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Concept

Diversification (finance)

Publications associées (19)

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

Skew-Brownian motion and pricing European exchange options br

Puneet Pasricha

This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...

ELSEVIER SCIENCE INC2022

Swiss Negative Emissions Fund – paying for Net Zero

Philippe Thalmann, Sascha Nick

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 ...

E4S Enterprise for Society2022

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

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 ...

EPFL2021

An unethical optimization principle

Anthony Christopher Davison

If an artificial intelligence aims to maximize risk-adjusted return, then under mild conditions it is disproportionately likely to pick an unethical strategy unless the objective function allows sufficiently for this risk. Even if the proportion eta of ava ...

ROYAL SOC2020

Non-myopic betas

Semyon Malamud

An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...

2018

Genome-wide SNP profiling of worldwide goat populations reveals strong partitioning of diversity and highlights post-domestication migration routes

Stéphane Joost, Estelle Rochat, Elia Vajana

Background: Goat populations that are characterized within the AdaptMap project cover a large part of the worldwide distribution of this species and provide the opportunity to assess their diversity at a global scale. We analysed genome-wide 50K single nuc ...

BMC2018

Comparison of extraction techniques for product diversification in a supercritical water gasification-based sugarcane-wet microalgae biorefinery: Thermoeconomic and environmental analysis

François Maréchal, Adriano Viana Ensinas

This study presents a thermoeconomic and environmental assessment of the extraction of lipids and proteins from wet microalgal biomass in a 3G biorefinery by two different technologies: supercritical fluid extraction (SFE) and low-pressure solvent extracti ...

ELSEVIER SCI LTD2018

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

Portfolio and welfare consequences of debt market dominance

Serhiy Stepanchuk

The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relat ...

Elsevier Science Bv2015

Three Essays on Asset Pricing

Emmanuel Leclercq

In the first chapter,which is a joint work with Mathieu Cambou and Philippe H.A. Charmoy, we study the distribution of the hedging errors of a European call option for the delta and variance-minimizing strategies. Considering the setting proposed by Heston ...

EPFL2014

Turnover and accumulation of genetic diversity across large time-scale cycles of isolation and connection of populations

Séverine Vuilleumier Varisco

Major climatic and geological events but also population history (secondary contacts) have generated cycles of population isolation and connection of long and short periods. Recent empirical and theoretical studies suggest that fast evolutionary processes ...

2014

Incomplete information, idiosyncratic volatility and stock returns

Julien Hugonnier

When investors have incomplete information, expected returns, as measured by an econometrician, deviate from those predicted by standard asset pricing models by including a term that is the product of the stock's idiosyncratic volatility and the investors' ...

2012

Affine Processes On Positive Semidefinite Matrices

Damir Filipovic

This article provides the mathematical foundation for stochastically continuous affine processes on the cone of positive semidefinite symmetric matrices. This analysis has been motivated by a large and growing use of matrix-valued affine processes in finan ...

Institute of Mathematical Statistics2011

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

This article examines the risk-return trade-off of a mixed-asset portfolio that includes real estate using copula functions. In particular, it analyses the role of direct as opposed to securitised real estate in terms of diversification when the dependence ...

Taylor & Francis2009

Real estate issues : portfolio diversification, pricing and time-on-market

This thesis discusses the difficulties of pricing real estate by using the existing financial economic theory and investigates an alternative approach in order to take into account the 'unique' nature of real estate risk. It consists of three essays placin ...

EPFL2009

Markowitz in the brain?

Kerstin Preuschoff

We review recent rain-scanning (fMRI) evidence that activity in certain sub-cortical structures of the human brain correlate with changes in expected reward, as well as with risk. Risk is measured by variance of payoff, as in Markowitz' theory. The brain s ...

2008

Corporate control and real investment in incomplete markets

Erwan Morellec, Julien Hugonnier

In the standard real options approach to investment under uncertainty, agents formulate optimal policies under the assumptions of risk neutrality or perfect capital markets. However, in most situations, corporate executives face incomplete markets either b ...

2007

Investment decisions with flexibility under uncertainty in the competitive electricity supply industry

Jun Dong

The restructuring of the electricity supply industry (ESI) has introduced new actors and market mechanisms. Electricity prices are more market oriented and fluctuate greatly. These changes bring about more uncertainties and risks to the market participants ...

EPFL2004