Academic Publications
A Three-Factor Model for Mortality Modeling
North American Actuarial Journal, Volume 19, Issue 2, pp129-141, 2015
In this article, the authors propose a three-factor model for mortality...
Multiperiod conditional valuation of barrier options with incomplete information
Quantitative Finance, Volume 15, Issue 7, pp1093-1102, 2015
In this paper, we investigate the role of reduced available information on the...
Focusing on the worst state for robust investing
International Review of Financial Analysis, Volume 39, pp19-31, May 2015
Despite its shortcomings, the Markowitz model remains the norm for asset...
Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty
Journal of Financial Engineering, Volume 2, Issue 1, March 2015
Basel III requires banks to include a credit value adjustment (CVA) into capital...
Measuring and explaining pension system risk
Journal of Pension Economics and Finance, Volume 14, Special Issue 2, pp161-171, April 2015
We discuss pension system risk in the USA, focusing on...
Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks
Journal of Portfolio Management, Volume 40, No. 4, pp106-122
This article argues that current smart-beta investment approaches provide only a...
Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe
Financial Analysts Journal, May/June 2011, Volume 67, Issue 3
Responses to a survey of investment management practitioners in Europe show that...
Risk Allocation: A New Investment Paradigm?
Journal of Portfolio Management, Winter 2014, Volume 40, Issue 2, pp1-4
Risk allocation has gained popularity among sophisticated investors,...
Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies
Bankers, Markets & Investors, September-October 2014, Issue 132, pp26-42
Implementing portfolio optimization techniques is a challenging task...
Portfolio selection in the presence of systemic risk
Journal of Asset Management, October 2014, Volume 15, Issue 5, pp285-299
In this article we study the portfolio selection problem in the presence...
Can We Predict Stock Market Crashes?
Journal of Portfolio Management, 2014, Volume 40, Issue 5, pp183-195.
In this article, the authors suggest how to think about a new framework for...
Smooth monotone covariance for elliptical distributions and applications in finance
Quantitative Finance, Volume 14, Issue 9
Sample covariance is known to be a poor estimate when the data are scarce compared with the dimension. To...
Deciphering robust portfolios
Journal of Banking and Finance, Volume 45, August 2014, pp1-8
Robust portfolio optimization has been developed to resolve the high sensitivity to...
Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns
Journal of Fixed Income, Volume 24, No. 1, Summer 2014, pp75-87
In this article, we analyze the distribution of returns on seven major Eurozone...
Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions
Journal of Statistical Theory and Practice, Volume 8, Issue 2, 2014
The main problem in applying the multivariate stable and geo-stable...
Recent Developments in Robust Portfolios with a Worst-Case Approach
Journal of Optimization and Applications, Volume 161, Issue 1, April 2014, pp103-121
Robust models have a major role in portfolio optimization for...
Recent Trends in Equity Portfolio Construction Analytics
Journal of Portfolio Management, Volume 40, No. 3, Spring 2014, pp137-151
Portfolio analytics is critical for identifying investment opportunities...
Bayesian estimation of truncated data with applications to operational risk measurement
Quantitative Finance, Volume 14, Issue 5, 2014, pp853-888
Data insufficiency and reporting threshold are two main issues in operational risk...
Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds within Institutional Investors Portfolios
Bankers, Markets & Investors, Special Issue ERD 2014, pp5-16, March 2014
This paper provides a formal analysis of the benefits of corporate...
Robust portfolios that do not tilt factor exposure
European Journal of Operational Research, Volume 234, Issue 2, pp411-421, April 2014
Robust portfolios reduce the uncertainty in portfolio...
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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.
