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Filtering returns for unspecified biases in priors when testing asset pricing theory

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Essays on asset pricing with preference heterogeneity

Giuliano Antonio Curatola

Investors' inheterogeneity is one of the prevailing features on financial markets. Thus, the recent asset pricing literature has produced a number of general equilibrium models where agents have different preferences. This thesis analyzes the effect of pre ...

EPFL2013

Essays in Information-Based Asset Pricing

Michael Hasler

I started my Ph.D. studies in the Fall 2008, a period ex-post perceived as being at the core of the Financial Crisis. At that time my ideas were vague and I struggled to find a good research topic. As surprising as it might appear, in one single week the d ...

EPFL2013

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

Andreas Fuster

How does an economy behave if (1) fundamentals are truly hump-shaped, exhibiting momentum in the short run and partial mean reversion in the long run, and (2) agents do not know that fundamentals are hump-shaped and base their beliefs on parsimonious model ...

University of Chicago Press2012

Conditional Density Models for Asset Pricing

Damir Filipovic

We model the dynamics of asset prices and associated derivatives by consideration of the dynamics of the conditional probability density process for the value of an asset at some specified time in the future. In the case where the asset is driven by Browni ...

World Scientific Publishing2012

Liquid-Quench Sampling System for the Analysis of Gas Streams from Biomass Gasification Processes. Part 1: Sampling Noncondensable Compounds

Christian Ludwig, Tilman J. Schildhauer

In biomass gasification plants and related research units, on-line analysis of noncondensable compounds (H-2, CO, CO2, CH4, and light hydrocarbons) and condensable compounds (water, tars, etc.) is desired. Long-duration on-line measurements are often a cha ...

Amer Chemical Soc2012

Sampling and Reconstructing Diffusion Fields with Localized Sources

Martin Vetterli, Yue Lu, Juri Ranieri, Amina Chebira

We study the spatiotemporal sampling of a diffusion field generated by K point sources, aiming to fully reconstruct the unknown initial field distribution from the sample measurements. The sampling operator in our problem can be described by a matrix deriv ...

Ieee Service Center, 445 Hoes Lane, Po Box 1331, Piscataway, Nj 08855-1331 Usa2011

Ambiguity in Asset Markets: Theory and Experiment

This paper studies the impact of ambiguity and ambiguity aversion on equilibrium asset prices and portfolio holdings in competitive financial markets. It argues that attitudes toward ambiguity are heterogeneous across the population, just as attitudes towa ...

2010

Metropolis-Hastings sampling of alternatives for route choice models

Michel Bierlaire, Gunnar Flötteröd

Sampling of alternatives has been shown to be an operational technique for the estimation of route choice models. In order to apply it, the sampling protocol generating paths must be such that the sampling probability is known, in order to correct for the ...

2010

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Sampling of Alternatives for Route Choice Modeling

Michel Bierlaire, Emma Frejinger

This paper presents a new paradigm for choice set generation in the context of route choice model estimation. We assume that the choice sets contain all paths connecting each origin-destination pair. Although this is behaviorally questionable, we make this ...

2009