoryat European Finance Association meeting, Zurich, Switzerland, Journal ofEconomic Dynamics and Control. 2010, 34, 2375-2389
7. OptimalDynamic Trading Strategies with Risk Limits (with Domenico Cuoco and Hua He),(2002 FAME Research Prize for the best new research paper in the fields ofasset management and financial engineering, Geneva, Switzerland). OperationsResearch, 2008, 56, 358-368.
8. TheTerm Structure of Interest rate in an Economy where Investors haveHeterogeneous Recursive Preferences. The Quarterly Review of Economics andFinance, 2008, 48, 457-481.
9. Onthe Super-Replicating Approach when Trading a Derivative is limited. QuantitativeFinance, 2008,Vol. 8, No. 3, 285–297.
10. Dynamic Equilibrium with Overpriced PutOptions. Selected to top 10% of the papers at FMA conference 2006 in Utah. EconomicNotes, 2007, 36, 1-26.
11. Van der Waals interactions in cholesteric liquidcrystals. (With A.B.Harris). Phys. Rev. E, 61, 2000, 2777-2791
12. Quantum theory of chiral interactions in cholestericliquid crystals. (With A. B. Harris, and T. C.Lubensky). Phys. Rev. E 60, 1999, 578-591
13. Diamagneticsusceptibility of a weakly inhomogeneous degenerate electron gas: correctionsto the Landau value. (With Y. Lozovik and A. Oparin). Physics Letters A,Volume 192, issues 5-6, 1994, 397-400
14. Studies of grazingincidence reflection of nuclear γ–radiation from 57Fe film. (With A.I. Chumakov, S.I. Shinkarev). Physics LettersA, Volume 186, issue 4, 1994, 274-278