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 ...
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 ...
An overlapping generations model with investors having heterogeneous investment horizons leads to a two-factor asset pricing model. The risk premiums are determined by the exposure to the market (myopic betas) and the future return on the efficient portfol ...
Since the 2008 Global Financial Crisis, the financial market has become more unpredictable than ever before, and it seems set to remain so in the forseeable future. This means an investor faces unprecedented risks, hence the increasing need for robust port ...
We compare the performance of the perturbation-based (local) portfolio solution method of Devereux & Sutherland (2010a, 2011) with a global solution method. As a test suite we use model specifications that broadly capture features of international financia ...
The ability to issue debt that pays in units of the domestic good leads a country to accumulate a large and negative net foreign asset position while maintaining a positive position in equity. This debt market advantage also helps to explain the weak relat ...
We introduce in this thesis the idea of a variable lookback model, i.e., a model whose predictions are based on a variable portion of the information set. We verify the intuition of this model in the context of experimental finance. We also propose a novel ...
Cloud applications that offer data management services are emerging. Such clouds support caching of data in order to provide quality query services. The users can query the cloud data, paying the price for the infrastructure they use. Cloud management nece ...
Institute of Electrical and Electronics Engineers2011
Cloud applications that offer data management services are emerging. Such clouds support caching of data in order to provide quality query services. The users can query the cloud data, paying the price for the infrastructure they use. Cloud management nece ...
This thesis consists of three chapters. The first chapter endogenizes technological change by introducing a stylized innovation process driven by a R&D–dependent Poisson process in a Cox, Ingersoll and Ross (1985) production economy. The model reproduces s ...
This thesis focuses on the decisional process of autonomous systems, and more particularly, on the way to take a decision when the time at disposal in order to assess the whole situation is shorter than necessary. Indeed, numerous systems propose solutions ...
We review recent rain-scanning (fMRI) evidence that activity in certain sub-cortical structures of the human brain correlate with changes in expected reward, as well as with risk. Risk is measured by variance of payoff, as in Markowitz' theory. The brain s ...
We prove that for any incomplete market and any concave utility function the marginal propensities to consume and to save are always positive. Furthermore, we intro- duce a class of incomplete markets that includes almost all well known examples of market ...
