This paper investigates the relationship between market microstructure and corporate governance in the Tunisian Stock Market. We examine in particular, the relationship between stock liquidity and institutional ownership by the type of institutions (e.g. banks, insurance companies, investment...

This paper deals with performance measurement of financial struc- tured products. For this purpose, we introduce the SharpeOmega ratio, based on put as downside risk measure. This allows to take account of the asymmetry of the return probability distribution. We provide gen- eral results about...

Portfolio insurance allows investors to recover at maturity a given percentage of their initial investment, whatever financial market evolu- tions. This portfolio insurance strategy limits downside risk in falling markets, while it allows potential benefits in rising markets. We analyze this...

The paper introduces the theory of optimal positioning of financial products. It is illustrated in the context of long-term intertemporal portfolio allocation and can be applied for example to asset allocation funds. We embed this problem in location theory: the portfolio is optimized within the...

This paper examines the properties of optimal times to sell a diversified real estate portfolio. The portfolio value is supposed to be the sum of the discounted free cash flows and the discounted terminal value (the discounted selling price). According to Baroni et al. (2007b), we assume that...

We consider option pricing when dynamic portfolios are discretely rebalanced. The portfolio adjustments only occur after ¯xed relative changes in the stock price. The stock price follows a marked point process and the market is incomplete. We first characterisethe equivalent martingale...

The aim of this paper is to identify and analyse the influence of ownership concentration on stock market liquidity in general, and the adverse selection component of the spread in particular for a panel of Tunisian firms from 2001 to 2007. We document that firms with greater insider ownership...