Austin, TX 78712
United States
University of Texas at Austin - McCombs School of Business
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Volume Weighted Average Price, Algorithmic Trading, Trading Volume, Trading Costs, Dynamic Programming
portfolio choice, capital gain taxation, limited use of capital losses, carry-over losses
energy derivatives, pricing theory
Portfolio Choice, Capital Gain Taxation, Short Sales
debt pricing, default spreads, agency cost, market imperfections, contracting environment
Conditional correlation, Roll's R2, Value-at-Risk
Taxes, Multiple Assets, Short Sales, Capital Gains, Portfolio Selection, CRRA, Shorting the box
Asset selection, under-diversification, labor income, financial constraints, household portfolios
Asset Selection, Under-Diversification, Labor Income, Financial Constraints, Household Portfolios
Crack Spreads, Flexible Production, Capacity Utilization, Refinery Market
stress testing; optimal design of experiments; central counterparties; data-driven decision-making
Markov Chain, Dependent transitions, Subordination, Reliability
managerial commitment, incomplete information, risk taking, mutual funds
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commitment, flows, mutual fund, portfolio
credit default swaps, liquidity, market making, transaction costs
time-varying capital gains taxation, tax-optimal rebalancing, tax collection from realized capital gains
Option pricing, greeks, monte carlo simulation, american options
CCP, initial margin, risk management, variation margin
