Academic Publications
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.
Robust portfolios that do not tilt factor exposure
European Journal of Operational Research, Volume 234, Issue 2, pp411-421, April 2014.
60 Years of portfolio optimization: Practical challenges and current trends
European Journal of Operational Research, Volume 234, Issue 2, pp356-371, April 2014.
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance
Review of Financial Studies, Volume 27, Issue 2, February 2014, pp1-43.
Portfolio Selection Problems Consistent with a Given Preference Ordering
International Journal of Theoretical and Applied Finance, Volume 16, Issue 5, August 2013.
Commercial Real Estate Risk Management with Derivatives
Journal of Portfolio Management, Volume 39, Number 5, pp. 111-119.
The new issues puzzle: evidence from non-US firms
Applied Economics Letters, Volume 20, Issue 17, pp1586-1591.
Market overreaction and underreaction: tests of the directional and magnitude effects
Applied Economics, Volume 23, Issue 18, pp1469-1482.
Option pricing with time-changed Levy processes
Applied Economics, Volume 23, Issue 15, pp1231-123.
Optimal corporate strategy under uncertainty
Applied Economics, Volume 45, Issue 20, 2013.
Size, value, and momentum in emerging market stock returns
Emerging Markets Review, Volume 16, pp46-65, September 2013.
Composition of robust equity portfolios
Finance Research Letters, Volume 10, Issue 2, pp72-81, June 2013.
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.
What do robust equity portfolio models really do?
Annals of Operations Research, Volume 205, Issue 1, pp141-168, May 2013.
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.
Computational aspects of portfolio risk estimation in volatile markets: a survey
Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 1, February 2013.
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.
Pages
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.
