Academic Publications
Predicting Future Yields and Risk Premia: The Blue-Dot Affine Model
The Journal of Fixed Income, Vol. 30, Issue 1, Summer 2020
The authors present a new affine model that can predict future yields and risk...
Maximizing an equity portfolio excess growth rate: a new form of smart beta strategy?
Quantitative Finance, Volume 20, 2020 - Issue 7
It has been claimed that, for dynamic investment strategies, the simple act of...
Factor based commodity investing
Journal of Banking & Finance, Volume 115, June 2020
A multi-factor commodity portfolio combining the momentum, basis, basis-momentum,...
Factoring characteristics into returns: A clinical study on the SMB and HML portfolio construction methods
Journal of Banking & Finance, Volume 114, May 2020
Factor performance is highly sensitive to the number of stocks composing its long and...
Securing Replacement Income with Goal-Based Retirement Investing Strategies
The Journal of Retirement Volume 7, Issue 4, Spring 2020
To supplement retirement benefits received from public and private pension systems,...
Does Factor Investing Improve Investor Welfare? A Multi-Asset Perspective
The Journal of Portfolio Management, Multi-Asset Special Issue, Vol. 46, Issue 6, June 2020
Investment decisions in delegated...
Harvesting Macroeconomic Risk Premia
The Journal of Portfolio Management Multi-Asset Special Volume 46, Issue 6, Multi-Asset Special Issue 2020
The authors measure the aggregate...
Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications
International Journal of Theoretical and Applied Finance, Vol. 23 N° 2 pp. 1 - 36, March 2020
This work builds on the work by Joslin et al...
Measuring Portfolio Rebalancing Benefits in Equity Markets
The Journal of Portfolio Management, Vol. 46, Issue 4, March 2020
The potential source of additional performance because of the simple act of...
Value by Design?
The Journal of Portfolio Management Quantitative Special Issue 2020, 46 (2) 93-104
Although academics and practitioners frequently...
Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management
The Journal of Portfolio Management, Vol. 46, Issue 2, Quantitative Special Issue 2020
This article provides a detailed analysis of...
Rich Pickings? Risk, Return, and Skill in Household Wealth
American Economic Review, Vol. 110, N°9, September 2020
The authors investigate wealth returns on an administrative panel containing the...
What Does Today’s Smile Imply About Future Volatilities?
The Journal of Derivatives, Vol. 27, Issue 2, Winter 2019
This article presents a simple and financially justifiable way to extract the...
Defining and Exploiting Value in US Treasury Bonds
The Journal of Fixed Income, Vol. 29, Issue 2, Fall 2019
In this article, we propose a definition of value in Treasury bonds that,...
Adaptive Portfolios and the Power of Diversification
The Journal of Investing, Vol. 28, Issue 5, August 2019
The article gives a qualitative description of an advisory or discretionary investment...
"Flexicure" Retirement Solutions: A Part of the Answer to the Pensions Crisis?"
The Journal of Portfolio Management, Volume 45, Number 5, July 2019
Individuals preparing for retirement are currently left with an...
Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees
The Journal of Portfolio Management, Vol. 45, Issue 4, April 2019
Institutional investors face various leverage and short-sale...
Future-Proof Your Climate Strategy
Harvard Business Review, May/June 2019
Many companies are protecting themselves against “climate risk”—the damage they might suffer from heat...
Quanto Option Pricing with Lévy Models
Computational Economics, March 2019, Volume 53, Issue 3, pp 1279–1308
The authors develop a multivariate Lévy model and apply the bivariate...
A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits
The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019
A factor and goal-driven framework for assessing asset...
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
