100 Institute Road
Worcester, MA 01609
United States
Worcester Polytechnic Institute
portfolio choice, consumption, incomplete markets, power utility
hedge funds, portfolio choice, high-water marks, performance fees, management fees
portfolio choice, commodities, filtering, intertemporal hedging, long-run
optimal taxation, principal-agent, heterogeneous skill
Hedge Funds, Portfolio Choice, Performance Fees, High-Water Marks, Stochastic Benchmark
Quantile hedging, Model Uncertainty, Semi-static Hedging, Neyman-Pearson Lemma
portfolio choice, consumption, stochastic interest rate, incomplete market, power utility
Mutual Funds, Portfolio Choice, Relative Performance, Fund Flows, Equilibrium
Barrier strategy, Free boundary, Hamilton-Jacobi-Bellman equation, Quasi-variational inequalities, Reflected stochastic differential equations