Swiss Finance Institute Research Paper Series

Continuation of FAME Research Paper Series.

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08-44: Frailty Correlated Default

Darrell Duffie, Andreas Eckner, Guillaume Horel and Leandro Saita

08-43: The Price of Protection: Derivatives, Default Risk, and Margining

Rajna Gibson and Carsten Murawski

08-42: Testing for threshold effect in ARFIMA models: Application to US unemployment rate data

Amine Lahiani and Olivier Scaillet

08-41: Strategies of Survival in Dynamic Asset Market Games

Rabah Amir, Igor Evstigneev and Le Xu

08-40: Asymmetric Information and Adverse Selection in Mauritian Slave Auctions

Georges Dionne, Pascal St-Amour and Désiré Vencatachellum

08-39: Global Securitized Real Estate Benchmarks and Performance

Camilo Serrano and Martin Hoesli

08-38: Auctioned IPOs: The U.S. Evidence

Francois Degeorge, Francois Derrien and Kent Womack

08-37: Hedge fund alphas: do they reflect managerial skills or mere compensation for liquidity risk bearing?

Rajna Gibson and Songtao Wang

08-36: Learning about Beta: Time-Varying Factor Loadings, Expected Returns,and the Conditional CAPM

Francesco Franzoni and Tobias Adrian

08-35: The Changing Nature Of Market Risk

Francesco Franzoni

08-34: Constructing Long/Short Portfolios with the Omega ratio

Manfred Gilli, Enrico Schumann, Giacomo DI Tollo and Gerda Cabej

08-33: Look-Ahead Benchmark Biasin Portfolio Performance Evaluation

Gilles Daniel, Didier Sornette and Peter Wohrmann

08-32: Bond Ladders and Optimal Portfolios

Kenneth Judd, Felix Kubler and Karl Schmedders

08-31: Asset Market Games of Survival

Rabah Amir, Igor Evstigneev and Klaus Schenk-Hoppé

08-30: From Discrete to Continuous Time Evolutionary Finance Models

Jan Palczewski and Klaus Schenk-Hoppé

08-29: Market Selection of Constant Proportions Investment Strategies in Continuous Time

Jan Palczewski and Klaus Schenk-Hoppé

08-28: Bubbles and multiplicity of equilibria under portfolio constraints

Julien Hugonnier

08-27: Are Securitized Real Estate Returns more Predictable than Stock Returns?

Camilo Serrano and Martin Hoesli

08-26: Mutual Fund Competition in the Presence of Dynamic Flows

Michèle Breton, Julien Hugonnier and Tarek Masmoudi

08-25: Mathematical Basis of Quantum Decision Theory

Vyacheslav I. Yukalov and Didier Sornette

08-24: Counterparty risk

Christian Ewerhart and Jens Tapking

08-23: Incomplete information, idiosyncratic volatility and stock returns

Tony Berrada and Julien Hugonnier

08-22: Underinvestment vs. Overinvestment: Evidence from Price Reactions to Pension Contributions

Francesco A. Franzoni

08-21: The Determinants of the Block Premium and of Private Benefits of Control

Rui Albuquerque and Enrique Schroth

08-20: Valuing modularity as a real option

Andrea Gamba and Nicola Fusari

08-19: Ambiguity Aversion and the Term Structure of Interest Rates

Laurent Barras, Patrick Gagliardini, Paolo Porchia and Fabio Trojani

08-18: False Discoveries in Mutual Fund Performance: Measuring Luck in Estimated Alphas

Laurent Barras, Olivier Scaillet and Russell Wermers

08-17: Distributed Optimisation of a Portfolio's Omega

Manfred Gilli and Enrico Schumann

08-16: Endogenous versus exogenous origins of financial rallies and crashes in an agent-based model with Bayesian learning and imitation

Georges Harras and Didier Sornette

08-15: Anomalous Returns in a Neural Network Equity-Ranking Predictor

J.B. Satinover and D. Sornette

08-14: Evolutionary Finance

Igor Evstigneev, Thorsten Hens and Klaus Schenk-Hoppé

08-13: Executive Compensation and Stock Options: An Inconvenient Truth

Jean-Pierre Danthine and John B. Donaldson

08-12: A review of heuristic optimization methods in econometrics

Manfred Gilli and Peter Winker

08-11: The executive turnover risk premium

Florian S. Peters and Alexander Wagner

08-10: Constant-Quality House Price Indexes for Switzerland

Steven Bourassa, Martin Hoesli, Donato Scognamiglio and Philippe Sormani

08-09: Cash Sub-additive Risk Measures and Interest Rate Ambiguity

Nicole EL Karoui and Claudia Ravanelli

08-08: CHICAGO: A Fast and Accurate Method for Portfolio Risk Calculation

Simon Broda and Marc S. Paolella

08-07: Capital growth under transaction costs: An analysis based on the von Neumann-Gale model

Wael Bahsoun, Igor Evstigneev and Michael I. Taksar

08-06: Contemporaneous Aggregation of GARCH Models and Evaluation of the Aggregation Bias

Eric Jondeau

08-05: Technical Trading Revisited: False Discoveries, Persistence Tests, and Transaction Costs

Pierre Bajgrowicz and Olivier Scaillet

08-04: Implied Volatility at Expiration

Alexey Medvedev

08-03: Nonparametric Instrumental Variable Estimators of Structural Quantile Effects

Victor Chernozhukov, Patrick Gagliardini and Olivier Scaillet

08-02: The Endogenous Price Dynamics of the Emission Allowances: An Application to CO2 Option Pricing

Marc Chesney and Luca Taschini

08-01: Predicting House Prices with Spatial Dependence: Impacts of Alternative Submarket Definitions

Steven Bourassa, Eva Cantoni and Martin Hoesli

07-37: Equilibrium Portfolio Strategies in the Presence of Sentiment Risk and Excess Volatility

Bernard Dumas, Alexander Kurshev and Raman Uppal

07-36: Optimal Monetary Policy in an Estimated DSGE Model of the Euro Area with Cross-Country Heterogeneity

Eric Jondeau and Jean-Guillaume Sahuc

07-35: Forecasting EREIT Returns

Camilo Serrano and Martin Hoesli

07-34: Dynamic Option-Based Strategies under Downside Loss Averse Preferences

Amine Jalal

07-33: Executive Compensation: The View from General Equilibrium

Jean-Pierre Danthine and John B. Donaldson

07-32: Arbitrage in Stationary Markets

Igor Evstigneev and Dhruv Kapoor