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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 ...
If an artificial intelligence aims to maximize risk-adjusted return, then under mild conditions it is disproportionately likely to pick an unethical strategy unless the objective function allows sufficiently for this risk. Even if the proportion eta of ava ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
The volatility distribution of the organic aerosol (OA) and its sources during the Southern Oxidant and Aerosol Study (SOAS; Centreville, Alabama) was constrained using measurements from an Aerodyne high-resolution time-of-flight aerosol mass spectrometer ...
This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...
In this paper, we propose setting up a fund to finance the removal of all Swiss territorial GHG (greenhouse gas) emissions from 2030. The fund will accelerate decarbonization and help reach annual net zero emissions around 2040, and then progressively remo ...
This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...
This article focuses on the use of biomass to produce transportation fuels such as synthetic natural gas, bioethanol and electricity under a sustainable scenario in West Africa in 2050. The aim of this work was to evaluate the feasibility of producing such ...
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 ...
Background: Goat populations that are characterized within the AdaptMap project cover a large part of the worldwide distribution of this species and provide the opportunity to assess their diversity at a global scale. We analysed genome-wide 50K single nuc ...