We have analyzed the risks of possible development of bubbles in Switzerland's residential real estate market. The data employed in this work has been collected by comparis.ch, and carefully cleaned from duplicate records through a procedure based on supervised machine learning methods. The...

This short review presents a selected history of the mutual fertilization between physics and economics, from Isaac Newton and Adam Smith to the present. The fundamentally different perspectives embraced in theories developed in financial economics compared with physics are dissected with the...

We explore the role of public subsidies in mitigating the transition risk associated with a climate-neutral objective by 2060. We develop and estimate an environmental dynamic stochastic general equilibrium model for the world economy featuring an endogenous market structure for green products....

We evaluate the sustainability of real estate investment vehicles in Switzerland according to the three Environmental, Social, and Governance (ESG) pillars. For this purpose, we conducted a survey of direct investors (real estate investment companies, funds, and foundations) inquiring about...

We propose a novel way of measuring the equity portfolio-level environmental and social characteristics of a 13F institution (the “sustainability footprint”) and examine the relation between sustainability footprints and risk-adjusted investment performance. The analysis shows that 13F...

We solve the problem of mean-variance hedging for general semimartingale models via stochastic control methods. After proving that the value process of the associated stochastic control problem has a quadratic structure, we characterise its three coefficient processes as solutions of...

We solve the problems of mean-variance hedging (MVH) and mean-variance portfolio selection (MVPS) under restricted information. We work in a setting where the underlying price process S is a semimartingale, but not adapted to the filtration G which models the information available for...

This paper studies the relationship between green funds and firms' attention to sustainability. By using a natural language processing algorithm that extracts topics from texts, we measure the extent to which firms talk about sustainable energy during earnings conference calls. We use our...

We analyze the dynamics, and the spatial distribution of nighttime light using the open source data of the Defense Meteorological Satellite Program of the U.S. Air Force. A detailed analysis of the relevant literature and our study of the database allow us to set up a best-practice for the use...

I propose a new tool to characterize the resolution of uncertainty around FOMC press conferences. It relies on the construction of a measure capturing the level of discussion complexity between the Fed Chair and reporters during the Q&A sessions. I show that complex discussions are associated...