Return jumps on equities exhibit slowly-decaying tail behavior admitting severe downside risk; moreover, heavy-tailed jump size distributions governing these rare events pose further challenges to econometric estimation. This paper formulates a portfolio choice problem in a multi-asset...

We study SPACs in a continuous-time delegated investment model. Our model is built upon three unique features of SPACs: the sponsor and the investor are only partially aligned, a SPAC has a short time horizon, and the investor has the final control over investment approval. Due to the...

Projects and firms are often financed by investor syndicates. I study how investors acquire and share information in syndicates and solve the entrepreneur's financial contracting problem. The key mechanism is that investors share information through strategic communication. Contracts determine...

We propose new approaches to constructing mimicking portfolios for non-tradable shocks from a large set of base assets. The key element of our procedure is the imposition of regularization constraints on portfolio strategies that help mitigate the overfitting problem caused by a large number of...