Corps professoral et chercheurs

MILHAU Vincent, phd

Directeur de recherche, EDHEC-Risk Institute

Discipline : Finance

EDHEC Business School
393/400 Promenade des Anglais - BP3116
06202 Nice cedex 3 - France
Tel.: + 33 (0)4 93 18 99 66
Fax : + 33 (0)4 93 83 08 10

Email : [email protected]

Principales contributions académiques

Journal of Pension Economics & Finance (2012 ; 2022), Journal of Fixed Income (2015 ; 2022), Journal of Pension Economics & Finance (2021), The Journal of Retirement (2020), Management Science (2018), Journal of Corporate Finance (2017), Journal of Alternative Investments (2015), Bankers, Markets and Investors (2010 ; 2012 ; 2014 ; 2015), Journal of Portfolio Management (2009 ; 2017 ; 2018 ; 2019 ; 2020 ; 2021), Banque & Stratégie (2009)

Documents à télécharger

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CV - Vincent Milhau, PhD...
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Publications EDHEC

These dynamic allocation strategies exploit the presence of mean-reversion in interest rates, equity Sharpe ratio and equity volatility. The...
EDHEC-Risk Institute has conducted extensive research into advanced debt management practices, including a study on the possibility of increasing...
The purpose of the present research publication is to go beyond simple forms of dynamic strategies, and to show that more sophisticated dynamic...
In the presence of interest rate and inflation risks, we are able to obtain quasiclosed form expressions for the price of various forms of indexed-...
In the presence of unspanned basis risk modeled as a Brownian bridge process, which explicitly accounts for the convergence of the basis to zero as...

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