Faculty Research Expertise

Keywords

Filter by :

Type

Article in a peer reviewed journal
Article in a non peer reviewed journal
EDHEC publication
Book publication
Chapter publication
Case study
Working paper

Faculty

Accounting, Control & Legal Affairs

Data Science, Economics & Finance

Management & Humanities

Marketing

Strategy, Entrepreneurship & Operations

Domain

Year

2025
2024
2023
2022
2021
2020
2019
2018
2017
2016
2015
2014
2013
2012
2011
2010
2009
2008
2007
2006
2005
2004
2003
2002
2001
2000
1999
1998
1997
1996
1995
1994
1993
1992
1991
1990
1989
1988
1987
1986
1985
1984
1983
1982
1981
1980
1979
1978
1977
1976
1975
1974
1973
1972
1971
1970
1969
1968
1967
1966
1965
1964
1963
1962
1961
1960
1959
1958
1957
1956
1955
1954
1953
1952
1951
1950
1949
1948
1947
1946
1945
1944
1943
1942
1941
1940
1939
1938
1937
1936
1935
1934
1933
1932
1931
1930
1929
1928
1927
1926
1925
1924
1923
1922
1921
1920
1919
1918
1917
1916
1915
1914
1913
1912
1911
1910
1909
1908
1907
1906
1905
1904
1903
1902
1901
1900
1899
1898
1897
1896
1895
1894
1893
1892
1891
1890
1889
1888
1887
1886
1885
1884
1883
1882
1881
1880
1879
1878
1877
1876
1875
1874
1873
1872
1871
1870
1869
1868
1867
1866
1865
1864
1863
1862
1861
1860
1859
1858
1857
1856
1855
1854
1853
1852
1851
1850
1849
1848
1847
1846
1845
1844
1843
1842
1841
1840
1839
1838
1837
1836
1835
1834
1833
1832
1831
1830
1829
1828
1827
1826
1825
1824
1823
1822
1821
1820
1819
1818
1817
1816
1815
1814
1813
1812
1811
1810
1809
1808
1807
1806
1805
1804
1803
1802
1801
1800
1799
1798
1797
1796
1795
1794
1793
1792
1791
1790
1789
1788
1787
1786
1785
1784
1783
1782
1781
1780
1779
1778
1777
1776
1775
1774
1773
1772
1771
1770
1769
1768
1767
1766
1765
1764
1763
1762
1761
1760
1759
1758
1757
1756
1755
1754
1753
1752
1751
1750
1749
1748
1747
1746
1745
1744
1743
1742
1741
1740
1739
1738
1737
1736
1735
1734
1733
1732
1731
1730
1729
1728
1727
1726
1725
1724
1723
1722
1721
1720
1719
1718
1717
1716
1715
1714
1713
1712
1711
1710
1709
1708
1707
1706
1705
1704
1703
1702
1701
1700
1699
1698
1697
1696
1695
1694
1693
1692
1691
1690
1689
1688
1687
1686
1685
1684
1683
1682
1681
1680
1679
1678
1677
1676
1675
1674
1673
1672
1671
1670
1669
1668
1667
1666
1665
1664
1663
1662
1661
1660
1659
1658
1657
1656
1655
1654
1653
1652
1651
1650
1649
1648
1647
1646
1645
1644
1643
1642
1641
1640
1639
1638
1637
1636
1635
1634
1633
1632
1631
1630
1629
1628
1627
1626
1625
1624
1623
1622
1621
1620
1619
1618
1617
1616
1615
1614
1613
1612
1611
1610
1609
1608
1607
1606
1605
1604
1603
1602
1601
1600
1599
1598
1597
1596
1595
1594
1593
1592
1591
1590
1589
1588
1587
1586
1585
1584
1583
1582
1581
1580
1579
1578
1577
1576
1575
1574
1573
1572
1571
1570
1569
1568
1567
1566
1565
1564
1563
1562
1561
1560
1559
1558
1557
1556
1555
1554
1553
1552
1551
1550
1549
1548
1547
1546
1545
1544
1543
1542
1541
1540
1539
1538
1537
1536
1535
1534
1533
1532
1531
1530
1529
1528
1527
1526
1525
1524
1523
