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Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
portfolio selection, portfolio management, goal investing, mean-variance, prospect theory
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
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cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first‐loss scheme
portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery
Regime-Switching Markov Models; Continuous-Time Markov Chains; First Passage Times; Time Integrals; Generalized Phase-Type Distributions; EM Algorithm
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
Credit ratings, Structured finance, Dodd-Frank, Axiomatic characterization
robo-advising, mean-variance, asset allocation
dynamic pricing, business models, dynamic game, Markov perfect equilibrium, structural properties
Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution
Optimal order execution, order routing, dynamic programming
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
stable coins, fixed income crypto assets, leveraged return crypto assets, smart contracts
prediction markets, public opinion polls, information aggregation
Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory
quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
income inequality, top incomes, Gini coefficient, weighted expected utility theory
Exhaustible Resources, Exploration, Production Adjustment Costs
daily rebalancing, leveraged ETFs, market closure, frictions
relative errors, importance sampling, geometric $\alpha$-mixing, order statistics, estimation time.
contract design, performance fees, first-loss, liquidation boundary
