Welcome to my website

I am a professor of finance at HEC, the business school of the University of Lausanne. My domain of research could be defined as financial econometrics or computational finance.
I like models that work in practice even if their implementation is tedious as opposed to mathematical beauties that have closed-form solutions but that do not work as markets would predict.
My most recent research focuses on portfolio allocation in the long run.
This research is particularly relevant for the management of pension funds. In some other research I consider systemic risk.

On this webpage you will find information on my lectures as well as on my research. You may use the buttons on the top to reach the specialized pages.

My email: michael.rockinger@unil.ch