MASSIMO GUIDOLIN

If you care for any of these topics, come and speak to me to discuss whether we may have a match of incentives and goals.

Remember: no faculty member is forced to accept your as a supervisee, especially if this faculty member supervises already a dozen theses or more. Therefore, DROP BY (also remotely) AND DISCUSS topics, do not simply start working on them on your own.

IMPORTANT: EFFECTIVE JUNE 21, 2018, I WILL ACCEPT RESEARCH THESES IF AND ONLY IF AS STUDENT HAS SUCCESSFULLY WRITTEN MY OPTIONAL EXAM, 20541 - ADVANCED QUANTITATIVE METHODS FOR ASSET PRICING AND STRUCTURING

Note that up to 6 optional exams can be taken (and will count for a student's final GPA).

1. How much mileage can simple regression methods give us in applied asset pricing and portfolio choice? (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

2. Arbitrage-free modelling of the dynamics in the Implied Volatility Surface from option prices (Subject: Derivatives; level: medium/high, 6/7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

3. Explaining and forecasting (the cross-section of) cryptocurrency returns (Subject: Asset Pricing and Portfolio Choice; level: medium/high, 7 pts. goal), see, e.g., this paper or this paper. ALSO AVAILABLE FOR SURVEY THESES.

4. Can we use GARCHX models to improve predictive accuracy? (Subject: Econometrics; level: medium, approx. 6/7 pts. goal), see, e.g., this paper.

5. The factor structure in equity options (Subject: Derivatives; level: high, approx. 7/8 pts. goal), see, e.g., this paper.

6. Dynamic econometric modelling of worldwide shadow rates and their predictive power for asset returns ( Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

7. Economic policy uncertainty index and its effects on financial markets (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

8. Empirical corporate bond pricing (Subject: Fixed Income; level: high, approx. 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

9. ESG (Environment, Society, Governance) investing, factor, fashion or anomaly? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

10. Expectations and uncertainty measurement in Markov switching models (Subject: Econometrics; level very high, approx. 8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES

11. Large-scale portfolio allocation under transaction costs and model uncertainty with applications to hedge funds (Subject: Portfolio Choice; level very high, approx. 8 pts. goal), see, e.g., this paper. THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

12. Higher-order moments in optimal portfolio selection (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

13. Climate change risks and asset prices (Subject: Asset Pricing; level high, approx. 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

14. Asset pricing and portfolio choice implications of rolling window selection for out-of-sample forecasting (Subject: Econometrics; level medium/high, approx. 7 pts. goal), see, e.g., this paper.

15. Instability and breaks in preditive finance relationships (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paper.  ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

16. Is Black-Scholes formula really dead in a forecasting and practical perspective (Subject: Derivatives; level medium/high, approx. 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

17. Network models of contagion and non-linear association of asset returns (Subject: Portfolio Choice; level high, approx. 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

18. Sentiment and social media asset pricing and ptf choice (Subject: Asset Pricing and Portfolio Choice; level: high, 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

19. Static and regime-switching weighting schemes for investment style factors (Subject: Asset Pricing and Portfolio Choice; level: medium, 6/7 pts. goal), see, e.g., this post. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

20. In Markov switching model is it better to misspecify the number of regimes K' > 2 or to set K'' = 1 falsely to one? (Subject: Econometrics; level: high, 7/8 pts. goal), see, e.g., this paper. THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

21. Quantifying the back-testing fragility of risk management models as a measure of their robustness. (Subject: Econometrics and Risk Management; level: high, 7/8 pts. goal), see, e.g., this paper. THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

22. Are female portfolio managers empirically different vs. their male counterparts in bull vs. bear markets? (Subject: Portfolio Choice; level medium/high, approx. 7 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES + THIS REPRESENTS AN EXTENSION OF PAST THESES (it makes it easier).

23. Do unconventional (QE-based) vs. conventional monetary policies affect stock markets in heterogeneous ways? (Subject: Asset Pricing; level very high, approx. 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.

24. Are the regimes in the distribution of momentum and other risk factors? (Subject: Asset Pricing; level high, approx. 7/8 pts. goal), see, e.g., this paper. ALSO AVAILABLE FOR SURVEY THESES.