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448 results

01.03.2018 - EDHEC publication

Goal-based investing and its application to the retirement problem

Lionel Martellini, Vincent Milhau, Mulvey John

2018 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2018

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01.03.2018 - EDHEC publication

Predicting risk premia for Treasury bonds: The ERI Risk Premium Monitor

Riccardo Rebonato

2018 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2018

Read more
01.03.2018 - Article in a non peer reviewed journal

Maximizing the Benefits of Factor Investing

Lionel Martellini, Vincent Milhau

2018 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, March 2018, Pages 1 - 26

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01.03.2018 - Article in a peer reviewed journal

Wages and Human Capital in Finance: International Evidence, 1970–2011

Hamid Boustanifar, Everett Grant, Ariell Reshef

2018 Review of Finance, March 2018

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01.03.2018 - Article in a non peer reviewed journal

Applying Goal-Based Investing to the Retirement Issue

Lionel Martellini, Vincent Milhau

2018 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, March 2018, Pages 1 - 26

Read more
01.03.2018 - EDHEC publication

Factor-Based Commodity Investing

Nikolaos Tessaromatis, Sakkas Athanasios

2018 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2018

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01.03.2018 - EDHEC publication

Smart beta and beyond: Maximising the benefits of factor investing

Lionel Martellini, Vincent Milhau

2018 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2018

Read more
01.03.2018 - Article in a non peer reviewed journal

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

Riccardo Rebonato

2018 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, March 2018, Pages 1 - 26

Read more
12.02.2018 - Article in a peer reviewed journal

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction

Nikolaos Tessaromatis

2018 Quantitative Finance, February 2018

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12.02.2018 - Article in a peer reviewed journal

Book Review: The End of Theory

Nikolaos Tessaromatis

2018 Quantitative Finance, Volume 18, February 2018, Pages 347 - 349

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02.02.2018 - EDHEC publication

Smart Beta and beyong: maximising the benefits of factor investing

Lionel Martellini, Vincent Milhau

2018 EDHEC Risk Institute, EDHEC-Risk Institute publication, February 2018

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22.01.2018 - Article in a peer reviewed journal

A Financially Motivated Extension of the Heston Model for a Joint P- and Q-Dynamics Analysis of Variance

Riccardo Rebonato, Chu Ming Ng Chu

2018 Journal of Derivatives, Volume 25, February 2018, Pages 1 - 26

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14.01.2018 - Working paper

Factor-Based Commodity Investing

Athanasios Sakkas, Nikolaos Tessaromatis

2018 January 2018

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04.12.2017 - Book publication

The Palgrave Handbook of Unconventional Risk Transfer.

Riccardo Rebonato

2017 December 2017

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13.11.2017 - Article in a non peer reviewed journal

Long-term Equity Market and Smart Beta Return Forecasts by Practitioners

Nikolaos Tessaromatis

2017 Research-affiliates.com, November 2017, Pages 1 - 9

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02.11.2017 - Press article or interview

RETIREMENT GOAL-BASED INVESTING

Lionel Martellini, Giron Kevin

2017

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01.11.2017 - Press article or interview

BOND RISK PREMIA: THE NEW FRONTIER IN FACTOR INVESTING AND SMART BETA

Lionel Martellini, Frank Fabozzi, Riccardo Rebonato

2017

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01.11.2017 - Press article or interview

FACTOR INVESTING: EFFICIENT HARVESTING OF RISK PREMIA ACROSS AND WITHIN ASSET CLASSES

Lionel Martellini

2017

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01.11.2017 - Press article or interview

FACTOR-BASED APPROACHES TO THE DESIGN OF SMART BOND PORTFOLIOS

Lionel Martellini, Riccardo Rebonato, Frank Fabozzi

2017

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01.11.2017 - Press article or interview

MEASURING VOLATILITY PUMPING BENEFITS IN EQUITY MARKETS

Lionel Martellini

2017

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01.11.2017 - Article in a peer reviewed journal

All that glitters: Gold mining companies’ market reaction at the issuance of the “All-in Sustaining Costs” guidance

Gianfranco Gianfrate

2017 Journal of Accounting and Public Policy, November 2017

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01.11.2017 - Press article or interview

EQUITY PORTFOLIOS WITH LIABILITY-HEDGING BENEFITS

Lionel Martellini, Vincent Milhau

2017

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01.11.2017 - Press article or interview

PREDICTING RISK PREMIA FOR TREASURY BONDS: THE EDHEC BOND RISK PREMIUM MONITOR

Riccardo Rebonato

2017

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01.11.2017 - Press article or interview

BOND RISK PREMIA: THE NEW FRONTIER IN FACTOR INVESTING AND SMART BETA

Lionel Martellini, Frank Fabozzi, Riccardo Rebonato

2017

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01.11.2017 - Press article or interview

FACTOR-BASED APPROACHES TO THE DESIGN OF SMART BOND PORTFOLIOS

Lionel Martellini, Riccardo Rebonato, Frank Fabozzi

2017

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01.11.2017 - EDHEC publication

