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
stress testing; optimal design of experiments; central counterparties; data-driven decision-making
Crack Spreads, Flexible Production, Capacity Utilization, Refinery Market
credit default swaps, liquidity, market making, transaction costs
Markov Chain, Dependent transitions, Subordination, Reliability
managerial commitment, incomplete information, risk taking, mutual funds
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commitment, flows, mutual fund, portfolio
Option pricing, greeks, monte carlo simulation, american options
CCP, initial margin, risk management, variation margin
credit default swaps, dealers, intermediation costs, liquidity, OTC trading networks
time-varying capital gains taxation, tax-optimal rebalancing, tax revenue from realized capital gains
