Semyon Malamud

Cette personne a quitté l’EPFL

À propos
Confidentialité
Mentions légales

Graph Chatbot

Publications associées (30)

Page 2 sur 2

The Virtue of Complexity in Return Prediction

Semyon Malamud

Much of the extant literature predicts market returns with "simple" models that use only a few parameters. Contrary to conventional wisdom, we theoretically prove that simple models severely understate return predictability compared to "complex" models in ...

Wiley2023

Long Run Forward Rates and Long Yields of Bonds and Options in Heterogeneous Equilibria

Semyon Malamud

We prove that, in a heterogeneous economy with scale-invariant utilities, the yield of a long term bond is determined by the agent with maximal expected marginal utility. We also prove that the same result holds for the long term forward rates. Furthermore ...

2008

System and method for user data input to modify operating mode configurations

Semyon Malamud

A computer-implemented method, computer program product and computer system (100) for editing a configuration of a physical entity (30) to configure a future operating mode of a physical entity. A GUI component (200) provides a visual representation of a t ...

2020

Principal Portfolios

Semyon Malamud

We propose a new asset pricing framework in which all securities' signals predict each individual return. While the literature focuses on securities' own-signal predictability, assuming equal strength across securities, our framework includes cross-predict ...

WILEY2022

Hedge or Rebalance: Optimal Risk Management with Transaction Costs

Semyon Malamud

We solve the problem of optimal risk management for an investor holding an illiquid, alpha-generating fund and hedging his/her position with a liquid futures contract. When the investor is subject to a lower bound on net return, he/she is forced to reduce ...

2018

System and method for user data input to modify configurations

Semyon Malamud

A computer-implemented method, computer program product and computer system (100) for editing a configuration of a real-world object to optimize a future state of the real-world object. The configuration includes a plurality of potential states for the rea ...

2020

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

Capital supply uncertainty, cash holdings, and investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a dynamic model of investment, financing, and cash management decisions in which investment is lumpy and firms face capital supply uncertainty. We characterize optimal policies explicitly, demonstrate that smooth-pasting conditions may not guara ...

2015

Convexity bounds for BSDE solutions, with applications to indifference valuation

Christoph Frei, Semyon Malamud

We consider backward stochastic differential equations (BSDEs) with a particular quadratic generator and study the behaviour of their solutions when the probability measure is changed, the filtration is shrunk, or the underlying probability space is transf ...

2011

Indifference pricing for CRRA utilities

Semyon Malamud

Springer, Springer-Verlag2013