Publications associées à Mutual fund competition in the presence of dynamic flows

Portfolio Construction with Hierarchical Momentum

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

Exponential convergence to steady-states for trajectories of a damped dynamical system modeling adhesive strings

Nicola De Nitti

We study the global well-posedness and asymptotic behavior for a semilinear damped wave equation with Neumann boundary conditions, modeling a one-dimensional linearly elastic body interacting with a rigid substrate through an adhesive material. The key fea ...

World Scientific Publ Co Pte Ltd2024

Collective motion in a sheet of microswimmers

Viktor Skultéty

Self-propelled particles such as bacteria or algae swimming through a fluid are non-equilibrium systems where particle motility breaks microscopic detailed balance, often resulting in large-scale collective motion. Previous theoretical work has identified ...

Nature Portfolio2024

International Portfolio Choice with Frictions: Evidence from Mutual Funds

Simon Tièche

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

Backtracking Dynamical Cavity Method

Lenka Zdeborová, Freya Behrens, Barbora Hudcová

The cavity method is one of the cornerstones of the statistical physics of disordered systems such as spin glasses and other complex systems. It is able to analytically and asymptotically exactly describe the equilibrium properties of a broad range of mode ...

American Physical Society2023

Effect of a temperature gradient on the screening properties of ionic fluids

Andrea Grisafi, Federico Grasselli

The electrostatic screening properties of ionic fluids are of paramount importance in countless physical processes. Yet the screening behavior of ionic conductors out of thermal equilibrium has to date mainly been studied in the context of thermoelectric p ...

AMER PHYSICAL SOC2023

Greening the Swiss National Bank's Portfolio

Rüdiger Fahlenbrach, Eric Jondeau

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 ...

OXFORD UNIV PRESS2023

Identifying invariant solutions of wall-bounded three-dimensional shear flows using robust adjoint-based variational techniques

Tobias Schneider, Omid Ashtari

Invariant solutions of the Navier-Stokes equations play an important role in the spatiotemporally chaotic dynamics of turbulent shear flows. Despite the significance of these solutions, their identification remains a computational challenge, rendering many ...

Cambridge University Press2023

Structural topology exploration through policy-based generation of equilibrium representations

Corentin Jean Dominique Fivet, Ioannis Mirtsopoulos

Mainstream approaches to design spatial architectural forms that are structurally relevant consist either in adapting well-known and catalogued conventional types or in searching for close-to-optimum solutions of well-defined problems. Few means exist to e ...

2023

Demand-based Asset Pricing: Theory, Estimation and Applications

Philippe van der Beck

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

EPFL2023