VALERY POLKOVNICHENKO (October, 2016) Finance and Managerial Economics (SM31) University of Texas at Dallas 800 Campbell rd Richardson, TX 75080

Office: 972-883-5858 e-mail: [email protected] Personal Webpage

EDUCATION Northwestern University, J. L. Kellogg School of Management: PhD., Finance. Moscow Institute of Physics and Technology (MFTI), Department of Applied Mathematics. Diploma (with excellence), Applied Mathematics and Physics. EMPLOYMENT AND AFFILIATIONS School of Management, University of Texas at Dallas, 2013 - , Associate Professor (with tenure) Federal Reserve Board of Governors, Washington DC, 2011 - 2013, Economist School of Management, University of Texas at Dallas, 2006 - 2011, Assistant Professor Carlson School of Management, University of Minnesota, Assistant Professor RESEARCH INTERESTS Portfolio choice, asset pricing, macro-finance, heterogeneous agents, non-expected utility preferences PUBLICATIONS Approx. 750 cites (Google scholar) “Fiscal Policy in Incomplete Markets,” 2013, with Francisco Gomes and Alexander Michaelides, The Review of Financial Studies, 26(2), pp. 531-66 “Probability Weighting Functions Implied by Option Prices,” 2013, with Feng Zhao, Journal of Financial Economics, 107(3), pp. 580-609 “Risk attitude toward small and large bets in the presence of background risk,” 2011, with David Chapman, The Review of Finance, 15(4), pp. 909-27 “Individual Investor Portfolios,” 2010, in H. Kent Baker and John Nofsinger (eds.) Behavioral Finance (Robert W. Kolb Series in Finance), John Wiley & Sons, Inc. Hoboken, NJ “Optimal Savings with Taxable and Tax-Deferred Accounts,” 2009, with Francisco Gomes and Alexander Michaelides, Review of Economic Dynamics, 12(4), pp. 718-35. Reprinted in: Michael Haliassos (Ed.) “Household finance”, Volume I, The International Library of Critical Writings in Economics series, Edward Elgar Publishing (2015) “First Order Risk Aversion, Preferences Heterogeneity and Asset Markets Outcomes,” 2009, with David Chapman, The Journal of Finance, 64(4), pp. 1863-87 “Life Cycle Portfolio Choice with Additive Habit Formation Preferences and Uninsurable Income Risk,” 2007, The Review of Financial Studies, 20(1), pp. 83-124 “Household Portfolio Diversification: A Case for Rank-Dependent Preferences,” 2005, The Review of Financial Studies, 18(4), pp. 1467-1502. Reprinted in: Michael Haliassos (Ed.) “Household finance”, Volume II, The International Library of Critical Writings in Economics series, Edward Elgar Publishing (2015) “Limited Stock Market Participation and the Equity Premium,” 2004, Finance Research Letters (inaugural issue), 1(1), pp. 24-34 “Human Capital and the Private Equity Premium,” 2003, Review of Economic Dynamics, 6(4), pp. 831-845 WORKING PAPERS “Cautious Risk-Takers: Investor Preferences and Demand for Active Management,” 2016, with Kelsey Wei and Feng Zhao, revision requested, (Winner: Best Paper award at the 2013 FMA Asia conference in Shanghai) “Dynamics of Frim Saving and Investment with Temporary and Persistent Shocks,” 2016, with Seong Byun and Michael Rebello, submitted “Ambiguity Aversion and Tests of Asset Pricing Models: A Portfolio Choice Persepective,” 2016, with Grace Wang

“Quantifying the Distortionary Fiscal Cost of ‘The Bailout’,” with Francisco Gomes and Alexander Michaelides “Ambiguity Aversion and the Arbitrage Pricing Theory” “Downside Consumption Risk and Expected Returns” WORK IN PROGRESS “Distress Risk Puzzles and Upside-Seeking Preferences’,’ with Fneg Zhao and Bin Wei “Quantitative analysis of economies with heterogeneous agents and investment adjustment costs,” with Francisco Gomes and Alexander Michaelides RESEARCH PRESENTATIONS/DISCUSSIONS (∗ - marks conference presentations by co-author, seminars own presentations only) 2016 EFA, University of Illinois at Chicago 2015 AFA, Lone Star Finance Conference (discussant), McGill University 2014 Mitsui finance symposium at the University of Michigan, FIRS annual meeting (Ottawa, Canada)∗ , NBER Summer Institute (Capital Markets and the Economy workshop), Investment management conference at Erasmus University (Rotterdam, Netherlands)∗ 2013 American University, University of Houston, Temple University, FMA Asia conference∗ , System Committee on International Economic Analysis (discussant), University of Oregon Mutual Funds Conference, University of St. Gallen 2012 ECB International Forum on Monetary Policy (Discussant), NBER Summer Institute (Capital Markets and the Economy workshop, discussant), Federal Reserve Board, Lone Star Finance Conference, University of Delaware 2011 AEA∗ , University of Oregon, Federal Reserve Board of Governors, University of Arkansas, GWU/IMF Behavioral Finance conference 2010 FMA annual meetings∗ , Miami Inaugural Conference in Behavioral Finance, UBC winter conference (discussant), SUNY at Buffalo, Georgia State, Western Finance Association, China International Finance conference∗ , Lone Star Finance Conference (discussant) 2009 London School of Economics conference “Housing and the Macroeconomy” (discussant), Lone Star Finance Conference (discussant), Indiana University 2008 American Economic Association (presentation∗ , discussion), Financial Management Association (discussant), Midwest Macroeconomic Conference, NBER Summer Institute (Capital Markets and the Economy workshop) 2007 Federal Reserve Bank of Chicago, Western Finance Association (discussant, 2 papers), Lone Star Finance Conference, NBER Summer Institute (Capital Markets and the Economy workshop, discussant), Georgia State, Society for Economic Dynamics Conference∗ , Society for Advancement of Economic Theory Conference∗ , University of British Columbia SERVICE – – – – – – – – – – –

