Chercheur Associé,EDHEC-Risk Institute

Discipline : Gestion d'actifs


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Principales contributions académiques

European Financial Management (2015), Journal of Empirical Finance (2013), Finance (2012), Journal of Derivatives and Hedge Funds (2012)

Documents à télécharger

CV - Marie Lambert, PhD...
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Publications EDHEC

This paper thoroughly analyses competing construction methods for factoring characteristics into returns. We show the importance of ensuring a proper...
This paper explores the gamma trading, timing and managerial skills of individual hedge funds across categories. We replicate the non-linear payoffs...
We examine the performance of risk-optimisation techniques on equity style portfolios. To form these portfolios, also called Strategic Beta factors...
This paper examines the dynamic trading strategies implemented by hedge fund managers using a Kalman filter of hedge fund betas across styles.
This paper investigates the role that hedge funds, a proxy for sophisticated investors, play in the price discovery process between stock and option...