Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information

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Zoning reform is a crucial tool for cities to adapt to contemporary challenges. However, its implementation remains challenging. Property owners, with a vested interest in the value of their neighborhoods, are sensitive to local developments and the potent ...

Throughout history, the pace of knowledge and information sharing has evolved into an unthinkable speed and media. At the end of the XVII century, in Europe, the ideas that would shape the "Age of Enlightenment" were slowly being developed in coffeehouses, ...

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

We conduct two survey experiments to study which information people choose to consume and how it affects their beliefs. In the first experiment, respondents choose between optimistic and pessimistic article headlines related to the COVID-19 pandemic and ar ...

While momentum-based accelerated variants of stochastic gradient descent (SGD) are widely used when training machine learning models, there is little theoretical understanding on the generalization error of such methods. In this work, we first show that th ...

We study the effects of takeover feasibility on asset prices and returns in a unified framework. We show theoretically that takeover protections increase equity risk, stock returns, and bond yields by removing a valuable put option to sell the firm, notabl ...

In this work, we investigate the effect of momentum on the optimisation trajectory of gradient descent. We leverage a continuous-time approach in the analysis of momentum gradient descent with step size

\gamma

and momentum parameter

\beta

that allows u ...

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 ...

Curiosity refers to the intrinsic desire of humans and animals to explore the unknown, even when there is no apparent reason to do so. Thus far, no single, widely accepted definition or framework for curiosity has emerged, but there is growing consensus th ...

In this thesis we present three closed form approximation methods for portfolio valuation and risk management. The first chapter is titled ``Kernel methods for portfolio valuation and risk management'', and is a joint work with Damir Filipovi'c (SFI and ...

Collaborative learning algorithms, such as distributed SGD (or D-SGD), are prone to faulty machines that may deviate from their prescribed algorithm because of software or hardware bugs, poisoned data or malicious behaviors. While many solutions have been ...

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

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 uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices. The first chapter, entitled Market Expectations and the Impact of Unconv ...

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 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 ...

Strategic information is valuable either by remaining private (for instance if it is sensitive) or, on the other hand, by being used publicly to increase some utility. These two objectives are antagonistic and leaking this information by taking full advant ...

We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time-varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' uti ...

In this thesis, timing is everything. In the first part, we mean this literally, as we tackle systems that encode information using timing alone. In the second part, we adopt the standard, metaphoric interpretation of this saying and show the importance of ...

Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information

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Spatial Modeling for Building Design Evaluation: from Visual Landscape Quality Assessment to Devaluation Risk Estimation

Machine Learning for Modeling Stock Returns

Portfolio Construction with Hierarchical Momentum

Biases in Information Selection and Processing: Survey Evidence from the Pandemic

On the Generalization of Stochastic Gradient Descent with Momentum

Takeover Protections and Asset Prices

Leveraging Continuous Time to Understand Momentum When Training Diagonal Linear Networks

Demand-based Asset Pricing: Theory, Estimation and Applications

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Curiosity-driven exploration: foundations in neuroscience and computational modeling

Closed form approximation methods for portfolio valuation and risk management

Robust Collaborative Learning with Linear Gradient Overhead

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

Asset Pricing and Monetary Policy

Essays in Monetary Policy and Asset Pricing

Essays in Empirical Asset Pricing

Illiquidity and Higher Cumulants

Utility/privacy trade-off as regularized optimal transport

Heterogeneity in decentralized asset markets

Timing is Everything