Publications related to Index fund

Empirical Evidence on the Effectiveness of Shareholder Democracy

This thesis is composed of two essays that study the effectiveness of shareholder democracy. In the first essay, I analyze the firm value implications of shareholder-initiated proposals. I show that managerial resistance precludes half of shareholder-init ...

EPFL2021

A method for fast automated assessment of the magnetic resonance parkinsonism index

Bénédicte Marie Maréchal

In patients with parkinsonian syndromes, and particularly during the early stages of the clinical disease, differentiating between idiopathic Parkinson's disease and progressive supranuclear palsy is challenging. Imaging plays an important role in early di ...

SPRINGER2020

The index of singular zeros of harmonic mappings of anti-analytic degree one

Robert Gerhard Jérôme Luce

We study harmonic mappings of the form , where h is an analytic function. In particular, we are interested in the index (a generalized multiplicity) of the zeros of such functions. Outside the critical set of f, where the Jacobian of f is non-vanishing, it ...

TAYLOR & FRANCIS LTD2021

Path properties of the solution to the stochastic heat equation with Levy noise

Robert Dalang, Carsten Hao Ye Chong, Thomas Marie Jean-Baptiste Humeau

We consider sample path properties of the solution to the stochastic heat equation, in Rd or bounded domains of Rd, driven by a Levy space-time white noise. When viewed as a stochastic process in time with values in an infinite-dimensional space, the solut ...

SPRINGER2019

Index-Driven Digitization and Indexation of Historical Archives

Maud Ehrmann, Giovanni Colavizza

The promise of digitization of historical archives lies in their indexation at the level of contents. Unfortunately, this kind of indexation does not scale, if done manually. In this article we present a method to bootstrap the deployment of a content-base ...

2019

Three Essays on Predictability and Seasonality in the Cross-Section of Stock Returns

Vincent Jean Bogousslavsky

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 ...

EPFL2017

Light Scattering Enhancement at the Absorption Edge in Dewetting Droplets of Cyanine Dyes

Frank Nüesch, Jakob Heier, Florent Alexandre Boudoire

Diffraction properties of thin films of dewetted cyanine dye droplets are investigated and related to the complex refractive index. Strong changes in the index of refraction are often found near the absorption edge of organic dyes. Within a small window of ...

Wiley-V C H Verlag Gmbh2017

The total benefit of alternative assets to pension fund portfolios

Anna Slavutskaya

Pension funds only quite recently have explored alternative assets, prodded by financial crises that devastated equity returns and led to low bond returns. We assess the addition of alternative assets to pension fund portfolios in terms of the total benefi ...

Elsevier Science Bv2016

Infrequent Rebalancing, Return Autocorrelation, and Seasonality

Vincent Jean Bogousslavsky

A model of infrequent rebalancing can explain specific predictability patterns in the time series and cross-section of stock returns. First, infrequent rebalancing produces return autocorrelations that are consistent with empirical evidence from intraday r ...

Wiley-Blackwell2016

Essays on the Market Structure and Pricing of Credit Derivatives

Jan Benjamin Junge

This thesis analyzes the interrelation between market structure and price formation in credit derivatives markets. Traditionally, credit derivatives are traded in relatively opaque over-the-counter markets in which trading is segmented and subject to many ...

EPFL2016

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

Napat Rujeerapaiboon, Byung-Geun Choi

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

Elliptical tempered stable distribution

Hasan Fallahgoul

Elliptical distributions are useful for modelling multivariate data, multivariate normal and Student t distributions being two special classes. In this paper, we provide a definition for the elliptical tempered stable (ETS) distribution based on its charac ...

Routledge Journals, Taylor & Francis Ltd2016

Quadratic variance swap models

Damir Filipovic, Loriano Mancini

We introduce a novel class of term structure models for variance swaps. The multivariate state process is characterized by a quadratic diffusion function. The variance swap curve is quadratic in the state variable and available in closed form, greatly faci ...

Elsevier2016

An Economic Model Predictive Control scheme with terminal penalty for continuous-time systems

Colin Neil Jones, Andrea Alessandretti

In this paper, convergence and performance properties of a sample-data continuous time model predictive control (MPC) scheme with economic performance index are developed. In particular, we provide sufficient conditions for convergence of the close loop st ...

2014

Modern Portfolio Theory Revisited : from Real Traders to New Methods

David Sébastien Morton de Lachapelle

In the first place the behavior of (online) traders on markets is analyzed and modeled, and it is shown that the average investor behaves as a mean-variance optimizer in finance. Within this description, transaction costs play a key role in explaining obse ...

EPFL2012

Endogenous Dividend Dynamics and the Term Structure of Dividend Strips

Pierre Collin Dufresne

Many leading asset pricing models predict that the term structure of expected returns and volatilities on dividend strips are upward sloping. Yet the empirical evidence suggests otherwise. This discrepancy can be reconciled if EBIT dynamics are combined wi ...

2012

The Exact Hausdorff Measure of the Zero Set of Fractional Brownian Motion

Thomas Mountford, Driss Baraka

Let {X(t), t is an element of R-N} be a fractional Brownian motion in R-d of index H. If L(0,I) is the local time of X at 0 on the interval I subset of R-N, then there exists a positive finite constant c(=c(N,d,H)) such that ...

Springer US2011

An X-ray computed tomography-based index to characterize the quality of cataclastic carbonate rock samples

Aurèle Parriaux, Pascal Turberg, Vincent Labiouse, Reto Meuli, Pierre Guillaume Christe

X-ray computed tomography (XRCT) can reconstruct, in a nondestructive way and in three-dimension, the distribution of densities within opaque materials. Consequently, it provides an effective possibility to characterize the inner content of rock core sampl ...

2011

Statistical analysis of subnanometer residual disorder in photonic crystal waveguides: Correlation between slow light properties and structural properties

Romuald Houdré, Hua Zhang, Nicolas Le Thomas, Zhaolu Diao

The authors present a statistical study of residual disorder in nominally identical planar photonic crystal waveguides operating in the slow light regime. The focus is on the role played by the subnanometer scaled residual disorder inherent to state-of-the ...

2011

Mutual fund portfolio choice in the presence of dynamic ﬂows

Julien Hugonnier

We analyze the implications of dynamic flows on a mutual fund's portfolio decisions. In our model, myopic investors dynamically allocate capital between a riskless asset and an actively managed fund which charges fraction-of-fund fees. The presence of dyna ...

2010