Publications associées à Rational asset pricing bubbles and portfolio constraints

Publications associées (36)

Machine Learning Applications to Conditional Asset Pricing: Attention, CNNs, and Neural Tangent Kernels

The first two chapters develop ML-based models that generate conditional SDF estimates efficiently using conditioning information sets, resulting in minimal pricing errors and superior Sharpe ratios compared to traditional conditional asset pricing models. ...

EPFL2025

Demand-based Asset Pricing: Theory, Estimation and Applications

Philippe van der Beck

This thesis investigates the relationship between investors' demand shocks and asset prices through the use of data on portfolio holdings. In three chapters, I study the theory, estimation, and application of demand-based asset pricing models, which incorp ...

EPFL2023

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...

OXFORD UNIV PRESS INC2023

Interactions of Cavitation Bubbles with Deformable Interfaces

Armand Baptiste Sieber

Cavitation is a topic that has long been of interest due to the large and growing range of applications associated with it. This is mainly because the collapse of cavitation bubbles releases a considerable amount of energy into the surrounding environment. ...

EPFL2023

Deep MinCut: Learning Node Embeddings by Detecting Communities

Quoc Viet Hung Nguyen, Thành Tâm Nguyên, Chi Thang Duong

We present Deep MinCut (DMC), an unsupervised approach to learn node embeddings for graph -structured data. It derives node representations based on their membership in communities. As such, the embeddings directly provide insights into the graph structure ...

ELSEVIER SCI LTD2022

Essays in Empirical Asset Pricing

Alexis Arilès Marchal

This thesis consists of three applications of machine learning techniques to empirical asset pricing. In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...

EPFL2022

An analytical solution of the isentropic vortex problem in the special relativistic magnetohydrodynamics

Junming Duan

The isentropic vortex problem is frequently solved to test the accuracy of numerical methods and verify corresponding code. Unfortunately, its existing solution was derived in the relativistic magnetohydrodynamics by numerically solving an ordinary differe ...

ACADEMIC PRESS INC ELSEVIER SCIENCE2022

Optimal Matching of Random Parts

Thomas Alois Weber

This paper examines the minimization of the cost for an expected random production output, given an assembly of finished goods from two random inputs, matched in two categories. We describe the optimal input portfolio, first using the standard normal appro ...

2022

Dynamics of cavitation bubbles near granular boundaries

Mohamed Farhat, Davide Bernardo Preso, Armand Baptiste Sieber

We study the dynamics of a cavitation bubble near beds of sand of different grain sizes. We use high-speed imaging to observe the motion of the bubble and the sand for different values of the stand-off parameter gamma (dimensionless bubble-boundary distanc ...

Cambridge University Press2022

Direct measurement of the triple spin flip rate in dynamic nuclear polarization

Andrea Capozzi

A previous study of the effect of Gadolinium doping on the dynamic polarization (DNP) of C-13 using trityls showed that the rate at which the polarization builds up is almost independent of the Gadolinium concentration, while the electron spin-lattice rela ...

Academic Press Inc - Elsevier Science2021

Coupled segregation mechanisms of Sc, Zr and Mn at theta ' interfaces enhances the strength and thermal stability of Al-Cu alloys

Baptiste Thomas Jean Rouxel

The refinement and thermal stability of intermediate theta-prime (theta') precipitates are critical in the development of new high strength 2xxx series aluminium-copper (Al-Cu) alloys for high temperature applications. In this work, we use trace additions ...

PERGAMON-ELSEVIER SCIENCE LTD2021

COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

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

Coupling electrocoagulation and solar photocatalysis for electro- and photo-catalytic removal of carmoisine by Ag/graphitic carbon nitride: Optimization by process modeling and kinetic studies

Sami Rtimi

Graphitic carbon nitride, g-C3N4, have been receiving intense attention the last decades due to its unique physicochemical properties, and even more importantly, due to the visible light driven photoreactivity. Hence, the design and synthesis of novel phot ...

ELSEVIER2021

Robust Growth-Optimal Portfolios

Daniel Kuhn, Wolfram Wiesemann, Napat Rujeerapaiboon

The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growth-optimal portfolio has sparked fascination among ...

Informs2016

High Sensitivity Detection of a Solubility Limiting Surface Transformation of Drug Particles by DNP SENS

David Lyndon Emsley, Arthur César Pinon, Jasmine Viger-Gravel

We investigate the presence of a surface species for the active pharmaceutical ingredient (API) AZD9496 with dynamic nuclear polarization surface enhanced nuclear spectroscopy (DNP SENS). We show that using DNP we can elucidate the presence of an amorphous ...

2021

International portfolios: A comparison of solution methods

Serhiy Stepanchuk

We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financia ...

Elsevier Science Bv2015

Optimal expulsion and optimal confinement of a Brownian particle with a switching cost

Robert Dalang, Laura Claudia Catherine Vinckenbosch

We solve two stochastic control problems in which a player tries to minimize or maximize the exit time from an interval of a Brownian particle, by controlling its drift. The player can change from one drift to another but is subject to a switching cost. In ...

Elsevier Science Bv2014

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin-Dufresne

We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020