Julien Hugonnier

École Polytechnique Fédérale de Lausanne

Professor of Finance

Quartier UNIL Dorigny

Extranef

Lausanne, CH-1015

Switzerland

http://https://www.epfl.ch/labs/sfi-jh/

Centre for Economic Policy Research (CEPR)

London

United Kingdom

SCHOLARLY PAPERS

25

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8,874

SSRN CITATIONS
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Top 3,319

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419

CROSSREF CITATIONS

115

Scholarly Papers (25)

1.

Real Options and Risk Aversion

Swiss Finance Institute Research Paper
Number of pages: 21 Posted: 17 Jul 2003 Last Revised: 28 Sep 2008
Julien Hugonnier and Erwan Morellec
École Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,459 (24,597)
Citation 8

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Risk aversion, Real options, Investment timing

2.

Capital Supply Uncertainty, Cash Holdings, and Investment

Swiss Finance Institute Research Paper No. 11-44
Number of pages: 84 Posted: 15 Aug 2010 Last Revised: 07 May 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
École Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,183 (33,530)
Citation 41

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Capital supply uncertainty, cash management, lumpy investment, inventory models

3.

Corporate Control and Real Investment in Incomplete Markets

Simon School of Business Working Paper No. 04-10
Number of pages: 23 Posted: 19 May 2004
Julien Hugonnier and Erwan Morellec
École Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 870 (51,651)
Citation 14

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Real options, incomplete markets, corporate control, risk aversion

4.

A General Formula for Valuing Defaultable Securities

Carnegie Mellon Department of Finance Working Paper
Number of pages: 26 Posted: 17 Feb 2003
Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and École Polytechnique Fédérale de Lausanne
Downloads 534 (97,079)
Citation 14

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reduced-form models of default, Cox Processes

Incomplete Information, Idiosyncratic Volatility and Stock Returns

Swiss Finance Institute Research Paper No. 08-23
Number of pages: 60 Posted: 07 Sep 2008 Last Revised: 05 Jul 2012
Tony Berrada and Julien Hugonnier
University of Geneva - Geneva Finance Research Institute (GFRI) and École Polytechnique Fédérale de Lausanne
Downloads 317 (175,291)
Citation 12

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Idiosyncratic volatility, incomplete information, cross-section of stock returns.

Incomplete Information, Idiosyncratic Volatility and Stock Returns

23rd Australasian Finance and Banking Conference 2010 Paper
Number of pages: 31 Posted: 17 Mar 2009 Last Revised: 17 Aug 2010
Julien Hugonnier and Tony Berrada
École Polytechnique Fédérale de Lausanne and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 129 (403,301)

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Incomplete information, idiosyncratic volatility, q theory of investment

Incomplete Information, Idiosyncratic Volatility and Stock Returns

EFA 2009 Bergen Meetings Paper
Posted: 14 Jan 2009
Julien Hugonnier and Tony Berrada
École Polytechnique Fédérale de Lausanne and University of Geneva - Geneva Finance Research Institute (GFRI)

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idiosyncratic volatility, incomplete information, cross-section of returns, q-theory of investment

6.

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Swiss Finance Institute Research Paper
Number of pages: 56 Posted: 18 Nov 2002 Last Revised: 28 Sep 2008
Ron Kaniel and Julien Hugonnier
University of Rochester - Simon Business School and École Polytechnique Fédérale de Lausanne
Downloads 397 (138,003)
Citation 1

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7.
Downloads 384 (143,229)
Citation 44

Bank Capital, Liquid Reserves, and Insolvency Risk

Swiss Finance Institute Research Paper No. 14-70
Number of pages: 45 Posted: 11 Jun 2014 Last Revised: 13 Aug 2016
Julien Hugonnier and Erwan Morellec
École Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 382 (142,879)
Citation 7

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banks; liquidity buffers; capital structure; insolvency risk; regulation

Bank Capital, Liquid Reserves, and Insolvency Risk

CEPR Discussion Paper No. DP10378
Number of pages: 52 Posted: 02 Feb 2015
Julien Hugonnier and Erwan Morellec
École Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 2 (1,154,143)
Citation 11
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banks, capital structure, insolvency risk, liquidity buffers, regulation

8.

