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This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...
This paper provides a coherent method for scenario aggregation addressing model uncertainty. It is based on divergence minimization from a reference probability measure subject to scenario constraints. An example from regulatory practice motivates the defi ...
The paper adds to the literature on the barriers to innovation in two ways. First, we assess comparatively what mostly constrains firms' ability to translate investment in innovation activity into new products and processes, whether it is mainly finance, a ...
We model the financing, cash holdings, and hedging policies of a firm facing financing frictions and subject to permanent and transitory cash flow shocks. The permanent and transitory shocks generate distinct, sometimes opposite, effects on corporate polic ...
The aim of this note is to show that the classical results in finance theory for pricing of derivatives, given by making use of the replication principle, can be extended to the noncommutative world. We believe that this could be of interest in quantum pro ...
Venture debt lending is a form of start-up financing that lies at the intersection of venture capital and traditional debt. We analyze the lending decision criteria of 55 senior U.S. venture debt lenders (VDLs) using a discrete choice experiment in order t ...
We use a fairly general framework to analyze a rich variety of financial optimization models presented in the literature, with emphasis on contributions included in this volume and a related special issue of OR Spectrum. We do not aim at providing readers ...
The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...
We use a strategic household survey to study the sensitivity of intended homeownership decisions to financing constraints. We find that the average stated likelihood of buying a home is strongly sensitive to the size of the required down payment, which we ...
Supply chain finance and working capital management are important avenues to reduce supply chain costs. Small suppliers may not have sufficient working capital to finance their operations and efficiently supply their customers. We develop a model that capt ...
