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 ...
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 ...
Security system designers favor worst-case security metrics, such as those derived from differential privacy (DP), due to the strong guarantees they provide. On the downside, these guarantees result in a high penalty on the system's performance. In this pa ...
This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises.The first chapter shows that financial recessions are typically characterised by a large ...
The cavity method is one of the cornerstones of the statistical physics of disordered systems such as spin glasses and other complex systems. It is able to analytically and asymptotically exactly describe the equilibrium properties of a broad range of mode ...
This paper analyses the effects of quantitative easing (QE) on households' income and consumption inequality in the Euro Area. Using a SVAR with high frequency identification, I show that an identified QE shock is redistributive and expansionary. To ration ...
Lakes are a fundamental feature of nature with brilliance, profoundness and complexity. Various of physical, chemical and biological changes take place three dimensionally in deep lakes, regulated by complicated boundary conditions. To understand and predi ...
