EDHEC Publication

Assets’ Correlation Implications for Portfolio Insurance Strategies Performance

Author(s) : Daniel Mantilla-Garcia

The estimation of the multiplier parameter of portfolio insurance is crucial for this kind of investment strategies because it determines the risk...

2019

Assets’ Correlation Implications for Portfolio Insurance Strategies Performance

Author(s) : Enrique ter Horst

The estimation of the multiplier parameter of portfolio insurance is crucial for this kind of investment strategies because it determines the risk...

2019

Assets’ Correlation Implications for Portfolio Insurance Strategies Performance

Author(s) : German Molina

The estimation of the multiplier parameter of portfolio insurance is crucial for this kind of investment strategies because it determines the risk...

2019

Assets’ Correlation Implications for Portfolio Insurance Strategies Performance

Author(s) : Emilien Audeguil

The estimation of the multiplier parameter of portfolio insurance is crucial for this kind of investment strategies because it determines the risk...

2019

Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

Author(s) : Jean-Michel Maeso

Looking at momentum in fixed-income markets at the security level is very important, because studies that employ ‘synthetic’ zero-coupon bonds can be...

2019

Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

Author(s) : Lionel Martellini

Looking at momentum in fixed-income markets at the security level is very important, because studies that employ ‘synthetic’ zero-coupon bonds can be...

2019

Factor Investing in Fixed-Income - Cross-Sectional and Time-Series Momentum in Sovereign Bond Markets

Author(s) : Riccardo Rebonato

Looking at momentum in fixed-income markets at the security level is very important, because studies that employ ‘synthetic’ zero-coupon bonds can be...

2019

Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets

Author(s) : Jean-Michel Maeso

Value has been recognised as one of the most important factors for equities since the pioneering work by Fama and MacBeth (1973). In equities, the...

2019

Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets

Author(s) : Lionel Martellini

Value has been recognised as one of the most important factors for equities since the pioneering work by Fama and MacBeth (1973). In equities, the...

2019

Factor Investing in Fixed-Income – Defining and Exploiting Value in Sovereign Bond Markets

Author(s) : Riccardo Rebonato

Value has been recognised as one of the most important factors for equities since the pioneering work by Fama and MacBeth (1973). In equities, the...

2019

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective

Author(s) : Jean-Michel Maseo

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC-Risk Institute, in...

2019

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective

Author(s) : Lionel Martellini

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC-Risk Institute, in...

2019

Factor Investing in Sovereign Bond Markets – A Time-Series Perspective

Author(s) : Riccardo Rebonato

This paper has been produced as part of the "ETF, Indexing and Smart Beta Investment Strategies" Research Chair at EDHEC-Risk Institute, in...

2019

2019 Global Infrastructure Investor Survey

Author(s) : Noël Amenc, PhD

The 2019 EDHECinfra / Global Infrastructure Hub survey of infrastructure investors focused on the role of benchmarks and revealed a number of key...

2019

2019 Global Infrastructure Investor Survey

Author(s) : Frédéric Blanc-Brude

The 2019 EDHECinfra / Global Infrastructure Hub survey of infrastructure investors focused on the role of benchmarks and revealed a number of key...

2019

2019 Global Infrastructure Investor Survey

Author(s) : Abhishek Gupta

The 2019 EDHECinfra / Global Infrastructure Hub survey of infrastructure investors focused on the role of benchmarks and revealed a number of key...

2019

2019 Global Infrastructure Investor Survey

Author(s) : Jing Li Yim

The 2019 EDHECinfra / Global Infrastructure Hub survey of infrastructure investors focused on the role of benchmarks and revealed a number of key...

2019

The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018

Author(s) : Felix Goltz, PhD

The survey was conducted as part of the Amundi research chair at EDHEC-Risk Institute on "ETF, Indexing and Smart Beta Investment Strategies".

2018

The EDHEC European ETF and Smart Beta and Factor Investing Survey 2018

Author(s) : Véronique Le Sourd

The survey was conducted as part of the Amundi research chair at EDHEC-Risk Institute on "ETF, Indexing and Smart Beta Investment Strategies".

2018

Maximising the Volatility Return: A Risk-Based Strategy for Homogeneous Groups of Assets

Author(s) : Daniel Mantilla-Garcia

The long-term performance of any portfolio can be decomposed as the sum of the weighted average long-term return of its assets plus the volatility...

2018

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About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the top 15 European business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.

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