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

Lionel Martellini

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, November 2017

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30.10.2017 - Article in a peer reviewed journal

Managerial Risk-taking and Internationalization

Zilja Flladina, Hamid Boustanifar

2017 Academy of Management Journal, October 2017

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16.10.2017 - Article in a peer reviewed journal

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Vincent Milhau, Lionel Martellini

2017 Journal of Portfolio Management, Volume 44, January 2018, Pages 8 - 22

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23.09.2017 - Article in a non peer reviewed journal

Equity return forecasting models: an overview

Nikolaos Tessaromatis

2017 Equity return forecasting models: an overview, September 2017, Pages 1 - 14

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01.09.2017 - Working paper

The ERI Stress Testing Tool: A Coherent Approach to Stress Testing

Riccardo Rebonato

2017 September 2017

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01.09.2017 - Working paper

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

Riccardo Rebonato

2017 September 2017

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01.09.2017 - EDHEC publication

The ERI stress testing tool: a coherent approach to stress testing

Riccardo Rebonato

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, September 2017

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03.07.2017 - Article in a peer reviewed journal

Factor Investing and Risk Allocation: From Traditional to Alternative Risk Premia Harvesting

Lionel Martellini

2017 Journal of Alternative Investments, Volume 20, July 2017, Pages 27 - 42

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06.06.2017 - Article in a non peer reviewed journal

Factor investing: A new way of investing or a passing fad?

Nikolaos Tessaromatis

2017 Commerzbank Thinking Ahead, Volume Issue 95, June 2017, Pages 1 - 2

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01.06.2017 - Article in a peer reviewed journal

The Value of Convexity: A Theoretical and Empirical Investigation

Riccardo Rebonato, Vlad Putiatyn

2017 Quantitative Finance, Volume 18, May 2018, Pages 11 - 30

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31.05.2017 - EDHEC publication

Mass customisation versus mass production in retirement investment management: adrressing a "tough engineering problem"

Lionel Martellini, Vincent Milhau

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, May 2017

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26.05.2017 - Article in a peer reviewed journal

Global Equity Country Allocation: An Application of Factor Investing

Nikolaos Tessaromatis, Angelidis Timotheos

2017 Financial Analysts Journal, Volume 73, November 2017, Pages 55 - 73

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03.04.2017 - EDHEC publication

Risk and Performance Analysis: Distinguishing Factors from Attributes

Lionel Martellini, Giron Kevin, Vincent Milhau

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, April 2017

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03.04.2017 - Article in a non peer reviewed journal

Are Smart Beta Strategies Appropriate for the Fixed Income Asset Class?

Riccardo Rebonato

2017 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, March 2017, Pages 1 - 30

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03.04.2017 - Article in a non peer reviewed journal

An Analysis of Alternative Bond Benchmarks

Lionel Martellini

2017 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2017, Pages 1 - 30

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03.04.2017 - Article in a non peer reviewed journal

Can Portfolio Rebalancing be a Source of Additional Performance?

Lionel Martellini

2017 RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, April 2017, Pages 1 - 30

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20.03.2017 - Article in a peer reviewed journal

Reduced-Form Affine Models with Stochastic

Riccardo Rebonato

2017 International Journal of Theoretical and Applied Finance, Volume 20, February 2017, Pages 1750027-1 - 1750027-38

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01.03.2017 - EDHEC publication

Multi-dimensional risk and performance analysis for equity portfolios

Lionel Martellini, Giron Kevin, Vincent Milhau

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2017

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01.03.2017 - EDHEC publication

Smart beta strategies in fixed income

Riccardo Rebonato

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2017

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01.03.2017 - EDHEC publication

New frontiers in smart beta investing: benefits and limits of traditional and alternative bond benchmarks

Lionel Martellini

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2017

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01.03.2017 - EDHEC publication

Measuring volatility pumping benefits in equity markets

Lionel Martellini

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2017

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07.02.2017 - Article in a peer reviewed journal

The Market Price of Volatility Risk and the Dynamics of Market and Actuarial Implied Volatilities

Riccardo Rebonato

2017 Journal of Derivatives, Volume 24, August 2017, Pages 30 - 60

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02.02.2017 - Chapter publication

Stress-Testing Using Bayesian Nets and Related Techniques: Meeting the Engineering Challenges

Riccardo Rebonato

2017 MacMillan / Palgrave, London, August 2017, Pages 1 - 44

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01.02.2017 - EDHEC publication

Measuring volatility pumping benefits in equity markets

Lionel Martellini

2017 EDHEC Risk Institute, EDHEC-Risk Institute publication, February 2017

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01.02.2017 - Article in a peer reviewed journal

Equity Portfolios with Improved Liability-Hedging Benefits

Vincent Milhau, Coqueret Guillaume, Lionel Martellini

2017 Journal of Portfolio Management, Volume 43, February 2017, Pages 37 - 49

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