RESEARCH

Written on 28 June 2019.


Daniel Mantilla, EDHEC PhD (2011), Assistant Professor of Finance at the Universidad de Los Andes and Research Associate at EDHEC-Risk Institute presented on 26 June 26 2019 his latest research “Assets' Dependence Structure Implications for Portfolio Insurance Strategies Performance”, at the 28th Annual Meeting of the European Financial Management Association (EFMA).  

In this paper, Daniel Mantlla and his co-authors Enrique ter Horst, German Molina and Emilien Audeguil, explore the implications of taking into account the expected co-movements of the  performance-seeking asset (PSA) and the benchmark asset for the estimation of the multiplier of the portfolio insurance strategies.

His full paper is available here 

Keywords: Tracking error, extreme risk management, copulas, portfolio insurance 

Daniel joined academia 2 years ago after several years in positions as Head of Research in the Finance industry.

 

 

 

 

See Also

What an EDHEC professor learnt from his participation in the Innovation Roundtable Summit?
News
- 15-11-2019
René Rohrbeck, Professor of strategy and Director of the EDHEC Chair for Foresight,...
EDHEC ALLOWED ME TO GAIN SKILLS FOR A CAREER IN THE SUSTAINABLE FINANCIAL SECTOR
News
- 13-11-2019
Camélia wanted to act and follow her two passions : Finance and Sustainable Development...
50th thesis defense for the EDHEC PhD in Finance Programme
News
- 11-11-2019
On November 8, 2019, on the EDHEC London campus, the doctoral thesis “Two Essays on...
Which MBA 2019: EDHEC Global MBA #7 in the World for Opening New Career Opportunities in The Economist Latest Rankings based on student & alumni feedback
News
- 31-10-2019
As well as being the top school in France and #2 in Europe for opening new career...