Health and (Other) Asset Holdings

Swiss Finance Institute Research Paper No. 09-18
Number of pages: 81 Posted: 12 Jun 2009 Last Revised: 09 Jun 2015
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
École Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 318 (175,928)
Citation 15

Abstract:

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portfolio, health investment, mortality risk

9.
Downloads 292 (192,531)
Citation 1

Optimal Fund Menus

Swiss Finance Institute Research Paper No. 18-47
Number of pages: 77 Posted: 12 Jul 2018 Last Revised: 13 Aug 2018
Jaksa Cvitanic and Julien Hugonnier
California Institute of Technology - Division of the Humanities and Social Sciences and École Polytechnique Fédérale de Lausanne
Downloads 292 (191,343)
Citation 1

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Mutual fund menus, screening, linear pricing, closet indexing

Optimal Fund Menus

CEPR Discussion Paper No. DP13127
Number of pages: 80 Posted: 17 Sep 2018 Last Revised: 05 Nov 2018
Jaksa Cvitanic and Julien Hugonnier
California Institute of Technology - Division of the Humanities and Social Sciences and École Polytechnique Fédérale de Lausanne
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asset bundling, linear pricing, Mutual fund menus, screening

10.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 53 Posted: 12 Feb 2019 Last Revised: 23 May 2021
Monash UniversityMonash University, École Polytechnique Fédérale de Lausanne and Università della Svizzera italiana (USI Lugano)
Downloads 283 (198,798)
Citation 3

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Lévy jumps, time changes, tempered stable law, time series, option pricing

11.

Perpetual Futures Pricing

Number of pages: 30 Posted: 01 Nov 2023 Last Revised: 09 Nov 2023
Damien Ackerer, Julien Hugonnier and Urban J. Jermann
École Polytechnique Fédérale de Lausanne, École Polytechnique Fédérale de Lausanne and University of Pennsylvania - Finance Department
Downloads 282 (200,950)

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Cryptocurrencies, Derivatives, Futures contracts

12.

Rational asset pricing bubbles and portfolio constraints

Swiss Finance Institute Research Paper No. 08-28
Number of pages: 44 Posted: 23 Oct 2008 Last Revised: 19 Apr 2010
Julien Hugonnier
École Polytechnique Fédérale de Lausanne
Downloads 273 (206,188)
Citation 17

Abstract:

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rational bubbles, portfolio constraints, general equilibrium, limited participation, real indeterminacy

13.

Valuing Life as an Asset, as a Statistic and at Gunpoint

Swiss Finance Institute Research Paper No. 18-27
Number of pages: 59 Posted: 09 Apr 2018
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
École Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 267 (212,445)
Citation 4

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Value of Human Life, Human Capital, Value of Statistical Life, Hicksian Willingness to Pay, Equivalent Variation, Mortality, Structural Estimation

14.

Credit Market Frictions and Capital Structure Dynamics

Swiss Finance Institute Research Paper
Number of pages: 67 Posted: 16 Mar 2012 Last Revised: 28 Jan 2014
Julien Hugonnier, Semyon Malamud and Erwan Morellec
École Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 261 (215,647)
Citation 9

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Credit supply uncertainty, dynamic capital structure, default risk, search

15.

Heterogenous Preferences and Equilibrium Trading Volume

Swiss Finance Institute Research Paper
Number of pages: 38 Posted: 19 Apr 2005 Last Revised: 28 Oct 2008
Tony Berrada, Julien Hugonnier and Marcel Rindisbacher
University of Geneva - Geneva Finance Research Institute (GFRI), École Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Downloads 249 (225,978)
Citation 2

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General equilibrium, trading volume, heterogenous agents, multiple goods, incomplete markets, no-trade theorem

16.

Asset Pricing with Arbitrage Activity

Swiss Finance Institute Research Paper No. 13-57
Number of pages: 56 Posted: 08 Nov 2013
Julien Hugonnier and Rodolfo Prieto
École Polytechnique Fédérale de Lausanne and INSEAD
Downloads 233 (241,103)
Citation 9

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Limits of arbitrage; Rational bubbles; Wealth constraints; Excess volatility; Leverage effect

17.
Downloads 188 (293,989)
Citation 32

Frictional Intermediation in Over-the-Counter Markets

Swiss Finance Institute Research Paper No. 18-59
Number of pages: 81 Posted: 27 Aug 2018 Last Revised: 18 Jan 2019
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 87 (535,121)
Citation 1

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Over-the-Counter Markets, Search Frictions, Bargaining, Heterogeneous Agents, Intermediation

Frictional Intermediation in Over-the-Counter Markets

FRB of Philadelphia Working Paper No. 19-10
Number of pages: 80 Posted: 06 Feb 2019 Last Revised: 29 Apr 2020
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 80 (563,996)
Citation 1

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Over-the-counter markets, search frictions, bargaining, heterogeneous agents, intermediation

Frictional Intermediation in Over-the-Counter Markets

NBER Working Paper No. w24956
Number of pages: 80 Posted: 17 Sep 2018 Last Revised: 11 Mar 2023
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 19 (985,972)

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Frictional Intermediation in Over-the-Counter Markets

CEPR Discussion Paper No. DP13126
Number of pages: 82 Posted: 17 Sep 2018
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 2 (1,154,143)
Citation 13
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Bargaining, Heterogeneous Agents, intermediation, Over-the-counter markets, search frictions

18.

