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 ...
Technology supporting meditation is a multimillion-dollar market that continues to grow. There is also strong academic interest to understand and improve the impact technology can have for the user experience of practitioners. However, little work investig ...
This thesis investigates the relationship between investors' demand shocks and asset prices
through the use of data on portfolio holdings. In three chapters, I study the theory, estimation,
and application of demand-based asset pricing models, which incorp ...
This dataset complements the article "Frequency regulation with storage: On losses and profits" by Dirk Lauinger, François Vuille, and Daniel Kuhn, available at https://arxiv.org/abs/2306.02987. The dataset contains the following files: 1.
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
A multi-agent system consists of a collection of decision-making or learning agents subjected to streaming observations from some real-world phenomenon. The goal of the system is to solve some global learning or optimization problem in a distributed or dec ...
We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
Classical theory asserts that the formation of prices is the result of aggregated decisions of
economics agent such as households or corporation. However central banks are very important
agents that have often been neglected in asset pricing models. Centra ...
This thesis focuses on non-parametric covariance estimation for random surfaces, i.e.~functional data on a two-dimensional domain. Non-parametric covariance estimation lies at the heart of functional data analysis, and
considerations of statistical and com ...
