We study in details the skew of stock option smiles, which is induced by the so-called leverage effect on the underlying -- i.e. the correlation between past returns and future square returns. This naturally explains the anomalous dependence of the skew as a function of maturity of the option....

We correct a mistake in the published version of our paper. Our new conclusion is that the "implied leverage effect" for single stocks is underestimated by option markets for short maturities and overestimated for long maturities, while it is always overestimated for OEX options, except for the...

We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As it is well known, one can map this problem into a linear programming setting. For some values of the external parameters, when the available time series is too short, the...

We address the problem of portfolio optimization under the simplest coherent risk measure, i.e. the expected shortfall. As is well known, one can map this problem into a linear programming setting. For some values of the external parameters, when the available time series is too short, portfolio...

We use a replica approach to deal with portfolio optimization problems. A given risk measure is minimized using empirical estimates of asset values correlations. We study the phase transition which happens when the time series is too short with respect to the size of the portfolio. We also study...

In the last years European farmers have been facing two new phenomena: the asymmetric price transmission in agro-food sector and the decrease of agricultural value added. The European Commission denounced low transparency in trade relationships and frequent unfair commercial practices between...

In recent years, European farmers have been facing two new phenomena: agricultural commodity price volatility and a decrease in agricultural added value. These issues led the High Level Forum to censure low transparency in relationships between firms and frequently unfair commercial practices,...

We study the statistics of earning forecasts of US, EU, UK and JP stocks during the period 1987-2004. We confirm, on this large data set, that financial analysts are on average over-optimistic and show a pronounced herding behavior. These effects are time dependent, and were particularly strong...

We consider the problem of rational decision making in the presence of nonlinear constraints. By using tools borrowed from spin glass and random matrix theory, we focus on the portfolio optimisation problem. We show that the number of "optimal" solutions is generically exponentially large:...