Academic Publications
Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models
Computational Economics Volume 51, pages 339–378, (2018)
In this article, the authors consider several time-varying volatility and/...
The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction
Quantitative Finance, Volume 18, 2018 - Issue 3
The recent financial crisis sparked a debate on the usefulness of the neoclassical economic...
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
Multi-asset investment solutions have become...
The Impact of Market Conditions on Bond Fund Managers
The Journal of Fixed Income, Winter 2018, 27 (3) 6-22
We examine the impact on relative success of bond fund managers under different market...
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
Longstaff–Schwartz’s least squares Monte Carlo...
Sin Stocks Revisited: Resolving the Sin Stock Anomaly
The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017
Various studies report that investing in “sin stocks”—firms that make money...
Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling
European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791
In this paper, fuzzy decision fusion techniques are...
Effects of Spot Market Short-Sale Constraints on Index Futures Trading
Review of Finance Volume 21, Issue 5, 1 August 2017, Pages 1975-2005
The authors analyze the effects of spot market short-sale constraints on...
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
In this article, the authors...
The Expansion of Real Estate
The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22, September 2017
The definition of commercial real...
A flexible approach to estimate the equity premium
Applied Economics, Volume 49, 2017 - Issue 59
In this article, we estimate the risk aversion for households accounting for their lifetime...
How fat are the tails of equity market indices?
International Journal of Finance & Economics Volume 22, Issue 3, July 2017 - pp 181-200
Using a generalized autoregressive conditional...
The Value of Convexity: A Theoretical and Empirical Investigation
Quantitative Finance, Volume 18, 2018 - Issue 1
We explore from a theoretical and an empirical perspective the value of convexity in the US...
Calibrating short interest rate models in negative rate environments
The Journal of Derivatives Summer 2017, 24 (4) 80 - 92
In this paper, different calibration approaches for short-term interest rate models are...
Who Are the Value and Growth Investors?
Journal of Finance, Volume 72, Issue 1, February 2017, pp5-46.
This paper investigates value and growth investing in a large administrative panel...
Skillful hiding: evaluating hedge fund managers's performance based on what they hide
Applied Economics, Volume 49, 2017 - Issue 7, February 2017
Mandatory disclosure of hedge fund portfolios has been a hotly debated topic. This...
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
CDS Implied Credit Ratings
The Journal of Fixed Income, Spring 2017, Vol. 26, No. 4: pp. 25-52
Rating agencies cluster companies in rating categories to signal their...
Robust Factor-Based Investing
The Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 157-164, March 2017
In quantitative portfolio management, combining...
Penalizing variances for higher dependency on factors
Quantitative Finance, March 2017
Constructing equity portfolios to control for stock market volatility and unforeseen portfolio losses is critical...
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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.