A Structural Analysis of the Health Expenditures and Portfolio Choices of Retired Agents

Swiss Finance Institute Research Paper No. 10-29
Number of pages: 47 Posted: 02 Jul 2010
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
École Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 170 (321,292)
Citation 1

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Asset allocation, Expected lifetime, Health production function, Mortality risk, Recursive utility, Value of health, Value of life

19.

Admissible Surplus Dynamics and the Government Debt Puzzle

Swiss Finance Institute Research Paper No. 23-45
Number of pages: 54 Posted: 13 Jun 2023
Pierre Collin-Dufresne, Julien Hugonnier and Elena Perazzi
Ecole Polytechnique Fédérale de Lausanne, École Polytechnique Fédérale de Lausanne and École Polytechnique Fédérale de Lausanne
Downloads 169 (322,871)

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Government debt, sustainability, government surplus, transversality condition

20.
Downloads 168 (324,544)
Citation 19

Heterogeneity in Decentralized Asset Markets

Swiss Finance Institute Research Paper No. 14-67
Number of pages: 86 Posted: 05 Dec 2014 Last Revised: 05 Apr 2018
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 77 (576,994)

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search frictions, bargaining, continuum of types, price dispersion, intermediation chains.

Heterogeneity in Decentralized Asset Markets

FRB of Philadelphia Working Paper No. 15-22
Number of pages: 73 Posted: 29 May 2015
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 57 (679,628)
Citation 2

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Search Frictions, Bargaining, Continuum of Types, Price Dispersion

Heterogeneity in Decentralized Asset Markets

NBER Working Paper No. w20746
Number of pages: 85 Posted: 15 Dec 2014 Last Revised: 10 Mar 2023
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 34 (842,815)
Citation 1

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Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14014
Number of pages: 58 Posted: 07 Oct 2019
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
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Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14274
Number of pages: 58 Posted: 14 Jan 2020
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
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Citation 11
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Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

FRB of Philadelphia Working Paper No. 19-44
Posted: 27 Nov 2019
École Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles

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search frictions, bargaining, heterogeneity, price dispersion

21.
Downloads 159 (340,183)

Asset pricing with costly short sales

Swiss Finance Institute Research Paper No. 22-21, Proceedings of the EUROFIDAI-ESSEC Paris December Finance Meeting 2022
Number of pages: 58 Posted: 09 Mar 2022 Last Revised: 26 Oct 2022
Theodoros Evgeniou, Julien Hugonnier and Rodolfo Prieto
INSEAD, École Polytechnique Fédérale de Lausanne and INSEAD
Downloads 159 (340,263)

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Shorting fees, Securities lending, Heterogeneous beliefs, Dynamic equilibrium.

Asset Pricing with Costly Short Sales

CEPR Discussion Paper No. DP17099
Number of pages: 58 Posted: 29 Mar 2022
Theodoros Evgeniou, Julien Hugonnier and Rodolfo Prieto
INSEAD, École Polytechnique Fédérale de Lausanne and INSEAD
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Dynamic equilibrium, heterogeneous beliefs, Securities lending, Shorting costs

22.

Closing Down the Shop: Optimal Health and Wealth Dynamics Near the End of Life

Swiss Finance Institute Research Paper No. 17-11
Number of pages: 60 Posted: 21 Mar 2017 Last Revised: 04 May 2018
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
École Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 155 (347,546)
Citation 2

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End of life; Life cycle; Dis-savings; Endogenous mortality risk; Unmet medical needs; Right to refuse treatment

23.

Endogenous Completeness of Diffusion Driven Equilibrium Markets

Swiss Finance Institute Research Paper No. 09-41
Number of pages: 77 Posted: 28 Sep 2009
Julien Hugonnier, Semyon Malamud and Eugene Trubowitz
École Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 134 (390,353)
Citation 12

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continuous-time finance, dynamic market completeness, general equilibrium theory

24.

Mutual Fund Competition in the Presence of Dynamic Flows

Swiss Finance Institute Research Paper No. 08-26
Posted: 10 Sep 2008 Last Revised: 29 Feb 2012
Michèle Breton, Julien Hugonnier and Tarek Masmoudi
HEC Montreal - Department of Management Sciences, École Polytechnique Fédérale de Lausanne and Caisse de dépôt et Placement du Québec

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portfolio management, asset-based management fees, mutual funds, dynamic flows, stochastic differential game

25.

Event Risk, Contingent Claims and the Temporal Resolution of Uncertainty

Carnegie Mellon University Working Paper
Posted: 09 Oct 2001 Last Revised: 01 Jul 2011
Pierre Collin-Dufresne and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne and École Polytechnique Fédérale de Lausanne

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Non market risks, incomplete markets, pricing, hedging, utility maximization, utility based pricing, certainty equivalent, temporal resolution of uncertainty, credit risk.