Financial Regulations and Procyclicality [extrait BMI 138]

Financial Regulations and Procyclicality [extrait BMI 138]

Version numérique PDFThis paper is an attempt to understand whether or not it is relevant to talk about procyclicality in the financial markets and how it may or may not be regulated. The paper focus on the procyclicality aspect of financial regulations, including in particular those pertaining to credit, banks and insurance companies, and financial...
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Robust Portfolio Protection: A Scenarios-based Approach [extrait BMI 138]

Robust Portfolio Protection: A Scenarios-based Approach [extrait BMI 138]

Version numérique PDFThis paper constructs a portfolio protection model to deal with uncertain adverse returns. Our model considers an adjustable discrete uncertainty set to control the conservatism of the robust portfolio. Without prior assumptions on the data generating process, we develop an a priori probabilistic guarantee of the robust portfolio....
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Introducing Expected Returns into Risk Parity Portfolios: A New Framework for Asset Allocation [extrait BMI 138]

Introducing Expected Returns into Risk Parity Portfolios: A New Framework for...

Version numérique PDFRisk parity is an allocation method used to build diversified portfolios that does not rely on any assumptions of expected returns, thus placing risk management at the heart of the strategy. This explains why risk parity became a popular investment model after the global financial crisis in 2008. However, risk parity has also been...
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Could French and Eurozone Savers Invest More in Risky Assets? [extrait BMI 138]

Could French and Eurozone Savers Invest More in Risky Assets? [extrait BMI 138]

Version numérique PDFDuring the crisis, French savers are turning even more towards safe, short-term assets or real estate and away from more risky and long-term financial investments. This state of affairs is a cause of concern to some analysts, who are looking for ways to encourage households to take more risks and put more of their savings into...
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Managerial Myopia: Do Managers Privilege Short-term Decisions or Value Creation? [extrait BMI 135]

Managerial Myopia: Do Managers Privilege Short-term Decisions or Value...

Version numérique PDFManagerial myopia is detrimental to long-term investors and harms long-term firm competitiveness. In a perfect market, a manager who increases short-term earnings at the expense of long-term oriented investments should be sanctioned by investors. Likewise, a firm?s stock price should not respond positively to managerial myopic...
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Reforming the Structures of the EU Banking Sector: Risks and Challenges [extrait BMI 135]

Reforming the Structures of the EU Banking Sector: Risks and Challenges...

Version numérique PDFThe paper discusses the rationale for implementing structural reforms in the banking sector in Europe aiming at separating risky/speculative from retail banking activities. From a financial stability point of view, while acknowledging that there is no optimal banking structure, we argue that any attempt to reform banking structure...
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Conflict of Interest between Investors and Financial Advisers [extrait BMI 135]

Conflict of Interest between Investors and Financial Advisers [extrait BMI 135]

Version numérique PDFThis article discusses the conflict of interest between investors and their financial advisers resulting from fee structures and commission schemes. Previous studies have treated this issue in relation to the amount invested or the expected holding period of the mutual fund. In this paper, we develop a model that includes...
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French Retail Financial Structured Products: A Typology and Assessment of Their Fair Pricing [extrait BMI 135]

French Retail Financial Structured Products: A Typology and Assessment of...

Version numérique PDFThis paper deals with the pricing of financial structured products. We examine French retail structured products, ?OPCVM. Formule?, from a sample including about 650 funds. First, we detail the main characteristics of this market and propose a simplified typology of all these products. Second, we analyze some of the most common...
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Editorial [extrait BMI 134]

Editorial [extrait BMI 134]

Version numérique PDFAuteurs :Brière Marie Extrait de la revue BMI 134
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Projecting Pension Outcomes at Retirement ? Towards an Industry Reporting Standard [extrait BMI 134]

Projecting Pension Outcomes at Retirement ? Towards an Industry Reporting...

Version numérique PDFWe propose a method for projecting pension benefits, deriving from DC pension plans and other funded products, at retirement. Projections highlight how the current choice of asset allocation impacts on future potential retirement outcomes. The latter are compared with a money-back benchmark so as to clarify the trade-off between risk...
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Long-term Portfolio Allocation Based on Long-term Macro Forecasts [extrait BMI 134]

Long-term Portfolio Allocation Based on Long-term Macro Forecasts [extrait...

Version numérique PDFWe first discuss arguments that rebut quantitative portfolio allocation for the long term based on non predictability of asset markets. Next, we find that over long time horizon such as 10 years, macro-economic forecasts of various economic variables outperform in terms of meansquarederrors those obtained with purely statistical...
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Can Large Long-term Investors Capture Illiquidity Premiums? [extrait BMI 134]

Can Large Long-term Investors Capture Illiquidity Premiums? [extrait BMI 134]

Version numérique PDFIn this paper we perform a literature study to assess whether large longterm investors can benefit from liquidity premiums in different asset classes. We both describe the theoretical predictions on liquidity premiums and portfolio choice with illiquidity, as well as empirical evidence on liquidity premiums. We document that expected...
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