595 Commonwealth Avenue
Boston, MA 02215
United States
Boston University
SSRN RANKINGS
in Total Papers Downloads
in Total Papers Citations
Contingent claims, high peak, heavy tails, interest rate models, rational expectation, overreaction and underreaction
portfolio selection, portfolio management, goal investing, mean-variance, prospect theory
stable coins, fixed income crypto assets, leveraged return crypto assets, smart contracts
Markov chains, Large order execution, Electricity trading/production, Partitioning, Quadratic stochastic programming
portfolio choices, stochastic volatility, time-varying mean returns, risk aversion recovery
cumulative prospect theory, portfolio selection, hedge funds, managerial incentive, first-loss scheme
Regime-Switching Markov Models; Continuous-Time Markov Chains; First Passage Times; Time Integrals; Generalized Phase-Type Distributions; EM Algorithm
Credit ratings, Structured finance, Dodd-Frank, Axiomatic characterization
Industry Equilibrium, Bitcoin Mining, Electricity Consumption, Climate Damages
Non-Concave Utility, Portfolio Constraints, Discontinuous Viscosity Solution
Cryptocurrency, bitcoin mining, jump risk, transaction fees, inventory
robo-advising, mean-variance, asset allocation
financial regulation, capital requirements, risk measure, scenario analysis, robustness, value-at-risk, expected shortfall, tail conditional expectation
biotechnology and internet stocks, asset pricing, birth-death process, convergence rate, power-type distribution, regression.
daily rebalancing, leveraged ETFs, market closure, frictions
dynamic pricing, business models, dynamic game, Markov perfect equilibrium, structural properties
comonotonic independence, Choquet integral, elicitability, robustness, model uncertainty, value-at-risk, median shortfall, backtest
prediction markets, public opinion polls, information aggregation
quantiles, median, portfolio selection, intra-persional equilibrium, portfolio insurance
Optimal order execution, order routing, dynamic programming
Dual-purpose Funds, Feynman-Kac Representation, Linear Thermoelasticity, Nonlocal Problems, Parabolic PDEs
EM algorithm, stochastic control, recursive model, dynamic programming, monopoly pricing, real business cycle, numerical methods, stochastic approximation
Cryptocurrencies, Jump diffusion models, Bayesian analysis, Asymmetric Laplace distribution
relative errors, importance sampling, geometric $\alpha$-mixing, order statistics, estimation time.
contract design, performance fees, first-loss, liquidation boundary
income inequality, top incomes, Gini coefficient, weighted expected utility theory
Exhaustible Resources, Exploration, Production Adjustment Costs
Hidden orders, limit order markets, market liquidity
rare-event simulation, importance sampling, latent Markov processes
