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Analysis of the rebalancing frequency in log-optimal portfolio selection

Publications associées (32)

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COVID-19: data-driven dynamic asset allocation in times of pandemic

Anna Timonina-Farkas

The COVID-19 pandemic has demonstrated the importance and value of multi-period asset allocation strategies responding to rapid changes in market behavior. In this article, we formulate and solve a multi-stage stochastic optimization problem, choosing the ...

AMER INST MATHEMATICAL SCIENCES-AIMS2021

Mean-Covariance Robust Risk Measurement

Daniel Kuhn, Damir Filipovic, Viet Anh Nguyen, Soroosh Shafieezadeh Abadeh

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 ...

2021

Combatting climate change through a portfolio of approaches

Marie-Valentine Renée Agnès Florin

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 ...

International Risk Governance Center (IRGC)2021

Transgenic Model Systems Have Revolutionized the Study of Disease

Alexandre Gauthier Aurèle Mayran, Christopher Chase Bolt

The current pandemic caused by severe acute respiratory syndrome coronavirus 2 (SARS-CoV-2) has affected most of the world in a profound way. As an indirect consequence, the general public has been put into direct contact with the research process, almost ...

MARY ANN LIEBERT, INC2021

Essays in Banking and Financial Regulation

Susanne Johanna Petronella Léonie Vissers

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 ...

EPFL2021

Liquidity regimes and optimal dynamic asset allocation

Pierre Collin Dufresne

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

Sustainability as a Competitive Tool for the Brave? Or for the Best? A Behavioral Theory Perspective

Lorenzo Massa

Who invests in sustainability as a strategic choice? We adopt a behavioral theory perspective to explain the heterogeneity of sustainability-driven investments. Building on problemistic search and organizational inertia arguments, and contrary to resource- ...

SAGE PUBLICATIONS INC2020

Raw Materials and Sustainable Development Goals: the EU Policy Contribution

Many of the Sustainable Development Goals (SDGs) set by the United Nations for 2030 (UN General Assembly 2015) could not be reached without the contribution of raw materials. Raw materials are fuelling the manufacturing sector and creating jobs and value a ...

Paul Scherrer Institute, World Resources Forum2019

Numerical methods for option pricing: polynomial approximation and high dimensionality

Francesco Statti

Options are some of the most traded financial instruments and computing their price is a central task in financial mathematics and in practice. Consequently, the development of numerical algorithms for pricing options is an active field of research. In gen ...

EPFL2019

Equilibrium Models for Derivatives Markets with Frictions

Yuan Zhang

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 ...

EPFL2018