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Boston University - Department of Finance & Economics
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Life cycle finance, portfolio choice, pension, consumption, leisure
Asset Allocation, Hedge Funds, Performance Measurement, Market Timing, Market Price of Risk
Asset pricing puzzles, regime-dependent preferences, incomplete information, equity premium, riskless rate, equity volatility, term structure, bond volatility, dividend strips, implied recession probability, recession detection
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American capped option, optimal stopping, geometric Brownian motion, free-boundary problem, local time, integral equation
Stochastic Volatility, VIX, Generalized 3/2 and 1/2 Models, Generalized Mixture Models, American Options, Exercise Premium, Exercise Boundaries, Integral Equations, Local Time
Lifecycle finance, consumption, labor, portfolio, hedging, wealth, pension plan, target-date-funds, dynamic analysis
American options, early exercise premium, European options, hedging, optimal exercise, stochastic volatility, viability
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