Corps professoral et chercheurs

GIAMOURIDIS Daniel, PhD

Chercheur Associé, EDHEC-Risk Institute

Discipline : Finance

Contact

Email : research@edhec-risk.com

Principales contributions académiques

Journal of Portfolio Management (2013), European Financial Management (2009 ; 2012), Journal of Portfolio Management (2012), Journal of Financial Research (2010), Journal of Asset Management (2009), Journal of Banking and Finance (2007 ; 2013), Journal of Risk (2006 ; 2008), Journal of Derivatives (2002), Journal of Futures Markets (2002 ; 2007 ; 2009), Applied Financial Economics (2005), Journal of Derivatives (2002), Journal of Alternative Investments (2001)

Documents à télécharger

Pdf
CV - Dianiel Giamouridis, PhD...
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Publications EDHEC

We select two approaches that have recently stood out in the statistics and econometric literature and have been applied to portfolio construction...
We used a database with transactions from the U.K. market to identify insiders with superior market timing abilities. For the period 1994 to 2006 we...
We compute VaR and ES through completely modelfree methods, as well as through mean/variance and distribution model-based methods. Among the models...

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