Concept

Ratio de Sharpe

Publications associées (30)

Multi-Period Portfolio Optimization: Translation of Autocorrelation Risk to Excess Variance

Growth-optimal portfolios are guaranteed to accumulate higher wealth than any other investment strategy in the long run. However, they tend to be risky in the short term. For serially uncorrelated markets, similar portfolios with more robust guarantees hav ...

2016

Learning to Scale Payments in Crowdsourcing with PropeRBoost

Boi Faltings, Goran Radanovic

Motivating workers to provide significant effort has been recognized as an important issue in crowdsourcing. It is important not only to compensate worker effort, but also to discourage low-quality workers from participating. Several proper incentive schem ...

2016

Pricing and hedging of inflation-indexed bonds in an affine framework

Damir Filipovic

This study deals with the pricing and hedging of inflation-indexed bonds. Under foreign exchange analogy we model the nominal short rate, real short rate and logarithm of the price index with an afflne Gaussian process. Using the underlying affine property ...

Elsevier2014

The Swaption Cube

We infer conditional swap rate moments model independently from swaption cubes. Conditional volatility and skewness exhibit systematic variation across swap maturities and option expiries (conditional kurtosis less so), with conditional skewness sometimes ...

Oxford Univ Press Inc2014

Risk and Reward Preferences under Time Pressure

Anjali Devi Vanapilli Nursimulu

Financial decision making under time pressure, though ubiquitous, is poorly understood; classical and behavioral finance are silent about the time required for a decision to be made. In an experiment, calibrating allowable decision times to 1, 3, and 5 s, ...

Oxford Univ Press2014

Capital Supply Uncertainty, Cash Holdings, and Investment

Semyon Malamud, Erwan Morellec, Julien Hugonnier

We develop a model of investment, financing, and cash management decisions in which investment is lumpy and firms face uncertainty regarding their ability to raise funds in the capital markets. We characterize optimal policies explicitly and show that the ...

2013

Natural Expectations, Macroeconomic Dynamics, and Asset Pricing

Andreas Fuster

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 Press2012

Risky Mortgages in a DSGE Model

Luisa Lambertini, Chiara Forlati

This paper develops a DSGE model with housing, risky mortgages, and endogenous default. Housing investment is subject to idiosyncratic risk, and some mortgages are defaulted in equilibrium. An unanticipated increase in the standard deviation of housing inv ...

2011

Essays on Equilibrium Asset Pricing

Rodolfo Javier Prieto Katunaric

This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...

EPFL2010

Functional Requirements for Reward-Modulated Spike-Timing-Dependent Plasticity

Wulfram Gerstner, Nicolas Frémaux

Recent experiments have shown that spike-timing-dependent plasticity is influenced by neuromodulation. We derive theoretical conditions for successful learning of reward-related behavior for a large class of learning rules where Hebbian synaptic plasticity ...

Society for Neuroscience2010

Graph Chatbot

Chattez avec Graph Search

Posez n’importe quelle question sur les cours, conférences, exercices, recherches, actualités, etc. de l’EPFL ou essayez les exemples de questions ci-dessous.

AVERTISSEMENT : Le chatbot Graph n'est pas programmé pour fournir des réponses explicites ou catégoriques à vos questions. Il transforme plutôt vos questions en demandes API qui sont distribuées aux différents services informatiques officiellement administrés par l'EPFL. Son but est uniquement de collecter et de recommander des références pertinentes à des contenus que vous pouvez explorer pour vous aider à répondre à vos questions.

Connectez-vous pour utiliser Chat avec Graph Search