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Asset Pricing and Asset Allocation Projects

Title: Asset Pricing with Regime Dependent Preferences and Learning
Project Leader:
Prof. Tony Berrada (University of Geneva)

The objective of this research project is to study the impact of regime dependent preferences on equilibrium asset prices when information pertaining to the state of the economy is incomplete.

Title: The Role of Betas versus Characteristics in Cross-Sectional Asset Pricing
Project Leader:
Prof. Amit Goyal (University of Lausanne)

By developing a new methodology for cross-sectional asset-pricing tests, the goal of this study is to disentangle the relative importance of betas and firm characteristics in explaining the cross-sectional variation in expected returns.

Title: Financial and Health-Related Allocations over the Life Cycle
Project Leader:
Prof. Julien Hugonnier (Ecole Polytechnique Fédérale de Lausanne)

This project aims to develop a tractable dynamic framework capable of modeling the joint determination of a household’s financial and health-related decisions over its life cycle.

Title: CDS Market Liquidity
Project Leader:
Prof. Anders Trolle (Ecole Polytechnique Fédérale de Lausanne)

With the goal of analyzing liquidity effects in the credit default swap (CDS) market, this study aims to construct a new measure of market-wide CDS illiquidity and to assess the impact of liquidity risk on expected returns of CDS contracts.

Title: Term Structures and Cross Sections of Asset Risk Premia
Project Leader:
Prof. Fabio Trojani (University of Lugano)

This project aims to shed further light on the price formation for individual financial assets across different markets, as a function of the level and term structure of the assets’ risks or uncertainty.