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Concept

Gestion alternative

Publications associées (27)

Modern Portfolio Theory Revisited : from Real Traders to New Methods

David Sébastien Morton de Lachapelle

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Steel, aluminium, plastic: the "unbearable lightness" of architectural modernity. The Centrale d'Allocations Familiales building of the XV th Arrondissement in Paris (1953-1959)

Giulia Marino

The Caisse Centrale d’Allocations Familiales de la Région Parisienne (or CCAFRP, shortened to CAF) was built between 1953 and 1959 as regional headquarters of a new post-war agency, the Central Fund for Family Allowance. Designed by French architects Raymo ...

2012

Risky Mortgages in a DSGE Model

Luisa Lambertini, Chiara Forlati

This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing inv ...

2011

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010

Boosting the Electricity Sector in West Africa: an Integrative Vision

Edgard Gnansounou

To improve peoples’ living conditions, Western African countries need to considerably reinforce their electricity supply infrastructures. Retrofitting the existing installations and constructing new generation and transmission facilities require significan ...

2008

Co-Movements of Index Options and Futures Quotes

Rüdiger Fahlenbrach

We report evidence that the co-movements of index options and index futures quotes differ sharply from perfect correlation in periods with option trades. In half-hour intervals with (without) option trades 25% (12%) of call option quote changes have either ...

2008

Agency conflicts and risk management

Erwan Morellec

This paper analyzes the relation between agency conflicts and risk management. In contrast to previous contributions, our analysis incorporates not only stockholder-debtholder conflicts but also manager – stockholder conflicts. We show that the costs of bo ...

2007