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Asset pricing, portfolio theory, option theory, yield curve

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S. Hu, Y. Malevergne and D. Soirnette, Investor's Misperception: A Hidden Source of High Markups in the Mutual Fund Industry
(http://ssrn.com/abstract=1346935)

Gilles Daniel, Didier Sornette and Peter Wohrman, Look-Ahead Benchmark Bias in Portfolio Performance Evaluation, Journal of Portfolio Management (2008)
(http://arXiv.org/abs/0810.1922)

Y. Malevergne and D. Sornette, A Two-Factor Asset Pricing Model and the Fat Tail Distribution of Firm Sizes, preprint (2007)
(http://papers.ssrn.com/sol3/papers-cfm?abstract_id=960002)

Y. Malevergne and D. Sornette, Self-Consistent Asset Pricing Models, Physica A 382, 149-171 (2007) (large version with 6 appendices for the Proceedings of the 5th International Conference APFS (Applictions of Physics in Financial Analysis), June 29 - July 1, 2006, Torino)
(http://arxiv.org/abs/physics/0608284)

Y. Malevergne and D. Sornette, Multi-Moments Method for Portfolio Management: Generalized Capital Asset Pricing Model in Homogeneous and Heterogeneous markets, In Multi-moment Asset Allocation and Pricing Models, B. Maillet and E. Jurczenko eds., Wiley & Sons, pp. 165-193 (2006)
(http://arXiv.org/abs/cond-mat/0207475) and (http://papers.ssrn.com/sol3/papers.cfm?abstract_id=319544)

R. Crane, J. Escobar and D. Sornette, The Donation-Payment Gift Card Concept: how to give twice with one card, submitted to the The Economists' Voice, The Berkeley Electronic Press (2005)
(http://arxiv.org/abs/physics/0510068)

Y. Malevergne and D. Sornette, Higher-Moment Portfolio Theory (Capitalizing on Behavioral Anomalies of Stock Markets), Journal of Portfolio Management 31 (4), 49-55 (2005)

Y. Malevergne and D. Sornette, High-Order Moments and Cumulants of Multivariate Weibull Asset Returns Distributions: Analytical Theory and Empirical Tests: II, Finance Letters 3 (1), 54-63 (2004)
(http://ssrn.com/abstract=714185)

Y. Malevergne and D. Sornette, Multivariate Weibull Distributions for Asset Returns: I, Finance Letters 2 (6), 16-32 (2004)
(http://ssrn.com/abstract=714161)

Y. Malevergne and D. Sornette, How to account for extreme co-movements between individual stocks and the market, The Journal of Risk 6 (3), 71-116 (2004)
(http://arXiv.org/abs/cond-mat/0202356) and (http://www.ssrn.com/link/econometrics.html)

Y. Malevergne and D. Sornette, VaR-Efficient Portfolios for a Class of Super- and Sub-Exponentially Decaying Assets Return Distributions, Quantitative Finance 4 (1), 17-36 (2003)
(http://arXiv.org/abs/physics/0301009)

Y. Malevergne and D. Sornette, Testing the Gaussian copula hypothesis for financial assets dependences, Quantitative Finance, 3, 231-250 (2003)
(http://arXiv.org/abs/cond-mat/0202356) and (http://www.ssrn.com/link/econometrics.html)

J.V. Andersen, Y. Malevergne and D. Sornette, Comprendre et gerer les risques grands et extremes, Risques 49, 105-110 (2002)

Y. Malevergne and D. Sornette, Minimizing Extremes, RISK, November issue, 129-133 (2002)
(http://www.risk.net) and (http://arXiv.org/abs/cond-mat/0205636)

Y. Malevergne and D. Sornette, Investigating Extreme Dependences: Concepts and Tools, (2002), unpublished and extended into the book "Extreme financial risks"
(http://arXiv.org/abs/cond-mat/0203166) and (http://papers.ssrn.com/paper.taf?abstract_id=303465)

D. Sornette, "Slimming" of power law tails by increasing market returns, Physica A 309, 403-418 (2002)
(http://arXiv.org/abs/cond-mat/0010112)

