Vasyl Golosnoy, Ruhr Universitat Bochum will give a presentation on A Simple Powerful Test for Global Minimum Variance Portfolio Weights Abstract: Realized global minimum variance portfolio (GMVP) weights are computed from inverted realized covariance matrices.

Erica Perego (CEPII) will give a presentation on US monetary policy spillovers to developing countries: the commodity-financial channel Authors: Erica Perego (CEPII), Vincent Bodart (IRES, UCL), François Courtoy (European Commission) Abstract: As commodities are exchanged as international nancial securities, commodity prices are affected by the global financial cycle through international inv

Eva Lütkebohmert-Holtz (U. Friburg) will give a presentation on Deep Learning Name Concentration Risk for Portfolios of Multilateral Development Banks Abstract: As institutions that predominantly lend to sovereign borrowers to achieve their development goals, Multilateral Development Banks’ (MDBs) loan portfolios typically consist of a small number of borrowers.

David Ardia (HEC Montréal) will give a presentation on Is it Alpha or Beta? Decomposing Hedge Fund Returns When Models are Misspecified Abstract: The decomposition of hedge fund returns is hampered by model misspecification. To address this issue, we develop a novel approach to compare models in a large population of funds.

This four-day summer school will cover empirical macro-finance research on monetary policy and the yield curve. The course starts with an overview of different approaches to model the behavior of monetary policy, the term structure of interest rates, and the interactions between the two.

Gunther Capelle-Blancard (Université Paris 1) will give a presentation on Does it pay to be gender-friendly? Evidence from Portfolio Strategies Abstract : In this study, we examine whether gender-based investment strategies have an impact on financial performance.

Beibei Yan (Shanghai University) will give a presentation on Value-relevance of crowdfunding risk factors topology: A topic modeling approach  

Sophie Moinas will give a presentation on Intermittent power generation and risk premia on electricity futures markets Abstract: We investigate the hidden financial costs of the increase in the share of intermittent renewable power generation in the electricity production mix.

Arturo Leccadito (University of Calabria) will give a presentation on Predictive identification robust confidence sets with application to tail risk measures Abstract: This work proposes a novel method for constructing confidence sets for predictions in parametric or semi-parametric models, that are valid for out-of-sample inference and are identification-robust.

  Louvain Finance Day – May 17th, 2023   The 2023 edition of the Louvain Finance Day will be dedicated to the role finance in view of the forthcoming climate and energy challenges.   Please find here the detailed programme or download the programme (PDF).   Jean Boissinot Banque de France Marie Cavitte FNRS & UCLouvain