Les gérants de fortune indépendants font preuve d'un étonnant mélange d'optimisme et de pessimisme. Lesgestionnaires indépendants actifs sont 46% à se déclarer confiants à parvenir à croître plus rapidement que lereste du marché. Cette proportion grimpe même à plus de 50% chez les...

Due to non-linear transaction costs, the fi nancial performance of a trading strategy decreaseswith portfolio size. Using a dynamic trading model a la Garleanu and Pedersen (2013), wederive closed-form formulas for the performance-to-scale frontier reached by competitive tradersendowed with a...

As most Exchange-Traded Funds (ETFs) engage in securities lending or are based on total return swaps, they expose their investors to counterparty risk. In this paper, we estimate empirically such risk exposures for a sample of physical and swap-based funds. We find that counterparty risk...