1522
1521
1520
1519
1518
1517
1516
1515
1514
1513
1512
1511
1510
1509
1508
1507
1506
1505
1504
1503
1502
1501
1500
1499
1498
1497
1496
1495
1494
1493
1492
1491
1490
1489
1488
1487
1486
1485
1484
1483
1482
1481
1480
1479
1478
1477
1476
1475
1474
1473
1472
1471
1470
1469
1468
1467
1466
1465
1464
1463
1462
1461
1460
1459
1458
1457
1456
1455
1454
1453
1452
1451
1450
1449
1448
1447
1446
1445
1444
1443
1442
1441
1440
1439
1438
1437
1436
1435
1434
1433
1432
1431
1430
1429
1428
1427
1426
1425
1424
1423
1422
1421
1420
1419
1418
1417
1416
1415
1414
1413
1412
1411
1410
1409
1408
1407
1406
1405
1404
1403
1402
1401
1400
1399
1398
1397
1396
1395
1394
1393
1392
1391
1390
1389
1388
1387
1386
1385
1384
1383
1382
1381
1380
1379
1378
1377
1376
1375
1374
1373
1372
1371
1370
1369
1368
1367
1366
1365
1364
1363
1362
1361
1360
1359
1358
1357
1356
1355
1354
1353
1352
1351
1350
1349
1348
1347
1346
1345
1344
1343
1342
1341
1340
1339
1338
1337
1336
1335
1334
1333
1332
1331
1330
1329
1328
1327
1326
1325
1324
1323
1322
1321
1320
1319
1318
1317
1316
1315
1314
1313
1312
1311
1310
1309
1308
1307
1306
1305
1304
1303
1302
1301
1300
1299
1298
1297
1296
1295
1294
1293
1292
1291
1290
1289
1288
1287
1286
1285
1284
1283
1282
1281
1280
1279
1278
1277
1276
1275
1274
1273
1272
1271
1270
1269
1268
1267
1266
1265
1264
1263
1262
1261
1260
1259
1258
1257
1256
1255
1254
1253
1252
1251
1250
1249
1248
1247
1246
1245
1244
1243
1242
1241
1240
1239
1238
1237
1236
1235
1234
1233
1232
1231
1230
1229
1228
1227
1226
1225
1224
1223
1222
1221
1220
1219
1218
1217
1216
1215
1214
1213
1212
1211
1210
1209
1208
1207
1206
1205
1204
1203
1202
1201
1200
1199
1198
1197
1196
1195
1194
1193
1192
1191
1190
1189
1188
1187
1186
1185
1184
1183
1182
1181
1180
1179
1178
1177
1176
1175
1174
1173
1172
1171
1170
1169
1168
1167
1166
1165
1164
1163
1162
1161
1160
1159
1158
1157
1156
1155
1154
1153
1152
1151
1150
1149
1148
1147
1146
1145
1144
1143
1142
1141
1140
1139
1138
1137
1136
1135
1134
1133
1132
1131
1130
1129
1128
1127
1126
1125
1124
1123
1122
1121
1120
1119
1118
1117
1116
1115
1114
1113
1112
1111
1110
1109
1108
1107
1106
1105
1104
1103
1102
1101
1100
1099
1098
1097
1096
1095
1094
1093
1092
1091
1090
1089
1088
1087
1086
1085
1084
1083
1082
1081
1080
1079
1078
1077
1076
1075
1074
1073
1072
1071
1070
1069
1068
1067
1066
1065
1064
1063
1062
1061
1060
1059
1058
1057
1056
1055
1054
1053
1052
1051
1050
1049
1048
1047
1046
1045
1044
1043
1042
1041
1040
1039
1038
1037
1036
1035
1034
1033
1032
1031
1030
1029
1028
1027
1026
1025
1024
1023
1022
1021
1020
1019
1018
1017
1016
1015
1014
1013
1012
1011
1010
1009
1008
1007
1006
1005
1004
1003
1002
1001
1000
999
998
997
996
995
994
993
992
991
990
989
988
987
986
985
984
983
982
981
980
979
978
977
976
975
974
973
972
971
970
969
968
967
966
965
964
963
962
961
960
959
958
957
956
955
954
953
952
951
950
949
948
947
946
945
944
943
942
941
940
939
938
937
936
935
934
933
932
931
930
929
928
