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  • Essays on naive diversification 

    Li, Bowei (2018)
    The mean-variance model pioneered by Nobel laureate Harry Markowitz is the foundation of modern portfolio theory, and is widely applied in asset allocation and active portfolio management. However, the naive 1/N diversification ...
  • An examination of alternative option hedging strategies in the presence of transaction costs 

    Chow, Vicky Siew See (2017)
    Substantial progress has been made in developing option hedging models that account for transaction costs. Previous analyses of option hedging strategies in the presence of transaction costs use a Monte Carlo simulation ...
  • Two essays on idiosyncratic stock return volatilities 

    Zhu, Yichao (2016)
    This thesis consists of two essays on idiosyncratic stock return volatilities (IVOL). In the first essay (Chapter 3), I find that the negative relation between IVOL and subsequent stock returns (the IVOL puzzle) does not ...

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