Academic Publications
The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction
Quantitative Finance, Volume 18, 2018 - Issue 3
Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions
The Journal of Portfolio Management, Vol. 44, Issue 2, Multi-Asset Special Issue 2018
The Impact of Market Conditions on Bond Fund Managers
The Journal of Fixed Income, Winter 2018, 27 (3) 6-22
An improved least squares Monte Carlo valuation method based on heteroscedasticity
European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706
Sin Stocks Revisited: Resolving the Sin Stock Anomaly
The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017
Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling
European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791
Effects of Spot Market Short-Sale Constraints on Index Futures Trading
Review of FinanceVolume 21, Issue 5, 1 August 2017, Pages 1975-2005
Commercial Real Estate Derivatives: The End or the Beginning?
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 179-186, September 2017
The Expansion of Real Estate
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22, September 2017
A flexible approach to estimate the equity premium
Applied Economics, Volume 49, 2017 - Issue 59
How fat are the tails of equity market indices?
International Journal of Finance & EconomicsVolume 22, Issue 3, July 2017 - pp 181-200
The Value of Convexity: A Theoretical and Empirical Investigation
Quantitative Finance, July 2017
Calibrating short interest rate models in negative rate environments
In this paper, different calibration approaches for short-term interest rate models are explored in a negative interest rate environment. Russo and...
Skillful hiding: evaluating hedge fund managers's performance based on what they hide
Applied Economics, Volume 49, 2017 - Issue 7, February 2017
Who Are the Value and Growth Investors?
Journal of Finance, Volume 72, Issue 1, February 2017, pp5-46.
CDS Implied Credit Ratings
The Journal of Fixed Income, Spring 2017, Vol. 26, No. 4: pp. 25-52
Equal-Weighted Strategy: Why it Outperforms Value-Weighted Strategies? Theory and Evidence
Journal of Asset Management, May 2017, Volume 18, Issue 3, pp 188-208
Robust Factor-Based Investing
The Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 157-164, March 2017
Penalizing variances for higher dependency on factors
Quantitative Finance, March 2017
Volatility Wisdom of Social Media Crowds
The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151
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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.
