MILHAU Vincent, phd

Research Director, EDHEC-Risk Institute

Speciality : Finance

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Email : vincent.milhau@edhec.edu

Main academic publications

Management Science (2018), Journal of Corporate Finance (2017), Journal of Alternative Investments (2015), Journal of Fixed Income (2015), Bankers, Markets and Investors (2010 ; 2012 ; 2014 ; 2015), Journal of Pension Economics and Finance (2012), Journal of Portfolio Management (2009 ; 2017 ; 2018 ; 2019), Banque & Stratégie (2009)

Documents to download

Pdf
CV - Vincent Milhau, PhD...
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EDHEC Publications

We argue in this paper that such new forms of investment solutions should rely on the use of improved performance-seeking and liability-hedging...
We first provide an overview of the various hedging methodologies that can be used in this incomplete market setting, distinguishing between self-...
Asset-liability management (ALM) refers to the adaptation of the portfolio management process to the presence of constraints relating to the...
We analyse this question in the context of a formal continuous-time dynamic asset allocation model for an investor facing liability commitments...
When funding ratio constraints are explicitly accounted for, the optimal policies, for which we obtain analytical expressions, are shown to extend...

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