Comparing post-crisis dynamics across Euro Area countries with the Global Multi-country model

Autor: Lukas Vogel, Roberta Cardani, Rafal Raciborski, Alice Albonico, Stefan Hohberger, Werner Roeger, Ludovic Calès, Filippo Maria Pericoli, Massimo Giovannini, Filippo Ferroni, Olga Croitorov, Marco Ratto, Beatrice Pataracchia

Publikováno v: Economic Modelling. 81:242-273

Following the global financial crisis, the Euro Area (EA) has experienced a persistent slump and notable trade balance adjustments, but with pronounced differences across EA Member States. We estimate a multi-country structural macroeconomic model to

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::7f7609d50cb8abe4ba0b36f509e0e7a2
https://doi.org/10.1016/j.econmod.2019.04.016

A Cross-Sectional Score for the Relative Performance of an Allocation

Autor: Dominique Guegan, Ludovic Calès, Monica Billio

Publikováno v: HAL
International Review of Applied Financial Issues and Economics
International Review of Applied Financial Issues and Economics, 2011, 3 (4), pp.700-710

International audience; Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performanc

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=dedup_wf_001::d3b8f5798c2517d66b73b8629c9358bf
http://hdl.handle.net/10278/39078

Portfolio Symmetry and Momentum

Autor: Monica Billio, Ludovic Calès, Dominique Guegan

Publikováno v: European Journal of Operational Research
European Journal of Operational Research, Elsevier, 2011, 214 (3), pp.759-767
HAL

This paper presents a theorical framework to model the evolution of a portfolio whose weights vary over time. Such a portfolio is called a dynamic portfolio. In a first step, considering a given investment policy, we define the set of the investable

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::aac415aebca4da3e0217ce7f36cfdc10
https://halshs.archives-ouvertes.fr/halshs-00645814/document

A Cross-Sectional Performance Measure for Portfolio Management

Autor: Ludovic Calès, Dominique Guegan, Monica Billio

Publikováno v: SSRN Electronic Journal.

Sharpe-like ratios have been traditionally used to measure the performances of portfolio managers. However, they are known to suffer major drawbacks. Among them, two are intricate : (1) they are relative to a peer's performance and (2) the best score

Externí odkaz: https://explore.openaire.eu/search/publication?articleId=doi_dedup___::24f7095c9a50f3454657af4a2b4e7a83
https://doi.org/10.2139/ssrn.2055135