Undergraduate Research | Peter Kelly

Peter Kelly, who is majoring in Honors Mathematics and Economics, is focusing on his research on work done by his advisers, Alex Himonas of the Department of Mathematics and Tom Cosimano of the Department of Finance. His study involves testing their solution to the equity premium puzzle. Kelly has developed a continuous time multi-dimensional asset pricing model, assuming Duffie-Epstein Preferences and Kreps-Porteus utility in order to find an analytic solution for the price to dividend ratio. “This research is exciting because it applies the tools of advanced mathematics to an interesting economic problem,” he said. Peter will be graduating this year and will be going onto study for a PhD in Finance at Yale University.