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Concept

Investment style

Publications associées (9)

Portfolio Construction with Hierarchical Momentum

Urban Ulrych

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 ...

Pageant Media Ltd2024

Asset life, leverage, and debt maturity matching

Erwan Morellec

Capital ages and must eventually be replaced. We propose a theory of financing in which firms borrow to finance investment and deleverage as capital ages to have enough financial slack to finance replacement investments. To achieve these dynamics, firms is ...

Elsevier Science Sa2024

An Optimisation Approach for Long-Term Industrial Investment Planning

François Maréchal, Ivan Daniel Kantor, Hür Ebuzer Bütün

The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...

2019

Essays in Bank Financing

Yalda Sigrist

This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...

EPFL2017

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Vincent Jean Bogousslavsky

This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...

EPFL2017

No money, no honey? Financial versus knowledge and demand constraints on innovation

Gabriele Pellegrino

The paper adds to the literature on the barriers to innovation in two ways. First, we assess comparatively what mostly constrains firms' ability to translate investment in innovation activity into new products and processes, whether it is mainly finance, a ...

Elsevier2017

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

Energy Efficient Offloading of 3G Networks

Jean-Yves Le Boudec, Nikodin Ristanovic

A huge increase in the amount of data consumed by smartphone users is becoming a serious problem for mobile operators. In three years, mobile data traffic in the AT&T's network rose 5000%. The US operators invest 50 billion dollars in their data networks e ...

2011

Mutual fund competition in the presence of dynamic flows

Julien Hugonnier

This paper analyzes competition between mutual funds in a multiple funds version of the model of Hugonnier and Kaniel (2010). We characterize the set of equilibria for this portfolio management game and show that there exists a unique Pareto optimal equili ...

2010

Publications associées (9)