About Me

I am a Ph.D. student in International Economics and Finance at the Department of Economics at University of Lausanne. I love to talk about food, sport, History and economics of course.

Fields: International Economics, International Finance, Applied Econometrics, Macroeconomics

Besides, I am the President of the student association Uthink and a Ph.D. representative at the Faculty Council of HEC Lausanne.

Contact Details

My University Website (link)
Permanent email: simon@simontieche.com
University email: simon.tieche@unil.ch

Simon Tièche
Université de Lausanne
Quartier UNIL-Chamberonne
Bâtiment Internef
Office 502
CH-1015 Lausanne

Phone: +4121 692 36 96


Ph.D. in International Macroeconomics and Finance

University of Lausanne 2022

SciencesPo (Paris), Visiting Student July 2021 - Dec 2021

M.Sc., Macroeconomic Policy and Quantitative Economics

University of Lausanne 2017


International Portfolio Choice with Frictions: Evidence from Mutual Funds Online Appendix

Philippe Bacchetta, Simon Tièche, and Eric van Wincoop Working Paper: October 2020

Using data on international equity portfolio allocations of US mutual funds, we estimate a simple portfolio expression derived from a standard mean-variance portfolio model extended with portfolio frictions. The optimal portfolio depends on previous month and buy-and-hold portfolio shares, and a present discounted value of expected excess returns. We show that equity return differentials are predictable and use this prediction in the portfolio regressions. The estimates imply significant portfolio frictions and a modest rate of risk aversion. While portfolios respond significantly to expected returns, portfolio frictions lead to weaker and more gradual portfolio response. We also document heterogeneity across funds.

Optimal Allocation with Finite Alternatives: An application to International Portfolio Choice

Simon Tièche Working Paper

Using large data on international equity portfolio allocations of international mutual funds, I identify a sizable fraction of zero allocations. I start by discussing how to find relevant shares of zero in any optimal allocation with finite alternatives. Then, I motivate country shares of zero with a model of optimal portfolio choice. This model relates the portfolio share to past and buy-and-hold portfolios, expected future excess returns, short-selling constraints and entry cost. Given the structure of the data, I develop an econometric model able to estimate this portfolio equation. Specifically, it estimates a dynamic panel model with corner solutions (i.e. the zeroes), high dimensional fixed effects and endogenous variables. I find that linear estimators underestimate the impact of excess returns by a factor of 3.5 to 5. In a final exercise, I simulate data and discuss how to treat original allocations reported by the funds when we observe a smaller subset of alternatives.


Current Teaching:

  • Applied Statistics and Econometrics (BSc. Economics), 2016-Ongoing
  • Monetary Theory and Policy (BSc. Economics), 2019-Ongoing

Past Teaching:

  • Empirical Research for Economics and Management (BSc. Economics), 2015
  • Statistics and Econometrics I (BSc. Economics), 2016