927
926
925
924
923
922
921
920
919
918
917
916
915
914
913
912
911
910
909
908
907
906
905
904
903
902
901
900
899
898
897
896
895
894
893
892
891
890
889
888
887
886
885
884
883
882
881
880
879
878
877
876
875
874
873
872
871
870
869
868
867
866
865
864
863
862
861
860
859
858
857
856
855
854
853
852
851
850
849
848
847
846
845
844
843
842
841
840
839
838
837
836
835
834
833
832
831
830
829
828
827
826
825
824
823
822
821
820
819
818
817
816
815
814
813
812
811
810
809
808
807
806
805
804
803
802
801
800
799
798
797
796
795
794
793
792
791
790
789
788
787
786
785
784
783
782
781
780
779
778
777
776
775
774
773
772
771
770
769
768
767
766
765
764
763
762
761
760
759
758
757
756
755
754
753
752
751
750
749
748
747
746
745
744
743
742
741
740
739
738
737
736
735
734
733
732
731
730
729
728
727
726
725
724
723
722
721
720
719
718
717
716
715
714
713
712
711
710
709
708
707
706
705
704
703
702
701
700
699
698
697
696
695
694
693
692
691
690
689
688
687
686
685
684
683
682
681
680
679
678
677
676
675
674
673
672
671
670
669
668
667
666
665
664
663
662
661
660
659
658
657
656
655
654
653
652
651
650
649
648
647
646
645
644
643
642
641
640
639
638
637
636
635
634
633
632
631
630
629
628
627
626
625
624
623
622
621
620
619
618
617
616
615
614
613
612
611
610
609
608
607
606
605
604
603
602
601
600
599
598
597
596
595
594
593
592
591
590
589
588
587
586
585
584
583
582
581
580
579
578
577
576
575
574
573
572
571
570
569
568
567
566
565
564
563
562
561
560
559
558
557
556
555
554
553
552
551
550
549
548
547
546
545
544
543
542
541
540
539
538
537
536
535
534
533
532
531
530
529
528
527
526
525
524
523
522
521
520
519
518
517
516
515
514
513
512
511
510
509
508
507
506
505
504
503
502
501
500
499
498
497
496
495
494
493
492
491
490
489
488
487
486
485
484
483
482
481
480
479
478
477
476
475
474
473
472
471
470
469
468
467
466
465
464
463
462
461
460
459
458
457
456
455
454
453
452
451
450
449
448
447
446
445
444
443
442
441
440
439
438
437
436
435
434
433
432
431
430
429
428
427
426
425
424
423
422
421
420
419
418
417
416
415
414
413
412
411
410
409
408
407
406
405
404
403
402
401
400
399
398
397
396
395
394
393
392
391
390
389
388
387
386
385
384
383
382
381
380
379
378
377
376
375
374
373
372
371
370
369
368
367
366
365
364
363
362
361
360
359
358
357
356
355
354
353
352
351
350
349
348
347
346
345
344
343
342
341
340
339
338
337
336
335
334
333
332
331
330
329
328
327
326
325
324
323
322
321
320
319
318
317
316
315
314
313
312
311
310
309
308
307
306
305
304
303
302
301
300
299
298
297
296
295
294
293
292
291
290
289
288
287
286
285
284
283
282
281
280
279
278
277
276
275
274
273
272
271
270
269
268
267
266
265
264
263
262
261
260
259
258
257
256
255
254
253
252
251
250
249
248
247
246
245
244
243
242
241
240
239
238
237
236
235
234
233
232
231
230
229
228
227
226
225
224
223
222
221
220
219
218
217
216
215
214
213
212
211
210
209
208
207
206
205
204
203

