Stadard asset pricing models generally exclude corporate control and liquidity considerations
as joint explanatory factors of the stock price formation process. This empirical study …

This article focuses on Facebook's new digital currency, initially called" Libra" and renamed
in December 2020" Diem", that has been designed and proposed by the Diem Association (…

Ten years ago, Pascal Gallo, a French researcher with a fresh doctorate in physics from
Toulouse University embarked on a new journey at the Ecole Polytechnique Fédérale de …

Several hedge fund replication products have been launched over the past three to four years.
Consequently a substantial number of products have build up a sufficient track record for …

This paper investigates the influence of Swiss firms' disclosure policy and of their financial
analysts' coverage on stock price abnormal reactions to the publication of the annual reports. …

Asset allocation models have been actively studied for more than three decades. The well
known mean-variance strategy due to MARKOWITZ (1953,) was originally developed to find …

Alternative Risk Premia (ARP) are rule-based strategies. They should reward investors
exposed to non-traditional systematic risk factors. Yet, allocation to ARP is not straightforward. …

This article analyzes UCITS hedge funds, the EU-regulated investment vehicles also called
Newcits or alternative UCITS. Because this regulatory regime allows for a relatively large …

Academic literature on wealth management is often devoted to portfolio optimization. It is
important to remember, however, that wealth management exists as a way for financial …

In this paper, we study a portfolio choice problem when the investment opportunity set is not
constant over time. More precisely, the expected returns of financial assets are assumed to …