Concept
Risk–return spectrum
Publications associées (33)
A lunar reconnaissance drone for cooperative exploration and high-resolution mapping of extreme locations
David Rodriguez Martinez, Daniel Tataru, Erik Uythoven, Thomas Pfeiffer
An efficient characterization of scientifically significant locations is essential prior to the return of humans to the Moon. The highest resolution imagery acquired from orbit of south-polar shadowed regions and other relevant locations remains, at best, ...
Pergamon-Elsevier Science Ltd2024Essays 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 ...
EPFL2023International Portfolio Choice with Frictions: Evidence from Mutual Funds
Using data on international equity portfolio allocations by U.S. mutual funds, we estimate a portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on the previous month a ...
OXFORD UNIV PRESS INC2023Essays in Monetary Policy and Asset Pricing
This thesis uses machine learning techniques and text data to investigate the relationships that arise between the Fed and financial markets, and their consequences for asset prices.The first chapter, entitled Market Expectations and the Impact of Unconven ...
EPFL2022Essays on adaptation to rare disasters
This thesis aims to further investigate rare natural disasters and studies adaptation decisions under uncertainty by solving several computational economic models. The modeling of rare natural disasters depends on the treatment of catastrophic outcomes wit ...
EPFL2019Pricing interest rate, dividend, and equity risk
This thesis studies the valuation and hedging of financial derivatives, which is fundamental for trading and risk-management operations in financial institutions. The three chapters in this thesis deal with derivatives whose payoffs are linked to interest ...
EPFL2019Equilibrium Models for Derivatives Markets with Frictions
This thesis develops equilibrium models, and studies the effects of market frictions on risk-sharing, derivatives pricing, and trading patterns.
In the chapter titled "Imbalance-Based Option Pricing", I develop an equilibrium model of fragmented options m ...
EPFL2018Essays in Bank Financing
This thesis examines the optimal mode of financing for banks and financial institutions. The first chapter, which is a joint work with Prof. Jean-Charles Rochet, investigates how Systemically Important Financial Institutions (SIFIs) should be financed. The ...
EPFL2017Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns
This thesis examines predictability and seasonality in the cross-section of stock returns. The first chapter, titled ``Infrequent Rebalancing, Return Autocorrelation, and Seasonality,'' shows that a model of infrequent rebalancing can explain specific pred ...
EPFL2017