448 results

01.09.2020 - Book publication

Advances in Retirement Investing

Lionel Martellini, Vincent Milhau

2020 Cambridge University Press, United-Kingdom, September 2020

Read more
01.09.2020 - Article in a peer reviewed journal

Climate change and credit risk

Gianfranco Gianfrate

2020 Journal of Cleaner Production, Volume 266, September 2020, Pages 1 - 19

Read more
01.09.2020 - Article in a peer reviewed journal

Factor Investing for the Long Run

Abraham Lioui, Tarelli Andrea

2020 Journal of Economic Dynamics and Control, Volume 117, August 2020, Pages 1 - 31

Read more
29.08.2020 - Article in a peer reviewed journal

Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Riccardo Rebonato, Sherwin Hong

2020 Journal of Fixed Income, Volume 30, August 2020, Pages 67 - 82

Read more
03.08.2020 - Article in a peer reviewed journal

Determinants of internal carbon pricing

Gianfranco Gianfrate

2020 Energy Policy, August 2020, Pages 1 - 8

Read more
29.06.2020 - Article in a peer reviewed journal

Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model

Riccardo Rebonato, Ronzani Riccardo

2020 Journal of Fixed Income, June 2020

Read more
24.06.2020 - Press article or interview

Why a top quant wants to be wrong about markets

Riccardo Rebonato

2020

Read more
18.06.2020 - Press article or interview

Defining and exploiting value in US Treasury bonds

Riccardo Rebonato, Lionel Martellini

2020

Read more
18.06.2020 - Press article or interview

Defining and exploiting value in US Treasury bonds

Riccardo Rebonato, Lionel Martellini

2020

Read more
04.06.2020 - Press article or interview

Green pioneers

Riccardo Rebonato

2020

Read more
01.05.2020 - Article in a peer reviewed journal

Does relative valuation work for banks?

Gianfranco Gianfrate

2020 Global Finance Journal, May 2020, Pages 1 - 25

Read more
23.04.2020 - Press article or interview

Opinion | Finance durable : les leçons que nous (ne) tirerons (pas)

Gianfranco Gianfrate

2020

Read more
12.04.2020 - Press article or interview

EDHEC-Risk Institute Interview: Future of Sustainable Investing

Lionel Martellini, Riccardo Rebonato, Gianfranco Gianfrate

2020

Read more
12.04.2020 - Press article or interview

EDHEC-Risk Institute Interview: Future of Sustainable Investing

Lionel Martellini, Riccardo Rebonato, Gianfranco Gianfrate

2020

Read more
12.04.2020 - Press article or interview

EDHEC-Risk Institute Interview: Future of Sustainable Investing

Lionel Martellini, Riccardo Rebonato, Gianfranco Gianfrate

2020

Read more
11.04.2020 - Press article or interview

How machine learning will reshape the future of investment management

Lionel Martellini

2020

Read more
06.04.2020 - Article in a non peer reviewed journal

A Look at the Landscape for Climate Change Finance

Gianfranco Gianfrate

2020 RESEARCH FOR INSTITUTIONNAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Defining and Exploiting Value in U.S. Treasury Bonds

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Factor Investing in Liability-Driven Investment Solutions

Lionel Martellini, Vincent Milhau

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Robust and Interpretable Liquidity Proxies for Market and Funding Liquidity

Riccardo Rebonato

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Cross-Sectional Momentum in the U.S. Sovereign Bond Market

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Defining and Exploiting Value in U.S. Treasury Bonds

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
01.04.2020 - Article in a non peer reviewed journal

Cross-Sectional Momentum in the U.S. Sovereign Bond Market

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2020, Pages 1 - 25

Read more
09.03.2020 - EDHEC publication

Factor investing in liability-driven and goal-based investment solutions

Lionel Martellini, Vincent Milhau

2020 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2020

Read more
06.03.2020 - Article in a peer reviewed journal

Factor based commodity investing

Nikolaos Tessaromatis, Sakkas Athanasios

2020 Journal of Banking and Finance, Volume 115, March 2020, Pages 1 - 19

Read more
02.03.2020 - Article in a peer reviewed journal

Securing Replacement Income with Goal-Based Retirement Investing Strategies

Lionel Martellini, Mulvey John, Vincent Milhau

2020 Journal of Retirement, Volume 7, May 2020, Pages 8 - 26

Read more
02.03.2020 - EDHEC publication

Climate change finance: the big picture

Gianfranco Gianfrate

2020 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2020

Read more
02.03.2020 - Article in a non peer reviewed journal

Defining and exploiting value in US Treasury bonds

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, March 2020, Pages 1 - 28

Read more
02.03.2020 - EDHEC publication

Cross-sectional momentum in the US sovereign bond market

Riccardo Rebonato, Lionel Martellini

2020 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2020

Read more
02.03.2020 - EDHEC publication

Cross-sectional momentum in the US sovereign bond market

Riccardo Rebonato, Lionel Martellini

2020 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2020

Read more
02.03.2020 - EDHEC publication

Factor investing in liability-driven solutions

Lionel Martellini, Vincent Milhau

2020 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2020

Read more
02.03.2020 - Article in a non peer reviewed journal

Defining and exploiting value in US Treasury bonds

Riccardo Rebonato, Lionel Martellini

2020 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, March 2020, Pages 1 - 28

