Three Essays on Asset Pricing and Portfolio Allocation

Diplôme Thèse Three Essays on Asset Pricing and Portfolio Allocation eng 2023 2023 author Auberson Maxime 700591 director Berrada Tony 512649 Recherche et enseignement GSEM (RESEM) Tony Nicolas Berrada 152 10.13097/archive-ouverte/unige:173438 urn:nbn:ch:unige-1734385 GSEM 130 In this dissertation, I develop three Essays on Asset Pricing and Portfolio Allocation. In Chapter 1, I fully relax the Perfect Information assumption in the context of the CAPM - heterogeneous and biased investors' beliefs on the assets' means, variances and correlations. Results show that, accounting for expectation errors, the equilibrium pricing relationship is four-dimensional, challenging the conventional one-dimensional perspective. In Chapter 2, I derive an Asset Pricing model based on supply-based firm revenue and cost idiosyncratic risks. Coupled with demand-based investors' preferences for sustainable assets, the outcome is a four-factor pricing relationship that can be used to analyze sustainability and expected returns through a joint supply/demand-side approach. In Chapter 3, I parametrize portfolio weights as non-parametric functions of observable asset characteristics. I show that accounting for non-linearities leads to clear out-performance with respect to the benchmark and more importantly with respect to the linear specification. Asset Pricing Portfolio Allocation Imperfect Information Sustainable Finance Portfolio Optimization Mean-Variance Framework Expectation Errors Dewey 650 116 Geneva Finance Research Institute S4 false 723 Geneva Finance Research Institute (GFRI) 0ddebe48-f0e2-447e-bd48-0312b5077021 Thesis Public Thesis_M_Auberson.pdf 1989336 application/pdf d91a5cffde1f0b503b2dff954c845d741e4762af6ff8c728f764b0e0e420d6fe 0c8f490e-97ed-426d-b3b8-34cdadc74c88 Imprimatur Public AUBERSON Maxime_Imprimatur.pdf 83368 application/pdf 35b548c2fe9d0cc146bbd433f80d193432e32e06d11108b82aa4330f5ff89357 openAccess Faculté d'économie et de management / Geneva Finance Research Institute

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Three Essays on Asset Pricing and Portfolio Allocation				2023	341	175

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Auberson, Maxime

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