Below is a selection of articles by programme faculty members which were recently published or are forthcoming. Appearing are representative articles in scientific journals co-authored by faculty members publishing under their EDHEC Business School or EDHEC-Risk Institute affiliations.
- Staying on top of the curve: A cascade model of term structure dynamics. Laurent E. Calvet, Adlai Fisher and Liuren Wu, Journal of Financial and Quantitative Analysis, forthcoming.
- The Quickest Way to Lose the Money You Could Not Afford To Lose - Reverse Stress Testing and Other Problems with Maximum-Entropy. Riccardo Rebonato, Journal of Risk, forthcoming.
*Andrea Tarelli is a graduate of the EDHEC PhD in Finance programme.
- A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems. Romain Deguest, Lionel Martellini, and Vincent Milhau, Management Science, forthcoming.
- Proverbial Baskets are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions. Lionel Martellini and Vincent Milhau, Journal of Portfolio Management, (January 2018) Vol. 44, Issue 2, Multi-Asset Special
- Equity Portfolios with Improved Liability-Hedging Benefits. Guillaume Coqueret, Lionel Martellini and Vincent Milhau. Journal of Portfolio Management, (Winter 2017), Vol. 43, Issue 2, Pages 37-49.
- Explosive Rent During Housing Market Exuberance, Frank J. Fabozzi and Keli Xiao, The Quarterly Review of Economics and Finance, (November 2017), Vol. 66, Pages 100-107.
- Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling, Abdolreza Nazemi, Farnoosh Fatemipour, Konstantin Heidenreich, and Frank J. Fabozzi, European Journal of Operational Research, (October 2017), Vol. 262, Issue 2, Pages 780–791.
- The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities. Riccardo Rebonato, Journal of Derivatives, (Summer 2017), Vol. 24, Issue 4, Pages 21-51.
- Effects of Spot Market Short-Sale Constraints on Index Futures Trading. Frank J. Fabozzi, Ahmet K. Karagozoglu, and Na Wang, Review of Finance, Vol. 21, Issue 5 (August 2017), Pages 1975-2005.
- The value of convexity: a theoretical and empirical investigation. Riccardo Rebonato, Vladislav Putyatin, Quantitative Finance, (July 2017) , Pages 11-30
- CDS Implied Credit Ratings. Jeroen Jansen* and Frank J. Fabozzi, Journal of Fixed Income, Vol. 26, Issue 4 (Spring 2017), Pages 25-52.
*Jeroen Jansen is a graduate of the EDHEC PhD in Finance programme.
- Who are the value and growth investors? Sebastien Betermier, Laurent Calvet and Paolo Sodini, Journal of Finance, (February 2017), Vol. 72, Issue 1, Pages. 5–46.
- Skillful Hiding: Evaluating Hedge Fund Managers' Performance Based On What They Hide. Rama Malladi* and Frank J. Fabozzi, Applied Economics, (2017), Vol. 49, Issue 7, Pages 664-676.
*Rama Malladi is a graduate of the EDHEC PhD in Finance programme.
- Penalizing Variances for Higher Dependency on Factors. Frank J. Fabozzi, Jang Ho Kim and Woo Chang Kim, and Frank J. Fabozzi, and Radu Tunaru, Quantitative Finance, (2017), Issue 4, Vol. 17, Pages 479-489 (lead article).
- Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting. Jean-Michel Maeso and Lionel Martellini, Journal of Alternative Investments, (2017), 20, 1, Pages 27-42.
- Calibrating Short Interest Rate Models in a Negative Rate Environment. Frank J. Fabozzi and Vincenzo Russo, Journal of Derivatives, Vol. 24, Issue 4 (2017), Pages 80-92.
- Exploring Rating Shopping For European Triple A Senior Structured Finance Securities. Frank J. Fabozzi, Mike Nawas, and Dennis Vink, Finance Research Letters, Vol. 20 (2017), Pages. 35-39.
- An Improved Method Least Squares Monte Carlo Valuation Method Based on Heteroscedasticity, Frank J. Fabozzi, Tommaso Paletta, Silvia Stanescu, and Radu Tunaru, European Journal of Operational Research, (2017), Vol. 263, Pages 698–706.
- Predictability Dynamics of Emerging Sovereign CDS Markets. Ahmet Sensoy, Frank J. Fabozzi, and Veysel Eraslanc, Economics Letters, (2017), Vol. 161, Pages 5-9.
- Understanding Dynamic Mean Variance Asset Allocation. Abraham Lioui and Patrice Poncet. European Journal of Operational Research, Vol 254, Issue 1 (October 2016), Pages 320–337.
- The Intended and Unintended Consequences of Financial-Market Regulations: A General Equilibrium Analysis. Adrian Buss, Bernard Dumas, Raman Uppal, and Grigory Vilkov. Journal of Monetary Economics, Vol. 81, (August 2016), Pages 25–43.