Publications

Commodities - Active Strategies for Enhanced Return

Mean-Variance-Skewness Portfolio Performance Gauging: A General Shortage Function and Dual Approach

Portfolio Risk Measurement in Commodity Futures Investments

Survey of Recent Hedge Fund Articles

Hedge fund industry: is there a capacity effect?

Static Mean-Variance Analysis with Uncertain Time Horizon

Neutrality of Market Neutral Funds

The Right Place for Alternative Betas in Hedge Fund Performance: an Answer to the Capacity Effect Fantasy

From Delivering to the Packaging of Alpha

Pricing Traditional versus Alternative Asset Management Services

A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning

Is there a gain to explicitly modelling extremes? A risk management analysis

Hedge Funds from the Institutional Investor’s Perspective

Nonlinear dynamics and heterogeneous interacting agents.

Introduction to modern portfolio optimization with NUOPT(TM), S-PLUS® and S+ Bayes(TM).

Pratiques de la Décision. Développer ses capacités de discernement.

Dynamic asset allocation with forwards and futures.

Operational Risk : Practical Approaches to Implementation

L'alternance dans l'enseignement supérieur.

Privatization in Latin America : myths and reality.

Hedge Funds : Insights in Performance Measurement, Risk Analysis, and Portfolio Allocation.

Using Index Options to Improve the Performance of Dynamic Asset Allocation Strategies

Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks

A Survey of the Literature on Hedge Fund Performance

Taking a Close Look at the European Fund of Hedge Funds Industry- Comparing and Contrasting Industry Best Practices and Academic Recommendations

Be Active With Your Bond Trackers

Hedge Fund Indices from an Academic Perspective: Reconciling Investability and Representativity