Explores dynamic portfolio choice with time-varying opportunities and transaction costs, providing optimal strategies and empirical insights.
Explores factor models in finance, covering mean-variance portfolios, size and value anomalies, and momentum strategies.
Explores Mean-Variance Utility, optimal portfolio choice, diversification benefits, efficient frontiers, and risk-free assets in portfolio optimization.
Explores dynamic portfolio selection, log-utility functions, risk aversion, and optimal control problems in financial markets.
Provides an in-depth analysis of factor investing, including value and growth stocks, small and big stocks, and the momentum anomaly.
Covers the Capital Asset Pricing Model, estimating betas, empirical evidence on returns versus beta, short-sale constraints, and optimal portfolio choice.
