Publications

Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tactical Style Allocation Decisions

Portable Alpha and Portable Beta Strategies in the eurozone: Implementing Active Asset Allocation Decisions using Equity Index Options and Futures

Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

Towards the Integration of Extreme Values in Obtaining the Value-at-Risk

On the Role of Hedge Funds in Institutional Portfolios: Comprehensive Version

L'innovation collective

On the Valuation and Incentive Effects of Executive Cash Bonus Contracts

The Alpha and Omega of Hedge Fund Performance Measurement

Tactical Asset Allocation

Optimal Allocation to Hedge Funds: An Empirical Analysis

Modern Pricing of Interest-Rate Derivatives : The LIBOR Market Model and Beyond

Desperately Seeking Pure Style Indexes

The Generalised Treynor Ratio

Portfolio Optimisation and Hedge Fund Style Allocation Decisions

Grafting Information in Scenario Trees Application to Option Prices

Internationalizing the Assessment Criteria to Build Cross-Cultural Competency

An Analysis of Hedge Fund Performance 1984-2000

Tactical Style Allocation – A New Form of Market Neutral Strategy

Four-State Model vs. Market Model: Part I

Asset Allocation

Trend-Following Hedge Funds and Multi-Period Asset Allocation

Risk Management Lessons in Leveraged Commodity Futures Trading

An Integrated Framework for Style Analysis and Performance Measurement

Measure for Measure

Life at Sharpe's End

Commodity Scarcity and the GSCI Futures Curve

Les Clés pour Innover