Working Papers in Asset Pricing
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"Weak convergence of hedging strategies of contingent claims" with J.L. Prigent, FAME DP 39 and HEC Genève DP 2002.02. Abstract pdf ps |
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"Variance optimal cap pricing models", with J.P. Laurent, IRES DP 9902 and CREST DP 9907. Abstract pdf ps |
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"Dynamic portfolio allocation under market incompleteness and wealth effects", with Y. Shen, C. Li, and Y. Jiang, Swiss Finance Institute DP 2020.22. Abstract pdf |
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"Mortality risk and real optimal asset allocation for pension funds", with F. Menoncin, HEC Genève DP 2003.23 and FAME DP 101. Abstract pdf ps |