Concept
Mutual fund separation theorem
Related publications (16)
Dynamic Mean-Variance Portfolio Analysis under Model Risk
The classical Markowitz approach to portfolio selection is compromised by two major shortcomings. First, there is considerable model risk with respect to the distribution of asset returns. Particularly, mean returns are notoriously difficult to estimate. M ...
2009Equilibrium Driven by Discounted Dividend Volatility
We derive representations for the stock price drift and volatility in the equilibrium of agents with arbitrary, heterogeneous utility functions and with the aggregate dividend following an arbitrary Markov diffu- sion. We introduce a new, intrinsic characte ...
2009Multi-experts scheduling system for real-time applications
This thesis focuses on the decisional process of autonomous systems, and more particularly, on the way to take a decision when the time at disposal in order to assess the whole situation is shorter than necessary. Indeed, numerous systems propose solutions ...
EPFL2009Interrelating Operational and Financial Performance Measurements in Inventory Control
Financial supply chain management and working capital management are increasingly receiving attention as important avenues to increase profitability in supply chains. By actively managing payment terms and working capital requirements, managers can influen ...
2008Do Funds Need Governance? Evidence from Variable Annuity-Mutual Fund Twins
We study the roles of traditional governance (boards, sponsors, etc.) and market governance(investors voting with their feet) in mutual funds and variable annuities. We find that market governance is less pronounced for variable annuity investors. Using a ...
2007Benchmarking of hydroelectric stochastic risk management models using financial indicators
Matthias Finger, Pierre-André Haldi
The objective of this paper is to present the operating and hedging analysis of a hydroelectric system in a non-hydro dominated market using a specifically-developed tool for operating and contracting decisions. Hydropower companies are likely to face stoc ...
2005