References of "Lejeune, Thomas"
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See detailModeling risk and expected returns in finance and macroeconomics
Lejeune, Thomas ULg

Doctoral thesis (2014)

This doctoral dissertation contributes to the modeling of risk and expected returns in the fields of finance and macroeconomics. On the finance side, the thesis proposes a portfolio choice model and a ... [more ▼]

This doctoral dissertation contributes to the modeling of risk and expected returns in the fields of finance and macroeconomics. On the finance side, the thesis proposes a portfolio choice model and a risk-return setup that simultaneously deal with agents’ unknown utility function, incomplete knowledge of financial return distributions, departures from the Gaussian distribution (i.e. asymmetry and fat-tail risks), investment horizons and investors’ objectives in terms of expected returns. On the macroeconomic side, the objective is to deliver a comprehensive picture of the financial sector in a general equilibrium framework, which accommodates the heterogeneity of behaviors within financial intermediaries. The first part of the thesis introduces an innovative risk measure, risk horizon, with reference to the speed of convergence of an asset’s mean return to its expectation. This measure is a keystone to a general framework for characterizing investors’ behavior in portfolio selection, which takes into account consideration for volatility, asymmetric and fat-tail risk, a trade-off between downside and upside potential of financial assets, and the timing and probability of deviations from expected returns. The risk horizon framework opens up the way to the identification of forward-looking determinants of market sentiment that includes, among others, the expected market and credit returns. The last part of the thesis is devoted to a macroeconomic model with heterogeneous and financially constrained intermediaries. An analysis of endogenous risk mechanisms when traditional and shadow banking interact is carried out. The model sheds light on the importance of relative leverage behaviors in the amplification of adverse shocks in the economy. [less ▲]

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2013, June 08)

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2013, April)

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See detailEvaluating Portfolio Performance: Reconciling Asset Selection and Market Timing
Cavé, Arnaud; Hübner, Georges ULg; Lejeune, Thomas ULg

in Baker, H. Kent; Filbeck, Georges (Eds.) Portfolio Theory and Management (2013)

This chapter examines the performance measurement of mutual funds when both security selection and market timing management skills are considered. In an option replication approach, linear and quadratic ... [more ▼]

This chapter examines the performance measurement of mutual funds when both security selection and market timing management skills are considered. In an option replication approach, linear and quadratic coefficients of the Treynor and Mazuy regression are combined to assess performance in presence of market timing. This new correction has the potential to overcome the “artificial timing” bias and delivers particularly encouraging results on a sample of 1,413 U.S. mutual funds selected for an empirical analysis. Unlike alternative approaches proposed in the literature, most of positive market timers seem to be rewarded for the convexity they add to their portfolio, while negative market timers are penalized, and a correlation between abnormal performance and the convexity parameter is found. [less ▲]

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See detailRisk Horizon and Equilibrium Asset Prices
Hübner, Georges ULg; Lejeune, Thomas ULg

Conference (2012, December 18)

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See detailRisk Horizon and Expected Market Returns
Hübner, Georges ULg; Lejeune, Thomas ULg

E-print/Working paper (2012)

The paper proposes an equilibrium asset pricing model that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional ... [more ▼]

The paper proposes an equilibrium asset pricing model that accounts of the incomplete information on returns distribution and investors' preferences. Only moments up to order four of unknown unconditional distribution can be observed, and the model does not impose that portfolio diversi fication or moments preference should hold. Using Chebyshev-type of inequalities, an intuitive risk measure (risk horizon) is introduced with reference to the speed of convergence of a security's mean return to its expectations. By an arbitrage argument, this risk measure is related to the horizon of treasury securities in a system of equations that allows the calibration of the model parameters using term structure information. In particular, the expected return on the market portfolio can be endogenously estimated inside this system. The model calibration on U.S. market data provides plausible parameters estimates and interesting cyclical patterns in the time series of the expected return. The empirical relevance of these estimates is examined with tests of statistical and economic predictive ability for stock excess returns. The results provide signi ficant evidence on the added value of the estimates when compared to popular predictors found in the literature (see a.o. Lettau and Ludvigson, 2001; Rapach and Wohar, 2006; Goyal and Welch, 2008). [less ▲]

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See detailA Note on the Use of the Modified Value-at-Risk
Cavenaile, Laurent ULg; Lejeune, Thomas ULg

in Journal of Alternative Investments (2012), 14(4), 79-83

While the Modified Value-at-Risk (or Cornish Fisher Value-at-Risk) has been quite extensively used by practitioners and academics since its introduction, we show that it can be consistently used only over ... [more ▼]

While the Modified Value-at-Risk (or Cornish Fisher Value-at-Risk) has been quite extensively used by practitioners and academics since its introduction, we show that it can be consistently used only over a limited interval of confidence level. Confidence level below 95.84% should never be used for the Modified Value-at-Risk to be consistent with investors' preferences for kurtosis. In addition, the use of higher confidence level is restricted by the value of the skewness. Failure to respect these restrictions on confidence levels results in mistakenly assessing assets' risk and potentially in overweighting assets which exhibit undesirable properties in terms of higher moments. [less ▲]

Detailed reference viewed: 75 (17 ULg)