Concept

Modern portfolio theory

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The SP2 SCOPES Project on Speech Prosody

Philip Neil Garner, Bálint Tóth

This is an overview of a Joint Research Project within the Scientific co-operation between Eastern Europe and Switzerland (SCOPES) Program of the Swiss National Science Foundation (SNFS) and Swiss Agency for Development and Cooperation (SDC). Within the SP ...

2014

Worst-Case Value at Risk of Nonlinear Portfolios

Daniel Kuhn

Portfolio optimization problems involving value at risk (VaR) are often computationally intractable and require complete information about the return distribution of the portfolio constituents, which is rarely available in practice. These difficulties are ...

2013

Health and (Other) Asset Holdings

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This paper bridges this gap by proposing a tractable dynamic framework for the joint determinati ...

2013

Health and (Other) Asset Holdings

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This article bridges this gap by proposing a tractable dynamic framework for the joint determina ...

Oxford Univ Press2013

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

Rational asset pricing bubbles and portfolio constraints

Julien Hugonnier

This article shows that portfolio constraints can give rise to rational asset pricing bubbles in equilibrium even if there are unconstrained agents in the economy who can benefit from the induced limited arbitrage opportunities. Furthermore, it is shown th ...

Academic Press Inc Elsevier Science2012

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange economy when investors have three possible sources of heterogeneity. Investors may differ in their beliefs, in their level of risk aversion, and in their time preference rate. The authors study th ...

Oxford University Press2012

Spatiotemporal Brain Signatures of Risk and Reward

Anjali Devi Vanapilli Nursimulu

Rational economics and finance surmise that choices decree from a conscious arbitration between alternatives based on decision-theoretically computed values. Implicit in the computation of these option values are the perception and integration of different ...

Ecole Polytechnique Fédérale de Lausanne2012

Multistage stochastic portfolio optimisation in deregulated electricity markets using linear decision rules

Daniel Kuhn

The deregulation of electricity markets increases the financial risk faced by retailers who procure electric energy on the spot market to meet their customers’ electricity demand. To hedge against this exposure, retailers often hold a portfolio of electric ...

Elsevier2012

On Bounding Credit Event Risk Premia

Pierre Collin Dufresne

Reduced-form models of default that attribute a large fraction of credit spreads to compensation for credit event risk typically preclude the most plausible economic justification for such risk to be priced--namely, a “contagious” response of the market po ...

Columbia Business School2012