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

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

SCHOLARLY PAPERS

23

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123

CROSSREF CITATIONS

138

Scholarly Papers (23)

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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 1,305 (15,427)
Citation 5

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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
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

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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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 843 (29,331)
Citation 10

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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
Pierre Collin-Dufresne, Robert S. Goldstein and Julien Hugonnier
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

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reduced-form models of default, Cox Processes

5.

Incomplete Information, Idiosyncratic Volatility and Stock Returns

Downloads 378 ( 82,098)
Citation 6

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

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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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and University of Geneva - Geneva Finance Research Institute (GFRI)
Downloads 97 (286,203)

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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
Swiss Federal Institute of Technology Lausanne - Ecole 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

Downloads 366 ( 85,247)
Citation 12

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

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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
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7.

Bank Capital, Liquid Reserves, and Insolvency Risk

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

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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
Swiss Federal Institute of Technology Lausanne - Ecole Polytechnique Fédérale de Lausanne and Ecole Polytechnique Fédérale de Lausanne
Downloads 2 (702,228)
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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
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

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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

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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

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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)
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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

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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

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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

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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

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

16.

Optimal Fund Menus

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

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

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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

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

19.

Heterogeneity in Decentralized Asset Markets

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
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 50 (414,476)

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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
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 30 (503,540)
Citation 1

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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
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 3 (691,345)
Citation 1

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Heterogeneity in Decentralized Asset Markets

CEPR Discussion Paper No. DP14014
Number of pages: 58 Posted: 07 Oct 2019
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
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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
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
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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
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

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search frictions, bargaining, heterogeneity, price dispersion

20.

Frictional Intermediation in Over-the-Counter Markets

Downloads 80 (320,442)
Citation 4

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
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 61 (376,630)

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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: 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)

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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
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 3 (691,345)

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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)
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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
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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

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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

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