Concept
Equity premium puzzle
Publications associées (39)
Essays in macro-finance and deep learning
This thesis studies the origins and consequences of financial crises, and computational techniques to solve continuous-time economic models that explain such crises. The first chapter shows that financial recessions are typically characterised by a large r ...
EPFL2023Can one hear the shape of a target zone?
We develop an exchange rate target zone model with finite exit time and non-Gaussian tails. We show how the tails are a consequence of time-varying investor risk aversion, which generates mean-preserving spreads in the fundamental distribution. We solve ex ...
2023Essays in Empirical Asset Pricing
This thesis consists of three applications of machine learning techniques to empirical asset pricing.In the first part, which is co-authored work with Oksana Bashchenko, we develop a new method that detects jumps nonparametrically in financial time series ...
EPFL2022Predictive user-based relocation through incentives in one-way car-sharing systems
Nikolaos Geroliminis, Patrick Stefan Adriaan Stokkink
Car-sharing systems are an attractive alternative to private vehicles due to their benefits in terms of mobility and sustainability. However, the distribution of vehicles throughout the network in one-way systems is disturbed due to asymmetry and stochasti ...
2021Motivating Innovation: The Effect of Loss Aversion on the Willingness to Persist
We investigate the willingness of individuals to persist at exploration in the face of failure. Prior research suggests that the organization's "tolerance for failure" may motivate greater exploration by the individual. Little is known, however, about how ...
MIT Press2020Pessimistic outcome expectancy does not explain ambiguity aversion in decision-making under uncertainty
When faced with a decision, most people like to know the odds and prefer to avoid ambiguity. It has been suggested that this aversion to ambiguity is linked to people's assumption of worst possible outcomes. We used two closely linked behavioural tasks in ...
2019"Dice"-sion Making under Uncertainty: When Can a Random Decision Reduce Risk?
Daniel Kuhn, Wolfram Wiesemann
Stochastic programming and distributionally robust optimization seek deterministic decisions that optimize a risk measure, possibly in view of the most adverse distribution in an ambiguity set. We investigate under which circumstances such deterministic de ...
2019Three Problems of Liquidity under Asymmetric Information
This thesis develops models for three problems of liquidity under asymmetric information.
In the chapter "Disclosures, Rollover Risk, and Debt Runs" I build a model of dynamic debt
runs without perfect information in order to understand the impact of asset ...
EPFL2019Influence of geometrical parameters of chamfered or rounded orifices on head losses
Anton Schleiss, Giovanni De Cesare, Nicolas Jean François Pascal Ghislain Adam
Orifices are largely used in pipeline systems. The most common application is to measure the discharge of the water flowing through. However, orifices may be used to adapt hydroelectric power plants submitted to moderate increase of installed generation ca ...
2019Non-myopic betas
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 ...
2018