Read more
01.03.2020 - Working paper

Robust and interpretable liquidity proxies for market and funding liquidity

Riccardo Rebonato

2020 EDHEC RESEARCH INSIGHTS A Supplement to INVESTMENT & PENSIONS EUROPE, March 2020

Read more
01.03.2020 - Article in a peer reviewed journal

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

Riccardo Rebonato, Ivan Saroka, Vlad Putiatyn

2020 International Journal of Theoretical and Applied Finance, March 2020

Read more
01.03.2020 - Article in a peer reviewed journal

Market-pull policies to promote renewable energy: A quantitative assessment of tendering implementation

Gianfranco Gianfrate

2020 Journal of Cleaner Production, Volume 248, March 2020, Pages 1 - 13

Read more
21.02.2020 - Article in a peer reviewed journal

Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective

Vincent Milhau, Lionel Martellini

2020 Journal of Portfolio Management, Volume 46, June 2020, Pages 32 - 53

Read more
07.02.2020 - Article in a peer reviewed journal

Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?

Lionel Martellini

2020 Quantitative Finance, Volume 20, July 2020, Pages 1185 - 1197

Read more
01.02.2020 - Working paper

Climate change and credit risk

Gianfranco Gianfrate, Spinelli Marco, Capasso Giusy

2020 EDHEC-Risk Institute Publication, February 2020

Read more
08.01.2020 - Article in a peer reviewed journal

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Lionel Martellini

2020 Journal of Portfolio Management, January 2020

Read more
16.12.2019 - Article in a peer reviewed journal

Measuring Portfolio Rebalancing Benefits in Equity Markets

Lionel Martellini

2019 Journal of Portfolio Management, Volume 46, March 2020, Pages 94 - 109

Read more
15.11.2019 - Article in a peer reviewed journal

What Does Today’s Smile Imply About Future Volatilities?

Riccardo Rebonato

2019 Journal of Derivatives, November 2019

Read more
04.11.2019 - Press article or interview

Poor returns underline smart beta’s structural problems

Lionel Martellini

2019

Read more
01.11.2019 - Article in a peer reviewed journal

Market anomalies and disaster risk: Evidence from extreme weather events

Matthew G. Lanfear, Abraham Lioui, Mark G. Siebert

2019 Journal of Financial Markets, November 2019

Read more
01.11.2019 - Article in a peer reviewed journal

Long horizon predictability: An asset allocation perspective

Abraham Lioui, Poncet Patrice

2019 European Journal of Operational Research, November 2019

Read more
10.10.2019 - Article in a peer reviewed journal

Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Lionel Martellini, Riccardo Rebonato

2019 Journal of Portfolio Management, Volume 46, January 2020, Pages 121 - 140

Read more
10.10.2019 - Article in a peer reviewed journal

Factor Investing in US Sovereign Bond Market: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

Lionel Martellini, Riccardo Rebonato

2019 Journal of Portfolio Management, Volume 46, January 2020, Pages 121 - 140

Read more
09.10.2019 - Press article or interview

EDHEC’s pointers over fixed income ETF investment

Lionel Martellini

2019

Read more
07.10.2019 - Press article or interview

Quelle conomie pour les 320000 Silvers du 06

Lionel Martellini

2019

Read more
01.10.2019 - Article in a peer reviewed journal

Defining and Exploiting Value in US Treasury Bonds

Riccardo Rebonato, Lionel Martellini

2019 Journal of Fixed Income, Volume Fall 2019, September 2019, Pages 1 - 20

Read more
01.10.2019 - Article in a peer reviewed journal

Defining and Exploiting Value in US Treasury Bonds

Riccardo Rebonato, Lionel Martellini

2019 Journal of Fixed Income, Volume Fall 2019, September 2019, Pages 1 - 20

Read more