Chair, recruiting committee (2014-2015, 2015-2016) Third year junior faculty review, committee member (2014-2015, 2016-2017) Seminar Coordinator (2000-2003, 2010-2011) Recruiting Committee member (2007-2011) Organizer of the Lone Star Finance Conference at UTD (2008) Conference committee (department representative), Lone Star Conference (2009, 2010) Conference committee (session organizer), FMA (2007) PhD Admissions (2000, 2001, 2002, 2008, 2009, 2010) PhD Preliminary Exam Committee (2000-2005, 2007-2010, 2014-16) Search Committee for Asset Pricing Chair (2000-2001, 2001-2002) Research Computing (2000-2001)

STUDENTS SUPERVISION, JOINT RESEARCH, AND OTHER COMMITTEE SERVICE – Hui (Grace) Wang, supervisor, joint research project, UTD Finance PhD candidate – Seong-Kyu Byun, joint research project, UTD Finance PhD 2014 – Yihua Zhao, committee member, UTD Finance PhD 2013 – Cathy Cao, committee member, UTD Finance PhD 2010 – Yiyu Shen, committee member, UTD Finance PhD 2007 – Jim Gunderson, co-adviser, UMN Finance PhD 2004 – Alexei Serednyakov, co-adviser, UMN Finance PhD 2006 – Igor Kojanov, committee member, UMN Finance PhD 2007 – External PhD exam chair: Hui Ma, Cathy Qun Xu (Computer Science, UTD), External Committee Member Economics Department, UMN: Thorsten Koehpl, Aleh Tsyvinski, Mikhail Golosov, Patrick Leoni, Alexander Uberfeldt, Sami Alpanda, Alexiy Krivtzov, Oksana Lekhina, Tetyana Dubovuk, Stanley Cho, Vadim Lepetyuk.

TEACHING UTD Scale (0-5): 5 “Excellent”, 4 “Very Good”, 3 “Good”, 2 “Fair”, 1 “Poor”, 0 “Very Poor”)

Investment Management, MSF Graduate (4.6, 4.9, 4.4, 4.4, 4.1, 4.1, 4.0, 4.5, 3.8, 4.2, 4.0) Introductory Mathematical Finance, MSF Graduate (4.5, 5.0, 4.5) Financial Management, MSF Graduate (4.3, 4.3) Investment Management, Undergraduate, (3.7 , 3.5, 3.8, 4.1, 3.5) REFEREEING/REVIEWING American Economic Review, Annals of Finance, Contemporary Economic Policy, Economic Journal, Economica, European Economic Review, Finance Research Letters, Journal of Business and Economic Statistics, Journal of Economic Dynamics and Control, Journal of Finance, Journal of Money Credit and Banking, Journal of Political Economy, Management Science, Mathematical Finance, National Science Foundation, Quarterly Review of Economics and Finance, Quantitative Finance, Review of Economic Dynamics, Review of Economic Studies, Review of Economics and Statistics, Review of Financial Studies, Review of Asset Pricing Studies, Review of Finance, Sage Publications. HONORS, AWARDS and GRANTS – Best paper award, 2013 FMA Asia conference in Shanghai – UBS Pensions Research Program Visiting scholar, Financial Markets Group, London School of Economics, June 2003, June 2004. – McKnight Foundation Business and Economics Research Grant (competitive grants awarded in the summers of 2002, 2003, 2004, 2005). – WFA conference Kenneth Trefftz Award for best doctoral student paper, 1999 (with Ilan Kremer). – Dean’s Fellowship, Kellogg Graduate School of Management, 1998. – Finance Department Fellowship, Kellogg Graduate School of Management, 1998. – Northwestern University Graduate Scholarship, 1995-1999. – Diploma with excellence (cum laude), Moscow Institute of Physics and Technology (MFTI), 1995. – Pew Foundation Visiting Fellowship, Russian Research Center, Harvard University, 1993