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Greening the Swiss National Bank's Portfolio

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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

A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

Julien Hugonnier, Pascal St-Amour, Florian Pelgrin

Richer and healthier agents tend to hold riskier portfolios and spend proportionally less on health expenditures. Potential explanations include health and wealth effects on preferences, expected longevity or disposable total wealth. Using HRS data, we per ...

2010

The Emergence of Risks: Contributing Factors

Marie-Valentine Renée Agnès Florin

With this report, IRGC aims to raise awareness among professionals about the fact that risks emerge from a common “fertile ground” that is cultivated by twelve generic “contributing factors”. IRGC defines and illustrates these generic factors, which are ap ...

International Risk Governance Council (IRGC)2010

Analysis of the rebalancing frequency in log-optimal portfolio selection

Daniel Kuhn

In a dynamic investment situation, the right timing of portfolio revisions and adjustments is essential to sustain long-term growth. A high rebalancing frequency reduces the portfolio performance in the presence of transaction costs, whereas a low rebalanc ...

2010

Financial Markets Equilibrium with Heterogeneous Agents

Semyon Malamud

This paper presents an equilibrium model in a pure exchange econ- omy when investors have three possible sources of heterogeneity. In- vestors may di§er in their beliefs, in their level of risk aversion and in their time preference rate. We study the impac ...

2009

Equilibrium Driven by Discounted Dividend Volatility

Semyon Malamud

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 ...

2009

Real estate and portfolio risk: an analysis based on copula functions

Matthieu Dulguerov

This article examines the risk-return trade-off of a mixed-asset portfolio that includes real estate using copula functions. In particular, it analyses the role of direct as opposed to securitised real estate in terms of diversification when the dependence ...

Taylor & Francis2009

Dynamic Mean-Variance Portfolio Analysis under Model Risk

Daniel Kuhn

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 ...

2009

Scenarios to collaborate with emerging markets: Initial focus India

Luca Canetta, Myrna Fatima Flores Pineda

Due to competitive pressures in the global business arena, multinational firms have started to migrate to low-cost sources of labour and materials, which are typically located in countries that also represent emerging market opportunities. In the recent ye ...

2008

Portfolio optimization of hydroelectric assets subject to financial indicators

Nikolaos Iliadis, Simon Granville

The objective of this article is to present a benchmarking of financial indicators implemented in hydroelectric stochastic risk management models. We present three model formulations using a tree approach for hydroelectric optimization using three procedur ...

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