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CDAR

Leading research at the intersection of financial economics and data science.

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ARTICLES

CURRENT EVENTS

Mathematics Department Colloquium: Lisa Goldberg on Optimization, Estimation and Geometry

Thursday, March 14th @ 4:00-5:00 PM, Evans 60

Nobel laureate Harry Markowitz introduced mean-variance optimization to investing when he was a graduate student in the 1950s. His application of mathematics to investing transformed the subject. At the same time, the implementation of his theory highlighted practical issues concerning estimation that led to new mathematical problems. I will discuss recent results that identify and correct bias in estimates of high dimensional eigenvectors. 

SEM217: Jaeyeon Lee, UC Berkeley Haas: Agency CMBS: The Rise of ARM Share

Tuesday, March 19th @ 11:00 - 12:30, Evans 648 & Zoom

This paper investigates the increase in adjustable-rate mortgage (ARM) credit volume shares in the government-sponsored enterprise(GSE) commercial mortgage-backed securities(CMBS) market since the global financial crisis.  We find evidence of borrowers exploiting prepayment options embedded in ARM contracts during low policy rate periods, which coincide with upside collateral value cycle.  Moreover, we find that ARM borrowers, who are landlords,  pass-through interest rate risks to renters during federal funds rate hike periods while they do not pass-through declines in interest rates.  Through a stylized two-period model, we show that the two options triggered in two different monetary policy regimes can affect mortgage choice among borrowers in the GSE CMBS market.

Spring JOIM Conference – honoring Harry M. Markowitz

March 24-26, 2024 / Rady School of Management, UCSD

This conference will be dedicated to honor Harry Markowitz who not only contributed to the modern practice of investment management but also provides the inspiration for much of the current science of investment management research.   We are honored to have Nobel Laureates share their thoughts on the contributions and recollections of Harry Markowitz as well as a distinguished panel of investment management practitioners will discuss their enduring memory and interaction experience with Harry Markowitz.  

AMS Special Session: Loeb Measure after Fifty Years

The Special Session included fourteen research papers and a one-hour discussion session.  Two of Robert Anderson's papers were included in the program:
"General Equilibrium Theory for Measure-Theoretic Economies," joint with Haosui Duanmu, M. Ali Khan, and Metin Uyanik. 
"Existence of Berk-Nash equilibrium with infinite spaces," joint with Haosui Duanmu, Aniruddha Ghosh and M. Ali Khan.