Real estate and portfolio risk: an analysis based on copula functions

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.

This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

Uncertainty of spillover effects – including property devaluation - from proposed land-use change elicits opposition to local development. This hinders cities’ ability to implement land-use policy aimed at housing affordability and environmental sustainabi ...

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large ...

We present a general framework for portfolio risk management in discrete time, based on a replicating martingale. This martingale is learned from a finite sample in a supervised setting. Our method learns the features necessary for an effective low-dimensi ...

The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and hence play a sig ...

We develop a methodology to measure the expected loss of commercial banks in a market downturn, which we call stressed expected loss (SEL). We simulate a market downturn as a negative shock on interest rate and credit market risk factors that reflect the b ...

We characterize the unique equilibrium in an economy populated by strategic CARA investors who trade multiple risky assets with arbitrarily distributed payoffs. We use our explicit solution to study the joint behavior of illiquidity of option contracts. Op ...

BACKGROUND: Objective mobility goals for elderly hospitalised medical patients remain debated. We therefore studied steps parameters of elderly patients hospitalised for an acute illness, to determine goals for future interventional trials and medical prac ...

In this paper, we propose setting up a fund to finance the removal of all Swiss territorial GHG (greenhouse gas) emissions from 2030. The fund will accelerate decarbonization and help reach annual net zero emissions around 2040, and then progressively remo ...

This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets ...

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

Given the urgency of deploying all possible ways to combat climate change, and in light of lessons learned from the Covid-19 pandemic outbreak that it was a mistake to ignore signals and not prepare for worst-case scenarios, this article suggests that tech ...

The current pandemic caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has affected most of the world in a profound way. As an indirect consequence, the general public has been put into direct contact with the research process, almost ...

Contact tracing is an essential tool to mitigate the impact of a pandemic, such as the COVID-19 pandemic. In order to achieve efficient and scalable contact tracing in real time, digital devices can play an important role. While a lot of attention has been ...

Background In people with human immunodeficiency virus (PWH), it is unknown whether genetic background associates with rapid progression of kidney dysfunction (ie, estimated glomerular filtration rate [eGFR] decrease of >5mL/min/1.73m(2) per year for >= 3 ...

Human immunodeficiency virus (HIV) infection is associated with an increased risk of non-Hodgkin lymphoma (NHL). Even in the era of suppressive antiretroviral treatment, HIV-infected individuals remain at higher risk of developing NHL compared to the gener ...

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

Real estate and portfolio risk: an analysis based on copula functions

Chat with Graph Search

Portfolio Construction with Hierarchical Momentum

Using automated design appraisal to model building-specific devaluation risk due to land-use change

Greening the Swiss National Bank's Portfolio

Can one hear the shape of a target zone?

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Essays in macro-finance and deep learning

A machine learning approach to portfolio pricing and risk management for high-dimensional problems

A contagion process with self-exciting jumps in credit risk applications

Predicting the stressed expected loss of large US banks

Illiquidity and Higher Cumulants

Steps parameters of elderly patients hospitalised for an acute medical illness in a Swiss University Hospital: an observational pilot study

Swiss Negative Emissions Fund – paying for Net Zero

Essays in Banking and Financial Regulation

COVID-19: data-driven dynamic asset allocation in times of pandemic

Combatting climate change through a portfolio of approaches

Transgenic Model Systems Have Revolutionized the Study of Disease

Epidemic mitigation by statistical inference from contact tracing data

Rapid Progression of Kidney Dysfunction in People Living With HIV: Use of Polygenic and Data Collection on Adverse Events of Anti-HIV Drugs (D:A:D) Risk Scores

Genetic variation near CXCL12 is associated with susceptibility to HIV-related non-Hodgkin lymphoma

Liquidity regimes and optimal dynamic asset allocation