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Greening the Swiss National Bank's Portfolio

Publications associées (37)

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Portfolio Construction with Hierarchical Momentum

Urban Ulrych

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 ...

Pageant Media Ltd2024

Climate risk and vulnerability assessment tool

Changing climatic conditions and increase of extreme events induced by climate change have impacts on non- adapted infrastructures, leading to destruction, damage costs and indirect impacts. To adapt infrastructures to those new conditions, there is a need ...

2023

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

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

A risk-risk assessment framework for solar radiation modification

Concern about the increasingly high-probability, high-impact risks posed by global warming is driving the exploration of new techniques to artificially cool the planet through an approach known as solar radiation modification (SRM). Would the world be bett ...

International Risk Governance Center2021

Using stratospheric aerosol injection to alleviate global warming: when?

Marie-Valentine Renée Agnès Florin

Stratospheric aerosol injection (SAI), a type of solar radiation modification (SRM), has the potential to reduce global warming caused by excessive greenhouse gases in the atmosphere. However, there is currently widespread opposition to it, because deployi ...

EPFL International Risk Governance Center (IRGC).2021

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

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

Risk perception and decision-making: do farmers consider risks from climate change?

Claudia Rebeca Binder Signer

Small-scale farmers are highly threatened by climate change. Experts often base their interventions to support farmers to adapt to climate change on their own perception of farmers' livelihood risks. However, if differences in risk perception between farme ...

SPRINGER2018

La prudence reste de mise en montagne, en forêt et sur les berges

Interview of Prof. Lyesse Laloui at the RTS on the risks during the period of flood reduction. During the period of flood reduction, the level of water reduces more quickly than the pore water pressures in the ground of banks, which makes the risk of insta ...

2018