Faculty Research Expertise
- 22.12.2016 - Article in a peer reviewed journal
Kinetic Component Analysis
Journal of Investing, Volume 25, November 2016, Pages 142 - 154 - 14.12.2016 - Chapter publication
Structural Affine Models for Yield Curve Modelling
John Wiley, Chichester, February 2016, Pages 241 - 264 - 30.11.2016 - Article in a peer reviewed journal
Crowdfunding and Venture Capital: Substitutes or Complements?
The Journal of Private Equity, November 2016 - 07.11.2016 - Article in a peer reviewed journal
Understanding Dynamic Mean Variance Asset Allocation
European Journal of Operational Research, Volume 254, May 2016, Pages 320 - 337 - 04.11.2016 - Article in a peer reviewed journal
The Quickest Way to Lose the Money You Could Not Afford To Lose’ —
Journal of Risk, Volume 20, May 2018, Pages 83 - 93 - 03.11.2016 - EDHEC publication
Multi-dimensional risk and performance analysis for equity portfolios
EDHEC Risk Institute, EDHEC-Risk Institute publication, October 2016 - 31.08.2016 - Article in a peer reviewed journal
Who Is the Sovereign among Sovereign Wealth Funds? A Network Analysis of Co-Investments
The Journal of Private Equity, August 2016 - 13.07.2016 - Article in a non peer reviewed journal
Brexit and the UK Asset Management industry
Brexit : ce qui va changer… ou pas, July 2016, Pages 6 - 7 - 21.06.2016 - EDHEC publication
Factor investing and risk allocation: from traditional to alternative risk premia harvesting
EDHEC Risk Institute, EDHEC-Risk Institute publication, June 2016 - 02.05.2016 - Article in a non peer reviewed journal
Enhanced Liability-Hedging Portfolios for Institutional Investors
RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, May 2016, Pages 1 - 22 - 02.05.2016 - Article in a non peer reviewed journal
Obtaining Attractive Exposure to Alternative Factors with Risk Allocation Strategies
RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, May 2016, Pages 1 - 22 - 02.05.2016 - Article in a non peer reviewed journal
Meaningful Retirement Solutions for Institutional Investors
RESEARCH FOR INSTITUTIONAL MONEY MANAGEMENT - A Supplement to PENSIONS & INVESTMENTS, Volume 1, May 2016, Pages 1 - 22 - 24.03.2016 - Article in a peer reviewed journal
Dynamic Asset Allocation with Liabilities
European Financial Management, Volume 23, March 2017, Pages 254 - 291 - 14.03.2016 - Article in a non peer reviewed journal
Providing Meaningful Retirement Investment Solutions
Research Insights supplement to AsianInvestor, March 2016, Pages 1 - 28 - 14.03.2016 - Article in a non peer reviewed journal
Enhancing LDI Solutions with Improved Equity Benchmarks
Research Insights supplement to AsianInvestor, March 2016, Pages 1 - 36 - 14.03.2016 - Article in a non peer reviewed journal
Harvesting Alternative Risk Premia
Research Insights supplement to AsianInvestor, March 2016, Pages 1 - 28 - 07.03.2016 - EDHEC publication
- 07.03.2016 - EDHEC publication
Alternative risk premia harvesting: From hedge fund replication to hedge fund substitution
EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2016 - 07.03.2016 - EDHEC publication
New Frontiers in Retirement Solutions
EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2016 - 02.03.2016 - Book publication
Bond Pricing and Yield Curve Modelling - A Structural Approach
Cambridge University Press, Cambridge UK, November 2017 - 23.01.2016 - EDHEC publication
Mass Customisation versus Mass Production in Investment Management
EDHEC Risk Institute, EDHEC-Risk Institute publication, January 2016 - 04.01.2016 - Chapter publication
Corporate Social Responsibility and Macroeconomic Uncertainty
Academic Press, US, January 2016, Pages 111 - 129 - 01.01.2016 - Book publication
- 01.01.2016 - Book publication
- 30.11.2015 - Article in a peer reviewed journal
Private Equity throughout the Financial Crisis
The Journal of Private Equity, November 2015 - 24.11.2015 - Chapter publication
- 09.11.2015 - EDHEC publication
Introducing a Comprehensive Allocation Framework for Goals-Based Wealth Management
EDHEC-Risk Institute publication, November 2015 - 04.11.2015 - Article in a peer reviewed journal
Mass Customization in Life-Cycle Investing Strategies with Income Risk
Bankers, Markets & Investors (ex-Banque & Marchés), November 2015, Pages 28 - 44 - 13.10.2015 - EDHEC publication
Stock market dispersion, the business cycle and expected factor returns
EDHEC Risk Institute, EDHEC-Risk Institute publication, October 2015 - 14.09.2015 - Working paper
- 31.08.2015 - Article in a peer reviewed journal
- 09.08.2015 - EDHEC publication
Factor investing: a welfare-improving new investment paradigm or yet another marketing fad?
EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015 - 06.07.2015 - EDHEC publication
Active allocation to smart factor indices
EDHEC Risk Institute, EDHEC-Risk Institute publication, July 2015 - 01.07.2015 - Article in a peer reviewed journal
Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments
Journal of Alternative Investments, July 2015, Pages 48 - 64 - 20.04.2015 - Article in a peer reviewed journal
Stock market dispersion, the business cycle and expected factor returns
Journal of Banking and Finance, Volume 59, June 2015, Pages 265 - 279 - 23.03.2015 - Article in a peer reviewed journal
A Model-Free Measure of Aggregate Idiosyncratic Volatility and the Prediction of Stock Returns
urnal of Financial and Quantitative Analysis, Volume 49, October 2014, Pages 1133 - 1165 - 09.03.2015 - EDHEC publication
Introducing a comprehensive investment framework for goal-based wealth management
EDHEC Risk Institute, EDHEC-Risk Institute publication, March 2015 - 01.01.2015 - Book publication
- 01.01.2015 - Article in a non peer reviewed journal
- 01.01.2015 - Article in a peer reviewed journal
Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds
urnal of Fixed Income, Volume 24, January 2015, Pages 5 - 29 - 01.09.2014 - Article in a peer reviewed journal
Finance and employment: Evidence from U.S. banking reforms
Journal of Banking and Finance, September 2014 - 01.08.2014 - Article in a peer reviewed journal
Information acquisition, foreign bank entry, and credit allocation
Quarterly Review of Economics and Finance, August 2014 - 24.04.2014 - EDHEC publication
Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic Environments
EDHEC-Risk Institute publication, April 2014 - 07.04.2014 - Working paper
- 03.02.2014 - EDHEC publication
Dynamic Liability-Driven Investing Strategies: The Emergence of a New Investment Paradigm for Pension Funds?
EDHEC-Risk Institute publication, February 2014 - 06.01.2014 - Working paper
- 01.01.2014 - Book publication
- 01.01.2014 - Article in a peer reviewed journal
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
Review of Financial Studies, January 2014 - 01.01.2014 - Article in a peer reviewed journal
Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies
Bankers, Markets & Investors, January 2014 - 01.01.2014 - Article in a peer reviewed journal
Improving Portfolio Selection Using Option-Implied Volatility and Skewness
Journal of Financial and Quantitative Analysis, January 2014