There have long been intuitive connections between robustness and regularization in statistical estimation, for example, in lasso and support vector machines. In the first part of the thesis, we formalize these connections using robust optimization. Specifically (a) We show that in classical...

This thesis investigates the implications of explicitly modeling the monetary policy of the Central Bank within a Dynamic Term Structure Model (DTSM). We follow Piazzesi (2005) and implement monetary policy by including the Fed target rate as a state variable. The discontinuous target dynamics...

The risk arbitrage investment process involves betting on the outcome of announced mergers and acquisitions. We analyzed a sample of 1309 stock and cash mergers from 1996 to 2004 Q2 and developed insights into the risk arbitrage process. We found share price reactions for both the acquirer and...