EDHEC Publications

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The Myths and Limits of Passive Hedge Fund Replication: An Attractive Concept… Still a Work-in-Progress

2007

Noël Amenc, Walter Géhin, Lionel Martellini, Jean-Christophe Meyfredi

QIS3: Meaningful progress towards the implementation of Solvency II but ground remains to be covered

2007

Samuel Sender, Philippe Foulquier

Conditional Risk Premia and Correlations in Commodity Futures Markets

2007

James Chong, Joëlle Miffre

Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?

2007

Véronique Le Sourd

A Review of the U.S. Senate Report on the Amaranth Debacle

2007

Hilary Till

State Dependence Can Explain the Risk Aversion Puzzle

2007

Fousseni Chabi-Yo, René Garcia, Eric Renault

Risk Management and Portfolio Construction in a Commodity Futures Programme

2007

Joseph Eagleeye, Hilary Till

Performance Measurement for Traditional Investment, Literature Survey

2007

Véronique Le Sourd

Asset-Liability Management Decisions In Private Banking

2007

Noel Amenc, Lionel Martellini, Volker Ziemann

Response to CESR public consultation on Best Execution under MiFID - On the Importance of Transaction Cost Analysis

2007

Catherine D'Hondt, Jean-René Giraud

Quantification of Hedge Fund Default Risk

2007

Corentin Christory, Stephane Daul, Jean-Rene Giraud

CP20: Significant improvements in the Solvency II framework but grave incoherencies remain - EDHEC response to Consultation Paper n° 20

2007

Philippe Foulquier, Samuel Sender

Transaction Cost Analysis in Europe: Current and Best Practices - European Survey

2007

Catherine D'Hondt, Jean-René Giraud

Extending Black-Litterman Analysis Beyond the Mean-Variance Framework

2007

Lionel Martellini, Volker Ziemann

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

2007

Lionel Martellini, Jean-Christophe Meyfredi

The Challenge of Hedge Fund Measurement: a Toolbox Rather Than a Pandora's Box

2006

Walter Géhin

QIS 2: Modelling that is at odds with the prudential objectives of Solvency II

2006

Philippe Foulquier, Samuel Sender

The Impact Of IFRS And Solvency II On Asset-Liability Management And Asset Management In Insurance Companies

2006

Noël Amenc, Lionel Martellini, Philippe Foulquier, Samuel Sender

Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement

2006

Noël Amenc, Felix Goltz, Véronique Le Sourd

Hedge Fund Returns: An Overview of Return-Based and Asset-Based Style Factors

2006

Walter Géhin

Momentum Profits and Time-Varying Unsystematic Risk

2006

Xiafei Li, Joëlle Miffre and Chris Brooks

A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investment of UCITS

2006

Noël Amenc, Felix Goltz

The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns

2006

Hilary Till

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

2006

Harry M. Kat, Joëlle Miffre

How to Include Hedge Funds in a Risk Allocation Framework

2006

Hilary Till

Commodities at the Cross-Roads: Where to Now?

2006

Hilary Till

Hidden Liquidity in a Pure Order-Driven Market

2006

Rudy De Winne, Catherine D’Hondt

Derivatives Strategies for Bond Portfolios

2006

Felix Goltz, Lionel Martellini, Volker Ziemann.

Backwardation and Commodity Futures Performance: Evidence from Evolving Agricultural Markets

2006

Barry Feldman, Hilary Till

Inferences about the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry

2006

Hilary Till

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