This paper takes full advantage of daily quoted prices of microfinance stocks from their issuance, and draws a global picture of worldwide microfinance equity from the viewpoint of a profit-oriented investor. We construct microfinance country equity indices and an international global...

Les enjeux macroéconomiques de la transmission des chocs monétaires via le canal étroit du crédit son nombreux. Ce sujet est amplement abordé dans la littérature d’un point de vue agrégé et empirique. Cependant, les prédictions testées reposent sur des spécifications théoriques...

Les actifs financiers sûrs sont au cœur de la finance de marché aujourd'hui. L'aptitude de tels actifs à protéger la valeur de l'épargne et des avoirs financiers, à servir de garantie à des prêteurs, à permettre aux entités souveraines de se financer ou encore aux banques centrales de...

Les enjeux macroéconomiques de la transmission des chocs monétaires via le canal étroit du crédit son nombreux. Ce sujet est amplement abordé dans la littérature d’un point de vue agrégé et empirique. Cependant, les prédictions testées reposent sur des spécifications théoriques...

This paper is the first to draw a global picture of worldwide microfinance equity by taking full advantage of daily quoted prices. We revisit previous findings showing that investors should consider microfinance as a self-standing sector. Our results are threefold. First, microfinance has become...

This article examines how the introduction of an ETF replicating a stock index impacts on the liquidity of the underlying stocks when the ETF market involves liquidity providers (LPs). We find that index stock spreads decline, relative to those of non-index stocks, after the introduction of the...

This article advocates a systematic rebalancing process –Volatility-Driven Asset Allocation or VDAA – for dynamically managing the strategic asset allocation. The goal of the suggested algorithm is to adjust the asset exposures so as to reflect the assumptions investors used when determining...

Motivated by an optimal investment problem under time horizon uncertainty and when default may occur, we study a general structure for an incomplete semimartingale model extending the classical terminal wealth utility maximization problem. This modelling leads to the formulation of a wealth-path...

In this thesis we deal with different topics in financial mathematics, that are all related to market imperfections and to the fundamental technique of utility maximization. The work consists of three parts. In the first one, which is based on two papers, we consider the problem of optimal...