Typical empirical methods training for finance Ph.D students emphasizes theory and application of statistical tools, augmented by study of empirical applications published in the academic journals. But newly minted faculty/authors will also have to cope with opinions of their administrative and...

We generalize the bankruptcy problem of resolving a debt owed to multiple creditors to financial networks, where there are multiple debtors and creditors. We show that some key Nash Bargaining results for the single debtor case do not generalize to financial networks

Empirical multifactor models of excess returns are theoretically grounded in Merton's ICAPM. Merton modeled investors who maximize expected utility of their own consumption. Multiple priced factors arise as “hedge portfolios” most closely correlated with state variables that drive...

This paper provides an alternative behavioral foundation for an investor's use of power utility in the objective function and its particular risk aversion parameter. The foundation is grounded in an investor's desire to minimize the objective probability that the growth rate of invested wealth...

This paper considers random coefficients binary choice models. The main goal is to estimate the density of the random coefficients nonparametrically. This is an ill-posed inverse problem characterized by an integral transform. A new density estimator for the random coefficients is developed,...

This paper is concerned with robust estimation under moment restrictions. A moment restriction model is semiparametric and distribution-free, therefore it imposes mild assumptions. Yet it is reasonable to expect that the probability law of observations may have some deviations from the ideal...

We develop a model of demand where consumers trade-off the utility of consumption against the disutility of expenditure. This model is appropriate whenever a consumer's demand over a strict subset of all available goods is being analyzed. Data sets consistent with this model are characterized by...