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Equity portfolio insurance against a benchmark: Setting, replication and optimality

Bahaji, Hamza - Université Paris-Dauphine (Paris IX) - 2014

This paper undertakes the issue of portfolio insurance from the perspective of a risk-averse agent requiring his financial wealth to grow at a floored rate in excess of an equity benchmark. The suggested solution is a generalization of the CPPI approach within a two-equity asset framework. The...

Persistent link: https://www.econbiz.de/10010891142

Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Gresse, Carole; Gajewski, Jean-François - Université Paris-Dauphine (Paris IX) - 2007

This article compares the cost of trading large capitalisation equities on the hybrid order-driven segment of the London Stock Exchange and the centralised electronic order book of Euronext. Using samples of stocks matched according to economic sector, free float capitalisation, and trading...

Persistent link: https://www.econbiz.de/10010905293

Effects of the Competition between Multiple Trading Platforms on Market Liquidity : Evidence from the MiFID Experience

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2011

market fragmentation and internalization. Market fragmentation is found to improve global and local liquidity, with spreads … other factors than market fragmentation. The only harmful effect is that fragmentation may reduce market depth for small …

Persistent link: https://www.econbiz.de/10010707360

Centralised order books versus hybrid order books: a paired comparison of trading costs on NSC (Euronext Paris) and SETS (London Stock Exchange)

Gajewski, Jean-François; Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2004

Persistent link: https://www.econbiz.de/10010707560

The Impact of Crossing on Market Quality : an Empirical Study on the UK Market

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2001

Persistent link: https://www.econbiz.de/10010708073

The Effect of Crossing-Network Trading on Dealer Market's Bid-Ask Spreads

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2006

spreads are negatively related to CN executions. Risk-sharing benefits from CN trading dominate fragmentation and cream …

Persistent link: https://www.econbiz.de/10011093892

Effects of Lit and Dark Trading Venue Competition on Liquidity : The MiFID Experience

Gresse, Carole - Université Paris-Dauphine (Paris IX) - 2013

-quote depth relate to market fragmentation and internalization after MiFID. Market fragmentation is found to improve global and … post-MiFID period is driven by other factors than market fragmentation. The only harmful effect is that fragmentation may …

Persistent link: https://www.econbiz.de/10011162105

Air Quality in America

Hayward, Steven F.; Schwartz, Joel - American Enterprise Institute

Schwartz and Hayward offer an alternative analysis of air pollution levels, trends, and prospects in metropolitan areas across the United States.

Persistent link: https://www.econbiz.de/10011273223

No Way Back

Schwartz, Joel - American Enterprise Institute

Claims that air pollution will increase are not only false, but the exact opposite of what will actually happen.

Persistent link: https://www.econbiz.de/10011273237