Faculty Profile

Paul Ehling

Professor - Department of Finance


Paul Ehling is a professor of finance at BI Norwegian Business School in Oslo, Norway. Before joining BI in 2005, he served on the faculty of the Pennsylvania State University. He received a PhD in Finance from HEC Lausanne and FAME in December 2003. Ehling has consulted on corporate risk management, interest rate risk management, risk capital, valuation of derivatives for several corporations and worked for a consultancy firm.

My SSRN webpage: https://papers.ssrn.com/sol3/cf_dev/AbsByAuth.cfm?per_id=327263

Teaching areas
Asset Pricing Theory (PhD) and Derivatives (MSc)


Ehling, Paul; Gallmeyer, Michael, Heyerdahl-Larsen, Christian & Illeditsch, Philipp (2018)

Disagreement about Inflation and the Yield Curve

Journal of Financial Economics, 127, s. 459- 484. Doi: 10.1016/j.jfineco.2018.01.001

Ehling, Paul; Gallmeyer, Michael, Srivastava, Sanjay, Tompaidis, Stathis & Yang, Chunyu (2018)

Portfolio Tax Trading with Carryover Losses

Management science, 64(9), s. 4157- 4176. Doi: 10.1287/mnsc.2017.2733 - Fulltekst i vitenarkiv

We study portfolio choice with multiple stocks and capital gain taxation assuming that capital losses can only offset current or future realized capital gains. We show, through backtesting using empirical distributions, that optimal equity holdings over an extended period are significantly lower on average than benchmark holdings suggested in the literature. Using Value and Growth or Small and Large portfolios, the backtests show that allocations remain persistently under-diversified. Carry-over losses have large economic significance since they can dramatically shrink the no-trade region. Finally, the backtested economic cost of incorrectly modeling capital losses is at least 8 percent of lifetime wealth.

Ehling, Paul; Graniero, Alessandro & Heyerdahl-Larsen, Christian (2018)

Asset prices and portfolio choice with learning from experience

The Review of Economic Studies, 85(3), s. 1752- 1780. Doi: 10.1093/restud/rdx077

We study asset prices and portfolio choice with overlapping generations, where the young disregard history to learn from own experience. Disregarding history implies less precise estimates of output growth, which in equilibrium leads the young to increase their investment in risky assets after positive returns, that is, they act as trend chasers. In equilibrium, the risk premium decreases after a positive shock and, therefore, trend chasing young agents lose wealth relative to old agents who behave as contrarians. Consistent with findings from survey data, the average belief about the risk premium in the economy relates negatively to future excess returns and is smoother than the true risk premium.

Ehling, Paul & Heyerdahl-Larsen, Christian (2017)


Management science, 63(6), s. 1919- 1937. Doi: 10.1287/mnsc.2015.2413

Ehling, Paul & Heyerdahl-Larsen, Christian (2015)

Complete and incomplete financial markets in multi-good economies

Journal of Economic Theory, 160, s. 438- 462. Doi: 10.1016/j.jet.2015.10.006

Aunon-Nerin, Daniel & Ehling, Paul (2008)

Why firms purchase property insurance

Journal of Financial Economics, 90(3), s. 298- 312. Doi: 10.1016/j.jfineco.2008.01.003

Ehling, Paul & Ramos, Sofia B. (2006)

Geographic versus industry diversification: Constraints matter

Journal of Empirical Finance, 13(4/5), s. 396- 416.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2016)

Portfolio Tax Trading with Carry-Over Losses

[Academic lecture]. Academic Seminar.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2015)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Academic lecture]. American Finance Association Annual Meeting 2015.

Yang, Chunyu; Ehling, Paul, Tompaidis, Stathis, Gallmeyer, Michael & Srivastava, Sanjay (2014)

Portfolio Choice with Capital Gain Taxation and the Limited Use of Losses

[Academic lecture]. Young Scholars Nordic Finance Workshop.

Xiouros, Costas; Ehling, Paul, Cooper, Ilan & Zhanhui, Chen (2013)

Risk Aversion Sensitive Real Business Cycles

[Academic lecture]. World Finance Conference.

Ehling, Paul (2010)

Some Like it Safe: Agency and Corporate Purchase of Insurance

[Academic lecture]. European Finance Association Annual Meeting.

Ehling, Paul (2009)

Risk Management with Cash and Insurance in Non-Listed Firms

[Academic lecture]. European Winter Finance Summit 2009.

Academic Degrees
Year Academic Department Degree
2003 HEC Lausanne Ph.D.
1998 University of Basel Master of Science
1996 University of Basel B.S.
Work Experience
Year Employer Job Title
2018 - Present BI Norwegian Business School Professor of Finance
2005 - 2017 BI Norwegian Business School Associate Professor of Finance
2004 - 2005 Penn State Visiting Assistant Professor of Finance