About

Leonid Kogan is the Nippon Telegraph and Telephone Professor of Management and a Professor of Finance at the MIT Sloan School of Management. He is also the faculty leader for the MFin degree program. His research interests include asset pricing theory, macro-finance, empirical asset pricing, and financial engineering. Kogan’s recent research has focused on the links between economic activity of firms and their stock price behavior, the effects of investor heterogeneity on aggregate asset prices, and the computational aspects of option pricing and portfolio choice. He has published extensively in leading academic journals and has received numerous professional awards for his work, including the Amundi Smith Breeden Prize, the Crowell Memorial Prize, and the NASDAQ Award from the Western Finance Association. Kogan holds advanced degrees in mechanics, applied mathematics, and finance from Moscow State University, Cornell University, and MIT, respectively.

Research topics

• Computer Science
• Business
• Economics
• Psychology
• Finance
• Computer Security
• Demographic economics
• Labour economics
• Mathematics
• Economic growth
• Law
• Financial economics

Selected publications

• DORADO: Dynamic Optimization of R&D Options

  SSRN Electronic Journal · 2026-01-01

  preprintOpen access
  PublisherDOI

• John C. Cox (1943–)

  2025-01-01

  book-chapter1st authorCorresponding
  PublisherDOI

• Soqotra, Mahra, and Dhofar

  2025-07-14

  bookSenior author
  PublisherDOI

• Studies in Tigre Etymology. Part One: From ሀ to ቨ

  Zeitschrift der Deutschen Morgenländischen Gesellschaft · 2025-01-01

  article1st authorCorresponding
  PublisherDOI

• Near-Rational Equilibria in Heterogeneous-Agent Models: A Verification Method

  Review of Financial Studies · 2025-05-03 · 1 citations

  articleOpen access1st authorCorresponding

  Abstract We propose a general simulation-based procedure for estimating the quality of approximate policies in heterogeneous-agent equilibrium models, which allows us to verify that such approximate solutions describe a near-rational equilibrium. Our procedure endows agents with superior knowledge of the future path of the economy, while imposing a suitable penalty for such foresight. The relaxed problem is more tractable than the original, and results in an upper bound on agents’ welfare. Our method applies to various solution algorithms. We illustrate our approach in two applications: the incomplete-markets model of Krusell and Smith (1998) and the heterogeneous firm model of Khan and Thomas (2008).

  PublisherOA PDFDOI

• Productivity Shocks and Inflation in Incomplete Markets

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access
  PublisherDOI

• Winners and Losers: Competition, Creative Destruction, and Labor Income Risk

  SSRN Electronic Journal · 2025-01-01

  preprintOpen access
  PublisherDOI

• Measuring “Dark Matter” in Asset Pricing Models

  The Journal of Finance · 2024-03-03 · 27 citations

  articleOpen accessSenior authorCorresponding

  ABSTRACT We formalize the concept of “dark matter” in asset pricing models by quantifying the additional informativeness of cross‐equation restrictions about fundamental dynamics. The dark‐matter measure captures the degree of fragility for models that are potentially misspecified and unstable: a large dark‐matter measure indicates that the model lacks internal refutability (weak power of optimal specification tests) and external validity (high overfitting tendency and poor out‐of‐sample fit). The measure can be computed at low cost even for complex dynamic structural models. To illustrate its applications, we provide quantitative examples applying the measure to (time‐varying) rare‐disaster risk and long‐run risk models.

  PublisherOA PDFDOI

• A Note on Additional Materials for “Fund Flows and Income Risk of Fund Managers”

  SSRN Electronic Journal · 2024-01-01 · 1 citations

  articleOpen access
  PublisherDOI

• Measuring Creative Destruction

  SSRN Electronic Journal · 2024-01-01 · 3 citations

  preprintOpen access
  PublisherDOI

Frequent coauthors

• Indrajit Mitra

  Federal Reserve Bank of Atlanta

  275 shared

• Mike Gallmeyer

  Financial Research (Hungary)

  225 shared

• Sydney C. Ludvigson

  225 shared

• Yukun Liu

  East China Normal University

  225 shared

• Andrea Tamoni

  Financial Research (Hungary)

  225 shared

• Jianjun Miao

  Boston University

  225 shared

• Francisco Palomino

  225 shared

• Haoxiang They

  Financial Research (Hungary)

  225 shared

Labs

• MIT Sloan Climate StrategyPI

Awards & honors

• 1998 Lehman Brothers Fellowship for Research Excellence in F…
• 2004 FAME Research Prize
• 2006 Smith-Breeden Prize
• 2007 Crowell Memorial Prize
• 2014 Amundi Smith Breeden Prize