Publication

On the (Non-)Equivalence of IRR and NPV

Publications associées (25)

Timing and spatial selection bias in rapid extreme event attribution

Anthony Christopher Davison, Ophélia Mireille Anna Miralles

Selection bias may arise when data have been chosen in a way that subsequent analysis does not account for. Such bias can arise in climate event attribution studies that are performed rapidly after a devastating "trigger event'', whose occurrence correspon ...

ELSEVIER2023

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

An Optimisation Approach for Long-Term Industrial Investment Planning

François Maréchal, Hür Ebuzer Bütün, Ivan Daniel Kantor

The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...

2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

IT Investment and its impacts : does IT matter during crisis, during financing and in Innovation?

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many ...

EPFL2018

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

Potential contributions of wind power to a stable and highly renewable Swiss power supply

Michael Lehning, Albertus Christiaan Kruyt, Annelen Kahl

Using data from two measurement networks, we analyse the following aspects of wind speeds over Switzerland to assess the possibility of high wind power penetration: spatial correlation, persistent low wind power conditions and the diurnal and seasonal wind ...

Elsevier Sci Ltd2017

Essays in Bank Financing

Yalda Sigrist

This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...

EPFL2017

Essays in Financial Economics

Christoph Helmut Peter Herpfer

This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...

EPFL2017

Capital goods, measured TFP and growth: The case of Spain

Luis Franjo Garcia

The effect of investing in equipment and/or structures on TFP and long run growth is investigated here. We argue that economies can grow in spite of stagnant TFP if the investment rate is inefficiently high. We study the case of Spain where real GDP per wo ...

Elsevier Science Bv2016

Credit Supply and the Macroeconomy : An Empirical Analysis of Capital Regulation, Bank Lending, and Firm Behavior

Abhik Mukherjee

The policy response to the recent financial crisis has broadly focused on two themes: 1) Increasing the banking sectorsâ resilience to future financial shocks: 2) Improving credit availability to households and firms via lowering both short and long-term ...

EPFL2016

Methodology for the optimal design of an integrated sugarcane distillery and cogeneration process for ethanol and power production

François Maréchal, Rami Bechara, Jean-Marc Schweitzer

The application of systematic methodologies for the optimal design of integrated processes has seen increased interest in literature, namely for bioprocesses. The development and application of such a methodology to ethanol and power production from sugarc ...

Pergamon-Elsevier Science Ltd2016

Capital supply uncertainty, cash holdings, and investment

Erwan Morellec, Semyon Malamud, 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

Valuation of a pumped-storage hydro-plant in a multiple markets framework : a Swiss Case Study

Nikolaos Iliadis

There has been an evolving electricity market structure starting from the spot market and its derivatives, to several other markets such as the Intraday Market, the Balancing Market and the Reserve Capacity Market. The participation in these markets has ch ...

EPFL2015

Interactive Synthesis using Free-Form Queries

Viktor Kuncak, Tihomir Gvero

We present a new code assistance tool for integrated development environments. Our system accepts free-form queries allowing a mixture of English and Java as an input, and produces Java code fragments that take the query into account and respect syntax, ty ...

2015

The effects of business cycle and debt maturity on a firm's investment and default decisions

Michi Nishihara

We propose a model that jointly determines the capital structure and investment decisions taking business cycle and debt maturity into account. It endogenously determines the triggers of investment/disinvestment and default, which depend on the state of th ...

Elsevier Science Bv2015

Yes, no, maybe: the ambiguous relationship between State-owned Enterprise and the State

Matthias Finger, Carole Juliane Isabelle Rentsch

Liberalization and the introduction of sector-specific regulators has caused the position of State-owned enterprises (SOEs) of network industries to change not only within national economies, but also vis-a-vis their respective States. In response, many SO ...

Wiley_Blackwell2015

Macroeconomic conditions and a firm's investment decisions

Michi Nishihara

We propose a model of a firm's reversible investment decision with macroeconomic conditions based on optimal switching of a diffusion regime. The switching costs and the cash flow generated from the firm depend on a business cycle alternating via a Markov ...

Academic Press Inc Elsevier Science2014

Capital Supply Uncertainty, Cash Holdings, and Investment

Erwan Morellec, Semyon Malamud, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Numerical comparison and calibration of geometrical multiscale models for the simulation of arterial flows

Adelmo Cristiano Innocenza Malossi, Jean Bonnemain

Arterial tree hemodynamics can be simulated by means of several models of different level of complexity, depending on the outputs of interest and the desired degree of accuracy. In this work, several numerical comparisons of geometrical multiscale models a ...

2013