In this paper, we discuss one of the reasons leading practitionners to the rejection of the Markowitz model and propose a new stastistical method to avoid this problem. To be more precise, we discuss the problem of statistical robustness of the Markowitz optimizer and show that the latter is not...

In this paper constant quality price indices are constructed for three categories of real estate in Geneva: Apartment building, vacant land and condominiums. We use both hedonic and repeat sales models to estimate the rate of price change on these three submarkets.

The preemptive role of the mean of payment in a takeover contest is analysed following the bidder's point of view.

In this paper, we develop alternative models to price derivative securities when the underlying asset may be subject to jumps. These models allow for two kinds of jumps: scheduled jumps which are caused by information for which the disclosure data is known in advance (e.g. earnings...