Research Associate, EDHEC-Risk Institute

Speciality : Asset Management


Email : [email protected]

Main academic publications

Journal of Banking & Finance (2020), The Journal of Portfolio Management (2019), European Financial Management (2015), Journal of Empirical Finance (2013), Finance (2012), Journal of Derivatives and Hedge Funds (2012)

Documents to download

CV - Marie Lambert, PhD...
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EDHEC Publications

We examine the performance of risk-optimisation techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors...
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...
Without losing in significance power, in beta consistency or in factor efficiency compared to the Fama and French factors, our technique insulates...