Rational asset pricing bubbles and portfolio constraints

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The first two chapters develop ML-based models that generate conditional SDF estimates efficiently using conditioning information sets, resulting in minimal pricing errors and superior Sharpe ratios compared to traditional conditional asset pricing models. ...

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 ...

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. ...

We present Deep MinCut (DMC), an unsupervised approach to learn node embeddings for graph -structured data. It derives node representations based on their membership in communities. As such, the embeddings directly provide insights into the graph structure ...

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 ...

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 ...

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 ...

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 ...

A previous study of the effect of Gadolinium doping on the dynamic polarization (DNP) of C-13 using trityls showed that the rate at which the polarization builds up is almost independent of the Gadolinium concentration, while the electron spin-lattice rela ...

The refinement and thermal stability of intermediate theta-prime (theta') precipitates are critical in the development of new high strength 2xxx series aluminium-copper (Al-Cu) alloys for high temperature applications. In this work, we use trace additions ...

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 analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

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 ...

Graphitic carbon nitride, g-C3N4, have been receiving intense attention the last decades due to its unique physicochemical properties, and even more importantly, due to the visible light driven photoreactivity. Hence, the design and synthesis of novel phot ...

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

We investigate the presence of a surface species for the active pharmaceutical ingredient (API) AZD9496 with dynamic nuclear polarization surface enhanced nuclear spectroscopy (DNP SENS). We show that using DNP we can elucidate the presence of an amorphous ...

We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financia ...

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a switching cost. In ...

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 ...

Rational asset pricing bubbles and portfolio constraints

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Machine Learning Applications to Conditional Asset Pricing: Attention, CNNs, and Neural Tangent Kernels

Demand-based Asset Pricing: Theory, Estimation and Applications

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Interactions of Cavitation Bubbles with Deformable Interfaces

Deep MinCut: Learning Node Embeddings by Detecting Communities

Essays in Empirical Asset Pricing

An analytical solution of the isentropic vortex problem in the special relativistic magnetohydrodynamics

Optimal Matching of Random Parts

Dynamics of cavitation bubbles near granular boundaries

Direct measurement of the triple spin flip rate in dynamic nuclear polarization

Coupled segregation mechanisms of Sc, Zr and Mn at theta ' interfaces enhances the strength and thermal stability of Al-Cu alloys

COVID-19: data-driven dynamic asset allocation in times of pandemic

Essays on the Market Structure and Pricing of Credit Derivatives

Essays in Banking and Financial Regulation

Coupling electrocoagulation and solar photocatalysis for electro- and photo-catalytic removal of carmoisine by Ag/graphitic carbon nitride: Optimization by process modeling and kinetic studies

Robust Growth-Optimal Portfolios

High Sensitivity Detection of a Solubility Limiting Surface Transformation of Drug Particles by DNP SENS

International portfolios: A comparison of solution methods

Optimal expulsion and optimal confinement of a Brownian particle with a switching cost

Liquidity regimes and optimal dynamic asset allocation