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 ...
This article derives a closed-form pricing formula for European exchange options under a non-Gaussianframework for the underlying assets, intending to resolve mispricing associated with a geometric Brownianmotion. The dynamics of each of the two correlated ...
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 ...
If an artificial intelligence aims to maximize risk-adjusted return, then under mild conditions it is disproportionately likely to pick an unethical strategy unless the objective function allows sufficiently for this risk. Even if the proportion eta of ava ...
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 ...
Background: Goat populations that are characterized within the AdaptMap project cover a large part of the worldwide distribution of this species and provide the opportunity to assess their diversity at a global scale. We analysed genome-wide 50K single nuc ...
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 ...
The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relat ...
In this paper, we propose setting up a fund to finance the removal of all Swiss territorial GHG (greenhouse gas) emissions from 2030. The fund will accelerate decarbonization and help reach annual net zero emissions around 2040, and then progressively remo ...
This study presents a thermoeconomic and environmental assessment of the extraction of lipids and proteins from wet microalgal biomass in a 3G biorefinery by two different technologies: supercritical fluid extraction (SFE) and low-pressure solvent extracti ...
