This article reviews recent scientific literature on consumer financial decisions over the life
cycle, outlining its implications for the design of pension plans. It begins with a review of …

This paper reviews portfolio selection models and provides perspective on some open
issues. It starts with a review of the classic Markowitz mean-variance framework. It then …

Equity options display a strong factor structure. The first principal components of the equity
volatility levels, skews, and term structures explain a substantial fraction of the cross …

We derive explicit solutions to life-cycle utility maximization problems involving stock and
bond investment, perishable consumption, and the rental and ownership of residential real …

We introduce a novel class of term structure models for variance swaps. The multivariate
state process is characterized by a quadratic diffusion function. The variance swap curve is …

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 …

Target-date funds (TDFs) for retirement, also known as life-cycle funds, are being offered as
a simple solution to the investment task of participants in self-directed retirement plans. A …

In this paper, we combine the theory of stochastic process and techniques of machine
learning with the regression analysis, first proposed by Longstaff and Schwartz 2001 and …

Features trading strategies for a variety of asset classes and trading styles including stocks,
options, fixed income, futures, ETFs, indexes, commodities, foreign exchange, convertibles …

INCOMPLETE! Preliminary and incomplete lecture notes intended for use at an advanced
master's level or an introductory Ph. D. level. I appreciate comments and corrections from …