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Assets and Liabilities Portfolios, Minimum-Variance Frontiers, Dynamic Programming, Markowitz Model

Dynamic Porfolio Choice, Stochastic Correlation, Intertemporal Hedging

Stochastic Correlation and Volatility, Hedge Fund Performance, Optimal Portfolio Choice

Value-at-Risk, Stochastic Opportunity Set, Regulatory Policy, Dynamic Financial Equilibria, Perturbation Theory

M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

G1, G11, G12

Financial equilibria, knightian uncertainty, model misspecification, robust decision making

Affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve models

affine jump-diffusions, matrix subordinator, stochastic volatility, stochastic correlations, option pricing, portfolio choice, yield curve modeling

Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models, Model confidence set approach

Hamilton-Jacobi Bellman Equations, Model Misspecification, Perturbation Theory, Robust Decision Making

Transaction Costs, Portfolio Matching, Portfolio Selection

Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

Assets and Liabilities, Mean-Variance Frontiers, Markowitz Model, Endogenous Liabilities, Grassmann Algebra

Credit Risk, Credit Spreads, Heterogeneous Beliefs, Uncertainty

Conditional mean and volatility estimation, Filtered Historical Simulation, Functional Gradient Descent, Term structure, Multivariate CCC-GARCH models

Ambiguity, Financial Equilibria, Knightian Uncertainty, Model Misspecification, Perturbation Theory, Robust Decision Making

Nonlinear AR-GARCH models, Threshold tree structured models, multiple regimes models

Efficient Method of Moments, Indirect Inference, Influence Function, Robust Estimation, Robust Statistics

Option Pricing, Stochastic Volatility, Stochastic Leverage, Short and Long Run Volatility Risk, Matrix Affine Jump Diffusions

Hamilton-Jacobi-Bellman equations, Higher Order Asymptotic Policies

C68, G12, G13

General Equilibrium, Term Structure of Interest Rates, Ambiguity Aversion, Expectations Hypothesis, Campbell-Shiller Regression

Asset Pricing, General Equilibrium, Model Misspecification, Knightian Uncertainty, First Order Risk Aversion

Ambiguity Aversion, Knightian Uncertainty, Robust Econometrics, Portfolio Choice, Option Pricing

Robust Tests, Generalized Method of Moment, Structural Breaks, Monte Carlo, Bootstrap

General Equilibrium, Event Risk, Learning

Multivariate GARCH models, Dynamic conditional correlations, Tree-structured GARCH models

Time series models, M-estimators, influence function, robust estimation and testing

Subsampling, bootstrap, breakdown point, robustness, time series

General equilibrium, ambiguity, term structure, interest rate derivatives

Subsampling, bootstrap, breakdown point, robustness

Predictability, Present-value models, Predictive regression, Persistence, Term structure of risk

variance, risk, median preserving spread, Hansen-Jagannathan bounds

Option Pricing, Stochastic Volatility, Short and Long Term Volatility Risk, Stochastic Leverage, Wishart Diffusion

predictability, predictive regression, present-value model, state-space model, bootstrap, likelihood ratio test

conditional mean and variance estimation, filtered historical simulation, functional gradient descent, multivariate CCC-GARCH models, term structure

Conditional mean and variance estimation, Filtered Historical Simulation, Functional

general equilibrium, event risk, disaster premia, credit-spread

M-estimator, Extreme Value Theory, Breakdown Point, Backtesting

Asset Pricing, General Equilibrium, Model Misspecification, Recursive Multiple Priors Utility, Locally Constrained Entropy

Dffusion processes, Eigen expansion, Influence Function, Infinitesimal Generator, M-Estimators, Saddle-point Approximation

Hamilton-Jacobi-Bellman equations, higher order asymptotic policies, Merton model, partial equilibrium, perturbation theory

Predictive Regression, Stock Return Predictability, Bootstrap, Subsampling, Robustness

Ambiguity Aversion, Knightian Uncertainty, Robust Econometrics, Portfolio Choice, Option Pricing

Merton's model, Knightian uncertainty, Model contamination, Model misspecification, Robust decision-making

Dual Likelihood, Empirical Likelihood, Generalized Method of Moments, Higher Order Asymptotics, Moment Condition Models, Relative Errors, Saddlepoint Approximations