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Concept

Mutual fund separation theorem

Publications associées (7)

Essays in Financial Economics

Julien Arsène Blatt

I started my PhD studies in August 2014 with a strong desire to push my own limits without knowing precisely the areas I wanted to cover in detail. To me, it was clear that I was interested by many different fields, however, I was particularly concerned wi ...

EPFL2019

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Napat Rujeerapaiboon

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

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

Price impact and portfolio impact

Semyon Malamud

We study survival, price impact, and portfolio impact in heterogeneous economies. We show that, under the equilibrium risk-neutral measure, long-run price impact is in fact equivalent to survival, whereas long-run portfolio impact is equivalent to survival ...

2011

Turnover, account value and diversification of real traders: evidence of collective portfolio optimizing behavior

David Sébastien Morton de Lachapelle, Damien Challet

Despite the availability of very detailed data on financial markets, agent-based modeling is hindered by the lack of information about real trader behavior. This makes it impossible to validate agent-based models, which are thus reverse-engineering attempt ...

Institute of Physics (IoP) and Deutsche Physikalische Gesellschaft2010

Consistent Market Extensions under the Benchmark Approach

Damir Filipovic

The existence of the growth optimal portfolio (GOP), also known as the Kelly portfolio, is vital for a financial market to be meaningful. The GOP, if it exists, is uniquely determined by the market parameters of the primary security accounts. However, mark ...

Wiley-Blackwell2009

Publications associées (7)