Academic Publications
60 Years of portfolio optimization: Practical challenges and current trends
European Journal of Operational Research, Volume 234, Issue 2, pp356-371, April 2014
The concepts of portfolio optimization and diversification...
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
Review of Financial Studies, Volume 27, Issue 2, February 2014, pp1-43
We study whether investors can exploit serial dependence in stock returns...
Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View
Communications in Statistics - Simulation and Computation Volume 46, 2017 - Issue 1
We study the one-dimensional Ornstein–Uhlenbeck (OU...
Multivariate Stable Distributions and Generating Densities
Applied Mathematics Letters, Volume 26, Issue 3, March 2013, Pages 324-329
The probability density function of multivariate stable...
Commercial Real Estate Risk Management with Derivatives
Journal of Portfolio Management, Volume 39, Number 5, pp. 111-119
Helping managers to gauge the interaction between commercial property prices and...
Option pricing with time-changed Levy processes
Applied Economics, Volume 23, Issue 15, pp1231-123
In this article, we introduce two new six-parameter processes based on time-changing tempered...
Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets
Journal of Portfolio Management, Volume 39, No. 2, pp-101-115, Winter 2013.
Portfolio Selection Problems Consistent with a Given Preference Ordering
International Journal of Theoretical and Applied Finance, Volume 16, Issue 5, August 2013
This paper theoretically and empirically investigates...
The new issues puzzle: evidence from non-US firms
Applied Economics Letters, Volume 20, Issue 17, pp1586-1591
For non-US stocks of firms in the G7 countries, we empirically test the new issues...
Market overreaction and underreaction: tests of the directional and magnitude effects
Applied Economics, Volume 23, Issue 18, pp1469-1482
We investigate whether the US equity market exhibits underreaction or overreaction. More...
Optimal corporate strategy under uncertainty
Applied Economics, Volume 45, Issue 20, 2013
Within a dynamic setting, optimal corporate strategy management for a multi-division corporation...
Size, value, and momentum in emerging market stock returns
Emerging Markets Review, Volume 16, pp46-65, September 2013
In this paper, we examine value and momentum effects in 18 emerging stock markets....
Composition of robust equity portfolios
Finance Research Letters, Volume 10, Issue 2, pp72-81, June 2013
Robust portfolios resolve the sensitivity issue identified as a concern in...
Factor uniqueness in the S&P 500 universe: Can proprietary factors exist?
International Journal of Theoretical and Applied Finance, Volume 16, Issue 04, June 2013
In this paper, we analyze factor uniqueness in the S&...
What do robust equity portfolio models really do?
Annals of Operations Research, Volume 205, Issue 1, pp141-168, May 2013
Most of previous work on robust equity portfolio optimization has focused...
Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data
Studies in Nonlinear Dynamics and Econometrics, Volume 17, Issue 2, pp167-177, April 2013
In this paper, we examine the S&P 500 index log-...
Computational aspects of portfolio risk estimation in volatile markets: a survey
Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 1, February 2013
Portfolio risk estimation requires appropriate modeling of fat...
A Binomial-Tree Model for Convertible Bond Pricing
The Journal of Fixed Income Winter 2013, 22(3) 79 - 94
In this article, we derive a binary tree–based model for convertible bond valuation subject...
A Pricing Framework for Real Estate Derivatives
European Financial Management, Volume18, Issue5 November 2012 Pages 762-789
New methods are developed here for pricing the main real...
A New Method for Generating Approximation Algorithms for Financial Mathematics Applications
Quantitative Finance Volume 12, 2012 - Issue 10
This paper describes a new technique that can be used in financial mathematics for a...
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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.
