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

Swiss Finance Institute

c/o University of Geneva

40, Bd du Pont-d'Arve

CH-1211 Geneva 4

Switzerland

SCHOLARLY PAPERS

23

DOWNLOADS
Rank 6,845

SSRN RANKINGS

Top 6,845

in Total Papers Downloads

6,779

SSRN CITATIONS
Rank 4,294

SSRN RANKINGS

Top 4,294

in Total Papers Citations

123

CROSSREF CITATIONS

138

Scholarly Papers (23)

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 1,305 (15,427)
Citation 5

Abstract:

Loading...

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 1,086 (20,329)
Citation 41

Abstract:

Loading...

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 843 (29,331)
Citation 10

Abstract:

Loading...

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 Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 474 (62,669)
Citation 12

Abstract:

Loading...

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 Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 281 (113,500)
Citation 7

Abstract:

Loading...

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 - Geneva Finance Research Institute (GFRI)
Downloads 97 (286,203)

Abstract:

Loading...

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 - Geneva Finance Research Institute (GFRI)

Abstract:

Loading...

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

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 364 (85,067)
Citation 1

Abstract:

Loading...

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 (702,228)
  • Add to Cart

Abstract:

Loading...

7.
Downloads 306 (104,137)
Citation 20

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 304 (104,333)
Citation 9

Abstract:

Loading...

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 (702,228)
Citation 2
  • Add to Cart

Abstract:

Loading...

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
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 264 (121,826)
Citation 7

Abstract:

Loading...

portfolio, health investment, mortality risk

9.

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 230 (140,038)
Citation 16

Abstract:

Loading...

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

10.

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), Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Questrom School of Business, Boston University
Downloads 219 (146,784)
Citation 2

Abstract:

Loading...

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

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 216 (148,676)
Citation 4

Abstract:

Loading...

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 INSEAD
Downloads 185 (171,675)
Citation 5

Abstract:

Loading...

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

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
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 183 (173,390)
Citation 1

Abstract:

Loading...

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

14.

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 132 (227,980)
Citation 1

Abstract:

Loading...

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

15.

Risk Premia and Lévy Jumps: Theory and Evidence

Swiss Finance Institute Research Paper No. 19-49
Number of pages: 44 Posted: 12 Feb 2019 Last Revised: 05 Mar 2020
Hasan Fallahgoul, Julien Hugonnier and Loriano Mancini
Monash University, Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and USI Lugano - Institute of Finance
Downloads 110 (260,721)
Citation 3

Abstract:

Loading...

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

16.
Downloads 103 (273,020)
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 Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 103 (274,737)
Citation 1

Abstract:

Loading...

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 Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne
Downloads 0
  • Add to Cart

Abstract:

Loading...

asset bundling, linear pricing, Mutual fund menus, screening

17.

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 101 (276,748)
Citation 9

Abstract:

Loading...

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

18.

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
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 97 (284,219)
Citation 2

Abstract:

Loading...

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

19.
Downloads 83 (313,529)
Citation 9

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
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 50 (414,476)

Abstract:

Loading...

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
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 30 (503,540)
Citation 1

Abstract:

Loading...

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
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 3 (691,345)
Citation 1

Abstract:

Loading...

Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14014
Number of pages: 58 Posted: 07 Oct 2019
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
  • Add to Cart

Abstract:

Loading...

Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14274
Number of pages: 58 Posted: 14 Jan 2020
Julien Hugonnier, Benjamin 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 2
  • Add to Cart

Abstract:

Loading...

Bargaining, Heterogeneity, price dispersion, search frictions

Heterogeneity in Decentralized Asset Markets

FRB of Philadelphia Working Paper No. 19-44
Posted: 27 Nov 2019
Julien Hugonnier, Benjamin 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

Abstract:

Loading...

search frictions, bargaining, heterogeneity, price dispersion

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
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 61 (376,630)

Abstract:

Loading...

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: 21 Feb 2019
Julien Hugonnier, Benjamin 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 14 (608,161)

Abstract:

Loading...

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
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 3 (691,345)

Abstract:

Loading...

Frictional Intermediation in Over-the-Counter Markets

CEPR Discussion Paper No. DP13126
Number of pages: 82 Posted: 17 Sep 2018
Julien Hugonnier, Benjamin 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 2 (702,228)
Citation 4
  • Add to Cart

Abstract:

Loading...

Bargaining, Heterogeneous Agents, intermediation, Over-the-counter markets, search frictions

21.

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 18 (560,105)
Citation 1
  • Add to Cart

Abstract:

Loading...

22.

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:

Loading...

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

23.

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

Abstract:

Loading...

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