Maxime Auberson

In my research, I investigate various aspects of asset pricing and portfolio optimization, exploring topics such as the consequences of expectation errors (means, variances, correlations), the impact of sustainability on asset prices, and the relationship between asset characteristics and optimal portfolio positions. My work aims to contribute to a deeper understanding of financial markets and improve risk-return trade-offs for investors.

Asset Pricing, Quantitative Asset Management

Equilibrium Expectation Errors and Asset Pricing Anomalies, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=3932194

Sustainability and Asset Pricing: a Supply and Demand Approach, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4570952

Characteristics and Non-Parametric Optimal Portfolio Policies, https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4570863