Publications associées à Mutual fund competition in the presence of dynamic flows

Portfolio Construction with Hierarchical Momentum

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

Exponential convergence to steady-states for trajectories of a damped dynamical system modeling adhesive strings

Nicola De Nitti

We study the global well-posedness and asymptotic behavior for a semilinear damped wave equation with Neumann boundary conditions, modeling a one-dimensional linearly elastic body interacting with a rigid substrate through an adhesive material. The key fea ...

World Scientific Publ Co Pte Ltd2024

Collective motion in a sheet of microswimmers

Viktor Skultéty

Self-propelled particles such as bacteria or algae swimming through a fluid are non-equilibrium systems where particle motility breaks microscopic detailed balance, often resulting in large-scale collective motion. Previous theoretical work has identified ...

Nature Portfolio2024

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

Backtracking Dynamical Cavity Method

Freya Behrens, Lenka Zdeborová, Barbora Hudcová

The cavity method is one of the cornerstones of the statistical physics of disordered systems such as spin glasses and other complex systems. It is able to analytically and asymptotically exactly describe the equilibrium properties of a broad range of mode ...

American Physical Society2023

Effect of a temperature gradient on the screening properties of ionic fluids

Andrea Grisafi, Federico Grasselli

The electrostatic screening properties of ionic fluids are of paramount importance in countless physical processes. Yet the screening behavior of ionic conductors out of thermal equilibrium has to date mainly been studied in the context of thermoelectric p ...

AMER PHYSICAL SOC2023

Greening the Swiss National Bank's Portfolio

Eric Jondeau, Rüdiger Fahlenbrach

Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

OXFORD UNIV PRESS2023

Identifying invariant solutions of wall-bounded three-dimensional shear flows using robust adjoint-based variational techniques

Tobias Schneider, Omid Ashtari

Invariant solutions of the Navier-Stokes equations play an important role in the spatiotemporally chaotic dynamics of turbulent shear flows. Despite the significance of these solutions, their identification remains a computational challenge, rendering many ...

Cambridge University Press2023

Structural topology exploration through policy-based generation of equilibrium representations

Corentin Jean Dominique Fivet, Ioannis Mirtsopoulos

Mainstream approaches to design spatial architectural forms that are structurally relevant consist either in adapting well-known and catalogued conventional types or in searching for close-to-optimum solutions of well-defined problems. Few means exist to e ...

2023

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

Growth and investigation of Argon thin films adsorbed on graphite by means of Ultrafast Electron Diffraction

Paolo Usai

Starting from our big universe to the microscopic world, phase transitions play an important role in nature. Just after the Big Bang our universe experienced multiple phase transitions, from high-temperature plasma to the matter we know today. Phase transi ...

EPFL2023

Computational conceptual design — typological exploration of spatial truss systems through optimization

Corentin Jean Dominique Fivet, Jonas Warmuth, Pierluigi D'Acunto

Exploring a wide range of design options is crucial for every sound conceptual design process. In the conventional structural design workflow, optimization techniques are generally employed to generate well-performing design options. However, focusing only ...

International Association for Shell and Spatial Structures (IASS)2023

Mutual information in changing environments: Nonlinear interactions, out-of-equilibrium systems, and continuously varying diffusivities

Daniel Maria Busiello, Giorgio Nicoletti

Biochemistry, ecology, and neuroscience are examples of prominent fields aiming at describing interacting systems that exhibit nontrivial couplings to complex, ever-changing environments. We have recently shown that linear interactions and a switching envi ...

AMER PHYSICAL SOC2022

Heterogeneity in decentralized asset markets

Julien Hugonnier

We study a canonical model of decentralized exchange for a durable good or asset, where agents are assumed to have time-varying, heterogeneous utility types. Whereas the existing literature has focused on the special case of two types, we allow agents' uti ...

ECONOMETRIC SOCIETY2022

Optimization and equilibrium problems with discrete choice models

Stefano Bortolomiol

Many transportation markets are characterized by oligopolistic competition. In these markets customers, suppliers and regulators make decisions that are influenced by the preferences and the decisions of all other agents. In particular, capturing and under ...

EPFL2022

Hydrodynamic synchronization and clustering in ratcheting colloidal matter

Ignacio Pagonabarraga Mora

Ratchet transport systems are widespread in physics and biology; however, the effect of the dispersing medium in the collective dynamics of these out-of-equilibrium systems has been often overlooked. We show that, in a traveling wave magnetic ratchet, long ...

AMER ASSOC ADVANCEMENT SCIENCE2022

Neural Energy Casimir Control for Port-Hamiltonian Systems

Giancarlo Ferrari Trecate, Liang Xu, Muhammad Zakwan

The energy Casimir method is an effective controller design approach to stabilize port-Hamiltonian systems at a desired equilibrium. However, its application relies on the availability of suitable Casimir and Lyapunov functions, whose computation are gener ...

2022

Role of stochastic noise and generalization error in the time propagation of neural-network quantum states

Giuseppe Carleo

Neural-network quantum states (NQS) have been shown to be a suitable variational ansatz to simulate out-of-equilibrium dynamics in two-dimensional systems using timedependent variational Monte Carlo (t-VMC). In particular, stable and accurate time propagat ...

SCIPOST FOUNDATION2022

Molecular dynamics simulations of the evaporation of hydrated ions from aqueous solution

Philip Robin Loche

Although important for atmospheric processes and gas-phase catalysis, very little is known about the hydration state of ions in the vapor phase. Here we study the evaporation energetics and kinetics of a chloride ion from liquid water by molecular dynamics ...

NATURE PORTFOLIO2022

The Rebound Effects from Industrial Energy Efficiency Improvements

Michel Zimmermann

In energy policy, energy efficiency constitutes a central element in reducing domestic and, specifically, industrial en-ergy use. Unfortunately, the effectiveness of energy efficiency improvements in achieving its targets is known to be limited by rebound ...

EPFL2022