Concept

Intertemporal portfolio choice

Publications associées (47)

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This article presents a portfolio construction approach that combines the hierarchical clustering of a large asset universe with the stock price momentum. On one hand, investing in high-momentum stocks enhances returns by capturing the momentum premium. On ...

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Central banks are increasingly concerned about climate-related risks and want to ensure that the financial system is resilient to them. As they integrate these risks into financial stability monitoring, they also discuss how to apply environmental criteria ...

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International Portfolio Choice with Frictions: Evidence from Mutual Funds

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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 INC2023

Demand-based Asset Pricing: Theory, Estimation and Applications

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This thesis investigates the relationship between investors' demand shocks and asset pricesthrough the use of data on portfolio holdings. In three chapters, I study the theory, estimation,and application of demand-based asset pricing models, which incorpor ...

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Mean-Covariance Robust Risk Measurement

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We introduce a universal framework for mean-covariance robust risk measurement and portfolio optimization. We model uncertainty in terms of the Gelbrich distance on the mean-covariance space, along with prior structural information about the population dis ...

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Essays in Banking and Financial Regulation

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This thesis examines how banks choose their optimal capital structure and cash reserves in the presence of regulatory measures. The first chapter, titled Bank Capital Structure and Tail Risk, presents a bank capital structure model in which bank assets a ...

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Given the urgency of deploying all possible ways to combat climate change, and in light of lessons learned from the Covid-19 pandemic outbreak that it was a mistake to ignore signals and not prepare for worst-case scenarios, this article suggests that tech ...

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Liquidity regimes and optimal dynamic asset allocation

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We solve a portfolio choice problem when expected returns, covariances, and trading costs follow a regime-switching model. The optimal policy trades towards an aim portfolio given by a weighted-average of the conditional mean-variance-efficient portfolios ...

ELSEVIER SCIENCE SA2020

Lifetime investment and consumption with recursive preferences and small transaction costs

Yaroslav Melnyk, Johannes Muhle-Karbe

We investigate the effects of small proportional transaction costs on lifetime consumption and portfolio choice. The extant literature has focused on agents with additive utilities. Here, we extend this analysis to the archetype of nonadditive preferences: ...

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Replicating portfolio approach to capital calculation

Damir Filipovic, Mathieu Jacques David Cambou

The replicating portfolio (RP) approach to the calculation of capital for life insurance portfolios is an industry standard. The RP is obtained from projecting the terminal loss of discounted asset–liability cash flows on a set of factors generated by a fa ...

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