This paper examines the equilibrium of financial portfolios under insurance

As emphasized by the U.S. Dodd-Frank Act and the European MiFID directive, financial institu-

La littérature a démontré que les organisations adoptent des trajectoires de changement différentes selon leur écart de réalisation, i.e., selon qu’elles réalisent une performance en-deçà, conforme ou au-delà de leurs aspirations. En revanche, l’efficacité relative de ces...

The purpose of this article is to introduce, analyze and compare two performance participation methods based on a portfolio consisting of two risky assets: Option-Based Performance Participation (OBPP) and Constant Proportion Performance Participation (CPPP). By generalizing the provided...

In this article, we show that performance attribution considered alone can be misleading. Indeed, a portfolio manager who knows perfectly the distribution of asset's returns and who performs a relative portfolio optimization according to that information, may be penalized in some of her choices...

Leveraged and inverse ETFs are designed to achieve a multiple exposure (positive or negative, e.g., 2x or -2x) of some index returns on a daily basis. Recently, some controversy surrounding leveraged ETFs has appeared in the U.S. market and focused mainly on the performance results delivered by...

In this article we extend the research on risk-based asset allocation strategies by exploring how using an SRI universe impacts the properties of risk-based portfolios. We focus on four risk-based asset allocation strategies: the Equally Weighted (EW), the Most Diversified Portfolio (MDP), the...

This paper examines whether the initiation of Vigeo Corporate Social Performance (CSP) rating impacts company profiles. Using a sample of European listed firms, we confirm that there is a positive and significant relationship between CSP rating and a firm's liquidity and investor base....

Among leveraged funds, leveraged ETFs are designed to achieve multiple exposure (e.g., twice) to some financial index returns, on a daily basis. In this paper, we derive an analytical expression for the value process of a leveraged ETF. We analyze it as a convex constant allocation portfolio...

This paper examines the equilibrium of portfolio under insurance constraints on the terminal wealth. We consider a single period economy in which agents search to maximize the expected utilities of their terminal wealths. Both partial and general optimal financial equilibria are determined and...