D. Sornette, Economy of scales in R&D with block-busters, Quantitative Finance 2, 224-227 (2002)
(http://arXiv.org/abs/cond-mat/0001434)

Malevergne, Y. and Sornette D., General framework for a portfolio theory with non-Gaussian risks and non-linear correlations, paper presented at the 18th INTERNATIONAL CONFERENCE IN FINANCE , 26, 27 & 28 JUNE 2001 NAMUR - Belgium
(http://www.fundp.ac.be/eco/affi2001/) and (e-print at http://arXiv.org/abs/cond-mat/0103020)

D. Sornette, Fokker-Planck equation of distributions of financial returns and power laws, Physica A 290 (1-2), 211-217 (2001)
(http://arXiv.org/abs/cond-mat/0011088)

J.V. Andersen and D. Sornette, Have your cake and eat it too: increasing returns while lowering large risks! Journal of Risk
Finance 2 (3), 70-82 (2001)
(http://xxx.lanl.gov/abs/cond-mat/9907217) and (http://econwpa.wustl.edu/eprints/fin/papers/9907/9907005.abs)

P. Santa-Clara and D. Sornette, The Dynamics of the Forward Interest Rate Curve with Stochastic String Shocks, The Review of Financial Studies 14(1), 149-185 (2001)
(http://xxx.lanl.gov/abs/cond-mat/9801321)

D. Sornette, P. Simonetti and J. V. Andersen, phi^q-field theory for Portfolio optimization: ``fat tails'' and non-linear correlations, Physics Report 335 (2), 19-92 (2000)
(http://xxx.lanl.gov/abs/cond-mat/9903203)

D. Sornette, J. V. Andersen and P. Simonetti, Portfolio Theory for ``Fat Tails'', International Journal of Theoretical and Applied Finance 3 (3), 523-535 (2000)
(http://xxx.lanl.gov/abs/cond-mat/9811292)

Didier Sornette and Daniel Zajdenweber, The economic return of research: the Pareto law and its implications, European Physical Journal B, 8 (4), 653-664 (1999)
(http://xxx.lanl.gov/abs/cond-mat/9809366)

D. Sornette, "String" formulation of the Dynamics of the Forward Interest Rate Curve, European Physical Journal B 3, 125-137 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9802136)

D. Sornette, Large deviations and portfolio optimization, Physica A 256, 251-283 (1998)
(http://xxx.lanl.gov/abs/cond-mat/9802059)

J.-P. Bouchaud, D. Sornette, C. Walter and J.-P. Aguilar, Taming large events : Optimal portfolio theory for strongly fluctuating assets, International Journal of Theoretical and Applied Finance 1, 25-41 (1998)

J.-P. Bouchaud, D. Sornette and M. Potters, Option pricing in the presence of extreme fluctuations, in Mathematics of Derivative Securities, edited by MA.H. Dempster and S.R. Pliska, Cambridge University Press 1997, pp. 112-125

J.-P. Bouchaud and D. Sornette, Physics Today, p.91-92, July (1996); reply to O. Cheyette and R.N. Kahn, Derivatives trading again: Finance pros take on physicists, Physics Today, p.90-91, July (1996)

J.-P. Bouchaud, G. Iori and D. Sornette, Real-world options, Risk 9 (3), 61-65, March (1996)
(http://xxx.lanl.gov/abs/cond-mat/9509095)

J.-P. Bouchaud and D. Sornette, Derivatives trading: Physicists favor less complex and risky theory, Physics Today, March (1996), p.15

J.-P. Bouchaud and D. Sornette, Reply to Mikheev's comment on the Black-Scholes pricing problem, J.Phys.I France 5, 219-220 (1995)

J.-P. Bouchaud and D. Sornette, The Black-Scholes option pricing problem in mathematical finance : Generalization and extensions for a large class of stochastic processes, J.Phys.I France 4, 863-881 (1994)

 

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© 2009 ETH Zurich | Imprint | Disclaimer | 24 February 2009
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