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Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
We analyze and implement the kernel ridge regression (KR) method developed in Filipovic et al. (Stripping the discount curve-a robust machine learning approach. Swiss Finance Institute Research Paper No. 22-24. SSRN. https://ssrn.com/abstract=4058150, 2022 ...
We present a non-parametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is eas ...
We present a nonparametric method to estimate the discount curve from market quotes based on the Moore-Penrose pseudoinverse. The discount curve reproduces the market quotes perfectly, has maximal smoothness, and is given in closed-form. The method is easy ...
Discount is the difference between the face value of a bond and its present value. We propose an arbitrage-free dynamic framework for discount models, which provides an alternative to the Heath-Jarrow-Morton framework for forward rates. We derive general c ...
While Reinforcement Learning (RL) aims to train an agent from a reward function in a given environment, Inverse Reinforcement Learning (IRL) seeks to recover the reward function from observing an expert’s behavior. It is well known that, in general, variou ...
Reward timing, that is, the delay after which reward is delivered following an action is known to strongly influence reinforcement learning. Here, we asked if reward timing could also modulate how people learn and consolidate new motor skills. In 60 health ...
Central to global agreement on carbon emissions are strategic interactions amongst regions over abatement policy and the benefits to be shared. These are re-examined in this paper, in which benefits from mitigation stem from a meta-analysis that links carb ...
This thesis addresses the question of a patent value from three different angles. It comprises three papers on the patent valuation methods. The patent valuation issues are well-known to the world of research and practice. However, the debates over what th ...
When humans or animals perform an action that led to a desired outcome, they show a tendency to repeat it. The mechanisms underlying learning from past experience and adapting future behavior are still not fully understood. In this thesis, I study how huma ...
