Publications related to Investment management

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

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

Dispatch-aware Optimal Planning of Active Distribution Networks including Energy Storage Systems

Ji Hyun Yi

The thesis develops a planning framework for ADNs to achieve their dispatchability by means of ESS allocation while ensuring a reliable and secure operation of ADNs. Second, the framework is extended to include grid reinforcements and ESSs planning. Finall ...

EPFL2023

Essays on the Role of Policy and Venture Financing in Clean Technology Innovation

Matthias David van den Heuvel

This thesis aims to provide novel analyses and data that improve the understanding of the financing of investments in clean technologies. In particular, this thesis explores the role that private and public actors play in supporting young innovative firms. ...

EPFL2022

Patron-Driven Acquisition et Evidence-Based Acquisition: Comment implémenter ces modèles afin d’étendre l’offre documentaire dans une bibliothèque ?

Marion Favre, Manon Velasco

Nowadays, usage-based acquisition models for e-books, as PDA and EBA, are quite spread and allow libraries to offer wider collections, without acquiring them. A PDA with Ebook Central was implemented in 2019 and a first EBA with Wiley in 2021. The EPFL Lib ...

Liège Université Library2023

Risk-based methodology to assess bridge condition based on visual inspection

Eugen Brühwiler, Numa Joy Bertola

The visual inspection of existing infrastructure is a critical step for asset management, as the detection and quantification of damage must be useful to prioritise maintenance. In Switzerland, main inspections are made every five years for all road bridge ...

2021

Informational frictions in financial markets

Erik Hapnes

This thesis consists of three chapters on informational frictions in financial markets. The chapters analyze problems related to markets' ability to guide real investment, and what drives liquidity. Both problems are important to ensure efficient resource ...

EPFL2021

Re-evaluating natural resource investments under uncertainty: An alternative to limited traditional approaches

Sebastian Maier

The need to evaluate natural resource investments under uncertainty has given rise to the development of real options valuation; however, the analysis of such investments has been restricted by the capabilities of existing valuation approaches. We re-visit ...

2021

Agency conflicts and short- versus long-termism in corporate policies

Erwan Morellec

We build a dynamic agency model in which the agent controls both current earnings via short-term investment and firm growth via long-term investment. Under the optimal contract, agency conflicts can induce short- and long-term investment levels beyond firs ...

ELSEVIER SCIENCE SA2020

Measurement-system design for structural identification

Numa Joy Bertola

In developed countries, the management of existing civil infrastructure is challenging due to evolving functional requirements, aging and climate change. Due to conservative approaches in construction design and practice, infrastructure often has hidden re ...

EPFL2020

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

An Optimisation Approach for Long-Term Industrial Investment Planning

François Maréchal, Ivan Daniel Kantor, Hür Ebuzer Bütün

The industrial sector has a large presence in world energy consumption and CO2 emissions, which has made it one of the focal points for energy and resource efficiency studies. However, large investments are required to retrofit existing industrial plants, ...

2019

Massive Open Online Labs (MOOLs): An Innovative Solution to Achieving SDGs in the Global South

Denis Gillet, Christophe Salzmann, Yves Henri Philippe Piguet, Rayana Jaafar

In engineering education, laboratories represent an important academic resource as they provide practical training in addition to the fundamental theories. However, the acquisition of new machinery and the maintenance of the equipment imply a large investm ...

IEEE2019

Three Essays in Banking and Finance

Damien Olivier Klossner

This thesis develops three models that study the motivation of various agents to take on debt, and the impact that excessive financial leverage can have on social welfare. In the chapter "Short-term Bank Leverage and the Value of Liquid Reserves", the ince ...

EPFL2019

Towards Advanced Fusion Gyrotrons: 2018 Update on Activities within EUROfusion

Stefano Alberti, Minh Quang Tran, Ioannis Pagonakis, Martin Schmid, Konstantinos Avramidis

During the ongoing pre-concept phase (2014 - 2020) for a possible future European DEMOnstration Fusion Power Plant (DEMO) the activities within EUROfusion WP HCD EC Gyrotron R&D and Advanced Developments are focusing on options for near-term solutions, and ...

E D P SCIENCES2019

IT Investment and its impacts : does IT matter during crisis, during financing and in Innovation?

Shameem Hasan

This thesis empirically explored the impacts of IT investment on three different scenarios under the common denominator / threads of IT investments. It comprises three different essays on the impacts of IT investments. IT investments and its impact on many ...

EPFL2018

For Their Own Good and For the Good of Others: Identity Duality in New Venture Evaluation and Investor Decision-Making

Nettra Danette Pan

Organizing is a managerial process which demands a sense of purpose. When stories about "who we are" and "what we do" are salient and coherent (Voss, Cable & Voss, 2006), organizations can better plan, explain and justify collective action (Whetten & Macke ...

EPFL2018

An assessment of how well we account for intangibles

Gaétan Jean A de Rassenfosse

Estimates of intangible capital stock are of prime importance for accurate measurement of productivity growth. Aggregate intangible capital stock is usually estimated using the so-called Corrado-Hulten-Sichel (CHS) new growth accounting framework. Yet this ...

Oxford University Press2017

Thermo-economic and environmental comparison of supercritical water and enzymatic hydrolysis of sugarcane bagasse in a biorefinery concept

François Maréchal, Adriano Viana Ensinas

In this study, we discuss the difference regarding thermo-economic and environmental (water intake) aspects between two methods of biomass hydrolysis. A thermo-economic model was developed using Aspen Plus® and MATLAB software in order to analyze the energ ...

2017

Essays in Financial Economics

Christoph Helmut Peter Herpfer

This thesis contains four chapters, each of which utilizes new or unusual data sources to analyze a different area of financial economics. In the first chapter, I construct a novel dataset linking individual bankers to large borrowers in the U.S. syndicate ...

EPFL2017