In this paper we propose the minimum entropy clustering (MEC) method for clustering genes based on their phylogenetic signals. This entropy based method will cluster two genes together when their concatenation can decrease the entropy. An integral feature of MEC is that it chooses the number of...

In this paper we propose the minimum entropy clustering (MEC) method for clustering genes based on their phylogenetic signals. This entropy based method will cluster two genes together when their concatenation can decrease the entropy. An integral feature of MEC is that it chooses the number of...

We study a risk-sharing economy where an arbitrary number of heterogenous agents trades an arbitrary number of risky assets subject to quadratic transaction costs. For linear state dynamics, the forward-backward stochastic differential equations characterizing equilibrium asset prices and...

We study risk-sharing equilibria with general convex costs on the agents' trading rates. For an infinite-horizon model with linear state dynamics and exogenous volatilities, we prove that the equilibrium returns mean-revert around their frictionless counterparts -- the deviation has...

When returns are partially predictable and trading is costly, CARA investors track a target portfolio at a constant trading speed. The target portfolio is optimal for a frictionless market, where asset returns are scaled back to account for trading costs and volatilities are adjusted to proxy...