Essays in Asset Pricing with Search Frictions

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Crypto market betas: the limits of predictability and hedging

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This article analyzes the predictability of market betas concerning cryptocurrency assets and evaluates the efficiency of beta-hedged, market-neutral portfolios. We forecast 1-year-ahead market betas using various estimating methods, including ordinary lea ...

Springer Science and Business Media LLC2025

Optimal fund menus

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We study the optimal design of a menu of funds by a manager who is required to use linear pricing and does not observe the beliefs of investors regarding one of the risky assets. The optimal menu involves bundling of assets and can be constructed from the ...

WILEY2022

Financial Frictions within the Macroeconomy : Policy Analysis from an Empirical and Theoretical Perspective

Victoria Nuguer

Financial factors are central to the recent economic crisis. Most macroeconomic models treat banks and financial intermediation as a veil. These models are unable to account for the recent financial crisis and they cannot be used for policy evaluation. Fin ...

EPFL2014

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012