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Milano, MI 20136
Bocconi University - Department of Finance
Discrete dividends, additional risk, incomplete markets, mean variance hedging, local risk minimizing
arbitrage, viability, linear pricing rules, optimal portfolio-consumption problems, marginal utility of wealth, envelope theorem
Investment under uncertainty
Transacation Costs, Linear Programming, arbitrage, bid-ask prices, linear programming, effective securities, efficient trading strategies
Investment under uncertainty, optimal stopping, change of numeraire, perpetual American put, double continuation region
dynamic asset allocation, defaultable asset, Sharpe-ratio uncertainty, levered non-myopic speculation, the Constant Elasticity of Variance (CEV) model
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dynamic asset allocation, irreversible regime change, jump‐to‐default risk, return predictability, time‐varying hedging portfolio
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