Concept

Index fund

Related publications (32)

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

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

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Napat Rujeerapaiboon, Byung-Geun Choi

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Elliptical tempered stable distribution

Hasan Fallahgoul

Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its charac ...

Routledge Journals, Taylor & Francis Ltd2016

An Economic Model Predictive Control scheme with terminal penalty for continuous-time systems

Colin Neil Jones, Andrea Alessandretti

In this paper, convergence and performance properties of a sample-data continuous time model predictive control (MPC) scheme with economic performance index are developed. In particular, we provide sufficient conditions for convergence of the close loop st ...

2014

INDEX OF ENERGY PRESENT VALUE: Assessment tool for energy savings and distributed energy production

Philippe Bélanger

Areas/Paper type – 08. Integration of renewable energy in the built environment, Methodology Background – Today’s simulation technology in engineering and architecture are very impressive. As a result technology developers have a good idea of the resulting ...

2013

Modern Portfolio Theory Revisited

David Sébastien Morton de Lachapelle

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...

2012

An X-ray computed tomography-based index to characterize the quality of cataclastic carbonate rock samples

Aurèle Parriaux, Pascal Turberg, Reto Meuli, Vincent Labiouse, Pierre Guillaume Christe

X-ray computed tomography (XRCT) can reconstruct, in a nondestructive way and in three-dimension, the distribution of densities within opaque materials. Consequently, it provides an effective possibility to characterize the inner content of rock core sampl ...

2011

Statistical analysis of subnanometer residual disorder in photonic crystal waveguides: Correlation between slow light properties and structural properties

Romuald Houdré, Hua Zhang, Nicolas Le Thomas, Zhaolu Diao

The authors present a statistical study of residual disorder in nominally identical planar photonic crystal waveguides operating in the slow light regime. The focus is on the role played by the subnanometer scaled residual disorder inherent to state-of-the ...

2011

Graph Chatbot

Chat with Graph Search

Ask any question about EPFL courses, lectures, exercises, research, news, etc. or try the example questions below.

DISCLAIMER: The Graph Chatbot is not programmed to provide explicit or categorical answers to your questions. Rather, it transforms your questions into API requests that are distributed across the various IT services officially administered by EPFL. Its purpose is solely to collect and recommend relevant references to content that you can explore to help you answer your questions.