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Julien Hugonnier

Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne

Associate Professor of Finance

Quartier UNIL Dorigny

Extranef

Lausanne, CH-1015

Switzerland

http://sfi.epfl.ch/hugonnier

Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

c/o University of Geneve

40, Bd du Pont-d'Arve

1211 Geneva, CH-6900

Switzerland

  • Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne

  • Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne

SCHOLARLY PAPERS

19

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5,743

CITATIONS
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126

Scholarly Papers (19)

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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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 1,109 (12,989)
Citation 4

Abstract:

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 877 (16,745)
Citation 13

Abstract:

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 826 (22,033)
Citation 12

Abstract:

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
Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier
Ecole Polytechnique Fédérale de Lausanne - Ecole Polytechnique Fédérale de Lausanne, University of Minnesota - Twin Cities - Carlson School of Management and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 427 (50,328)
Citation 42

Abstract:

reduced-form models of default, Cox Processes

5.

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Downloads 359 ( 66,222)
Citation 11

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 Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 357 (66,057)
Citation 11

Abstract:

Mutual Fund Portfolio Choice in the Presence of Dynamic Flows

Mathematical Finance, Vol. 20, Issue 2, pp. 187-227, April 2010
Number of pages: 41 Posted: 29 Mar 2010
Julien Hugonnier and Ron Kaniel
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Rochester - Simon Business School
Downloads 2 (554,079)
Citation 11

Abstract:

6.

Incomplete Information, Idiosyncratic Volatility and Stock Returns

Downloads 344 ( 69,619)
Citation 2

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 and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 259 (95,004)
Citation 2

Abstract:

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Geneva
Downloads 85 (244,990)
Citation 2

Abstract:

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Geneva

Abstract:

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

7.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 229 (102,129)
Citation 8

Abstract:

portfolio, health investment, mortality risk

8.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 211 (114,962)
Citation 4

Abstract:

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

9.

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, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Questrom School of Business, Boston University
Downloads 207 (118,197)
Citation 12

Abstract:

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

10.

Bank Capital, Liquid Reserves, and Insolvency Risk

Downloads 199 (124,476)
Citation 1

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 197 (125,393)
Citation 1

Abstract:

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 2 (554,079)
Citation 1

Abstract:

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

11.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 191 (123,302)

Abstract:

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

12.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Boston University - Questrom School of Business
Downloads 143 (139,433)

Abstract:

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

13.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 110 (189,101)
Citation 1

Abstract:

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

14.

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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Ecole Polytechnique Federale de Lausanne and Swiss Federal Institute of Technology Zurich
Downloads 91 (223,072)
Citation 6

Abstract:

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

15.

Heterogeneity in Decentralized Asset Markets

Downloads 46 (334,041)
Citation 1

Heterogeneity in Decentralized Asset Markets

Swiss Finance Institute Research Paper No. 14-67
Number of pages: 84 Posted: 05 Dec 2014 Last Revised: 18 Feb 2016
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 29 (404,708)
Citation 1

Abstract:

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
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 17 (470,398)
Citation 1

Abstract:

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
Julien Hugonnier, Benjamin R. Lester and Pierre-Olivier Weill
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Federal Reserve Banks - Federal Reserve Bank of Philadelphia and University of California, Los Angeles
Downloads 0
Citation 1

Abstract:

16.

On Utility-Based Pricing of Contingent Claims in Incomplete Markets

Mathematical Finance, Vol. 15, No. 2, pp. 203-212, April 2005
Number of pages: 10 Posted: 23 Mar 2005
Julien Hugonnier, Dmitry Kramkov and Walter Schachermayer
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, Carnegie Mellon University - Department of Mathematical Sciences and Universität Wien, Fakultät für Mathematik
Downloads 17 (448,397)
Citation 11

Abstract:

17.

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: 47 Posted: 21 Mar 2017
Julien Hugonnier, Florian Pelgrin and Pascal St-Amour
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne, EDHEC Business School and University of Lausanne - School of Economics and Business Administration (HEC-Lausanne)
Downloads 0 (343,337)

Abstract:

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

18.

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, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Caisse de dépôt et Placement du Québec

Abstract:

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

19.

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 - Ecole Polytechnique Fédérale de Lausanne and Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne

Abstract:

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

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