EDHEC Publications

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Hedge Funds Investing: A Quantitative Look Inside the Black Box

2004

François-Serge Lhabitant

A Detailed Analysis of the Construction Methods and Management Principles of Hedge Fund Indices

2003

Mathieu Vaissié

Edhec European Asset Management Practices Survey

2003

Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini

Edhec European Alternative Multimanagement Practices Survey

2003

Noël Amenc, Anne Delaunay, Jean-René Giraud, Felix Goltz, Lionel Martellini, Mathieu Vaissié

The Benchmark's Benchmark: Measuring the Performance of a Manager's Long-Term Strategy

2003

David E. Kuenzi

Evaluating a Trend-Following Commodity Index for Multi-Period Asset Allocation

2003

John M. Mulvey, Shiv Siddhant N. Kaul, Koray D. Simsek

Desperately Seeking Pure Style Indexes

2003

Noël Amenc, Robert Faff, Lionel Martellini

A Stochastic Network Approach for Integrating Pension and Corporate Financial Planning

2003

John M. Mulvey, Bill Pauling, Koray D. Simsek

Tactical Style Allocation - A New Form of Market Neutral Strategy

2003

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir

How to Price Hedge Funds: From Two- to Four-Moment CAPM

2003

Angelo Ranaldo, Laurent Favre

Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio: Traditional versus Alternative Approaches

2003

Hilary Till

The Alpha and Omega of Hedge Fund Performance Measurement

2003

Noël Amenc, Lionel Martellini

Optimal Allocation to Hedge Funds: An Empirical Analysis

2003

Jaksa Cvitanic, Ali Lazrak, Lionel Martellini and Fernando Zapatero

EDHEC Alternative Indexes

2003

EDHEC-Risk

Evaluating Hedge Fund Investments: The Role of Pure Style Indices

2003

Francois-Serge Lhabitant

Indexing Hedge Fund Indexes

2003

Noël Amenc, Lionel Martellini, Mathieu Vaissié

Portable Alpha and Portable Beta Strategies in the eurozone: Implementing Active Asset Allocation Decisions using Equity Index Options and Futures

2003

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphne Sfeir

The Generalised Treynor Ratio

2003

Georges Hübner

An Analysis of Hedge Fund Performance 1984-2000

2003

Daniel Capocci, Georges Hübner

Evidence of Predictability in Bond Indices and Implications for Fixed-Income Tactical Style Allocation Decisions

2003

Noël Amenc, Philippe Malaise, Lionel Martellini, Daphné Sfeir

On the Role of Hedge Funds in Institutional Portfolios: Comprehensive Version

2003

Hilary Till

Towards the Integration of Extreme Values in Obtaining the Value-at-Risk

2003

Jean-Christophe Meyfredi

Improving the Market Model: The 4-State Model Alternative

2003

Octave Jokung, Jean-Christophe Meyfredi

Grafting Information in Scenario Trees Application to Option Prices

2003

Michael Schyns, Yves Crama and Georges Hübner

On the Valuation and Incentive Effects of Executive Cash Bonus Contracts

2003

Lionel Martellini, Branko Urosevic

Tactical Asset Allocation

2003

Lionel Martellini, Daphné Sfeir

Portfolio optimisation and hedge fund style allocation decisions

2003

Noël Amenc, Lionel Martellini

Four-State Model vs. Market Model: Part I

2002

Octave Jokung, Jean-Christophe Meyfredi

Asset Allocation

2002

Noël Amenc, Lionel Martellini

The Brave New World of Hedge Fund Indices

2002

Noël Amenc, Lionel Martellini

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