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 ...
Cavitation is a topic that has long been of interest due to the large and growing range of applications associated with it. This is mainly because the collapse of cavitation bubbles releases a considerable amount of energy into the surrounding environment. ...
This thesis consists of three applications of machine learning techniques to empirical asset pricing.
In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
We study the dynamics of a cavitation bubble near beds of sand of different grain sizes. We use high-speed imaging to observe the motion of the bubble and the sand for different values of the stand-off parameter gamma (dimensionless bubble-boundary distanc ...
The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures.The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...
We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...
This paper examines the minimization of the cost for an expected random production output, given an assembly of finished goods from two random inputs, matched in two categories. We describe the optimal input portfolio, first using the standard normal appro ...
A popular method to induce synthetic propulsion at the microscale is to use the forces created by surface-produced gas bubbles inside the asymmetric body of a catalytic swimmer (referred to in the literature as microrocket). Gas bubbles nucleate and grow w ...
The isentropic vortex problem is frequently solved to test the accuracy of numerical methods and verify corresponding code. Unfortunately, its existing solution was derived in the relativistic magnetohydrodynamics by numerically solving an ordinary differe ...
