Faculty Research Expertise
- 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 - 01.01.2014 - Article in a peer reviewed journal
- 01.01.2014 - Article in a peer reviewed journal
Global style portfolios based on country indices
Bankers, Markets & Investors, January 2014 - 01.01.2014 - Article in a peer reviewed journal
Asset Prices with Heterogeneity in Preferences and Beliefs
Review of Financial Studies, January 2014 - 01.01.2014 - Article in a peer reviewed journal
Interest Rate Risk and the Cross Section of Stock Returns
Journal of Financial and Quantitative Analysis, January 2014 - 23.10.2013 - EDHEC publication
Analysing Statistical Robustness of Cross-Sectional Volatility
EDHEC-Risk Institute publication, October 2013 - 16.09.2013 - EDHEC publication
The Local Volatility Factor for Asian Stock Markets
EDHEC-Risk Institute publication, September 2013 - 16.09.2013 - EDHEC publication
Analysing and Decomposing the Sources of Added-Value of Corporate Bonds Within Institutional Investors’ Portfolios
EDHEC-Risk Institute publication, September 2013 - 04.07.2013 - Book publication
Portfolio Management under Stress : A Bayesian-Net Approach to Coherent Asset Allocation.
July 2013 - 23.04.2013 - EDHEC publication
The Benefits of Sovereign, Municipal and Corporate Inflation-Linked Bonds in Long-Term Investment Decisions
EDHEC-Risk Institute publication, April 2013 - 17.04.2013 - Book publication
Rethinking Valuation and Pricing Models : lessons learned from the crisis and future challenges.
April 2013 - 21.03.2013 - EDHEC publication
Hedging versus Insurance: Long-Horizon Investing with Short-Term Constraints
EDHEC-Risk Institute publication, March 2013 - 01.01.2013 - Book publication
Advances in Financial Risk Management: Corporates, Intermediaries and Portfolios.
January 2013 - 01.01.2013 - Article in a peer reviewed journal
Optimal benchmarking for active portfolio managers
European Journal of Operational Research, January 2013 - 03.10.2012 - Working paper
- 03.10.2012 - EDHEC publication
Response to the European Commission White Paper
Other study and expert report, October 2012 - 15.05.2012 - EDHEC publication
The Benefits of Volatility Derivatives in Equity Portfolio Management
EDHEC-Risk Institute publication, May 2012 - 01.03.2012 - Article in a peer reviewed journal
PRIVATE BENEFITS OF CONTROL IN THE BANKING INDUSTRY: A CROSS-COUNTRY ANALYSIS
Corporate Ownership & Control, March 2012 - 20.02.2012 - EDHEC publication
Dynamic Investment Strategies for Corporate Pension Funds in the Presence of Sponsor Risk
EDHEC-Risk Institute publication, February 2012 - 06.02.2012 - Working paper
- 23.01.2012 - EDHEC publication
Introducing the EDHEC-Risk Solvency Benchmarks – Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints
EDHEC-Risk Institute publication, January 2012 - 01.01.2012 - Book publication
- 01.01.2012 - Book publication
- 01.01.2012 - Book publication
- 18.04.2011 - EDHEC publication
Improved Beta? A Comparison of Index-Weighting Schemes
EDHEC-Risk Institute publication, April 2011 - 28.03.2011 - EDHEC publication
Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks
EDHEC-Risk Institute publication, March 2011 - 22.02.2011 - Working paper
- 01.01.2011 - Book publication
- 01.01.2011 - Book publication
- 10.12.2010 - EDHEC publication
An Integrated Approach to Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions and the Rational Pricing of Liability Streams
EDHEC-Risk Institute publication, December 2010 - 30.09.2010 - EDHEC publication
From Deterministic to Stochastic Life-Cycle Investing: Implications for the Design of Improved Forms of Target Date Funds
EDHEC-Risk Institute publication, September 2010 - 28.09.2010 - EDHEC publication
New Frontiers in Benchmarking and Liability-Driven Investing
EDHEC-Risk Institute publication, September 2010 - 28.09.2010 - EDHEC publication
Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters
EDHEC-Risk Institute publication, September 2010 - 01.07.2010 - Book publication
Coherent Stress Testing: A Bayesian Approach to the Analysis of Financial Stress
July 2010 - 07.06.2010 - Working paper
- 07.06.2010 - Working paper
- 07.04.2010 - EDHEC publication
Spillover Effects of Counter-cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales
EDHEC Position paper, April 2010 - 18.02.2010 - Working paper
Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection
February 2010 - 04.01.2010 - EDHEC publication
Efficient Indexation: An Alternative to Cap-Weighted Indices
EDHEC-Risk Institute publication, January 2010 - 01.01.2010 - Book publication
- 17.09.2009 - EDHEC publication
Asset-Liability Management in Private Wealth Management
EDHEC-Risk Institute publication, September 2009 - 16.09.2009 - Working paper
- 07.09.2009 - Working paper
- 26.05.2009 - EDHEC publication
Measuring the Benefits of Dynamic Asset Allocation Strategies in the Presence of Liability Constraints
EDHEC-Risk Institute publication, May 2009 - 04.05.2009 - Working paper
- 16.04.2009 - EDHEC publication
- 03.04.2009 - EDHEC publication
Impact of Regulations on the ALM of European Pension Funds
EDHEC-Risk Institute publication, April 2009 - 21.01.2009 - EDHEC publication
Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management
EDHEC-Risk Institute publication, January 2009 - 08.12.2008 - Working paper