Concept
Carhart four-factor model
Publications associées (7)
International 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 INC2023Investment Dynamics with Natural Expectations
We study an investment model in which agents have the wrong beliefs about the dynamic properties of fundamentals. Specifically, we assume that agents underestimate the rate of mean reversion. The model exhibits the following six properties: (i) Beliefs are ...
2018Essays on the Market Structure and Pricing of Credit Derivatives
This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...
EPFL2016Natural Expectations, Macroeconomic Dynamics, and Asset Pricing
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 Press2012Estimation of bid functions for location choice and price modeling with a latent variable approach
Michel Bierlaire, Ricardo Daniel Hurtubia González
A new approach for the estimation of bid-rent functions for location choice is proposed. The method considers that the expected maximum bid in the auction of a good is a latent variable than can be related to observed prices for similar goods. The model ge ...
2012Multi-agent modelling of electricity markets
This thesis describes the development of three conceptual models built to serve as decision support tools in liberalised electricity markets. The introduction of competition, higher uncertainty and decentralised planning requires new planning and analysis ...
EPFL2007Excess Asset Returns and Limited Enforcement
This paper investigates the effect of limited enforcement of contracts on asset returns in a three-period pure- exchange overlapping generations economy. We consider a life-cycle setting with a safe and a risky asset and find that lack of commitment can si ...
American Economic Association2002