EDHEC Publications

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Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

2016

Kevin Giron, Lionel Martellini, Vincent Milhau

Hedge Fund Styles And Macroeconomic Uncertainty

2016

Marie Lambert, Federico Platania

Investor Perceptions About Smart Beta ETFs

2016

Noël Amenc, Felix Goltz, Véronique Le Sourd

What Do Measures Of Real-Time Corporate Sales Tell Us About Earnings Surprises And Post-Announcement Returns?

2016

Kenneth Froot, Namhco Kang, Gideon Ozik, Ronnie Sadka

Initial Margin For Non-Centrally Cleared OTC Derivatives: Overview, Modelling And Calibration

2016

Dominic O'Kane

Factor Investing And Risk Allocation: From Traditional To Alternative Risk Premia Harvesting

2016

Jean-Michel Maeso, Lionel Martellini

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

2016

Hilary Till

Swing Oil Production and the Role of Credit: A Synthesis of Best-in-Class Research Views

2016

Hilary Till

Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

2016

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Jakub Ulahel

A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

2016

Michel Brocard, François-Serge Lhabitant

A Collection of Articles on the Commodity Futures Markets, Spanning the Agricultural, Metals, and Energy Sectors

2016

Hilary Till

Commodity Risk Management

2016

Hilary Till

Insights into the Frequently Opaque, and Always Dynamic, Commodity Markets

2016

Hilary Till

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

2016

Raman Uppal, Paolo Zaffaroni

Market Efficiency And Hedge Fund Trading Strategies

2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania

Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

2016

Juha Joenväärä, Bernd Scherer

The EDHEC European ETF Survey 2015

2016

Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Sivagaminathan Sivasubramanian

Term Structure Analysis Of Option Implied Volatility In The Brazilian Market Using A Continuous-Time GARCH Model

2016

Carlos Heitor Campani, Carlos Eduardo Fucci

What Investment Robots Need To Know – Evidence from Panel Survey Data

2016

Bernd Scherer

Mass Customization Versus Mass Production - How An Industrial Revolution Is About To Take Place In Investment Management And Why It Involves A Shift From Investment Products To Investment Solutions

2016

Lionel Martellini

Does Household Finance Matter? Small Financial Errors with Large Social Costs

2016

Harjoat Singh Bhamra, Raman Uppal

How to Calibrate Risk Appetite, Tolerance and Limits: The Issues at Stake for Capital Allocation, ERM and Business Performance

2016

Philippe Foulquier, Liliana Arias

On the Correct Evaluation of Cost of Capital for Project Valuation

2015

Carlos Heitor Campani

Long-Short Commodity Investing: A Review of the Literature

2015

Joëlle Miffre

Is Smart Beta Just Monkey Business? An Analysis Of Factor Exposures, Upside-Down Strategies And Rebalancing Effects

2015

Noël Amenc, Felix Goltz,, Ashish Lodh

Skewness Strategies in Commodity Futures Markets

2015

Adrian Fernandez-Perez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre

Structural Position-Taking in Crude Oil Futures Contracts

2015

Hilary Till

When Has OPEC Spare Capacity Mattered for Oil Prices?

2015

Hilary Till

The Limitations Of Factor Investing: Impact Of The Volkswagen Scandal On Concentrated Versus Diversified Factor Indices

2015

Noël Amenc, Sivagaminathan Sivasubramanian, Jakub Ulahel

What are the Sources of Return for CTAs and Commodity Indices? A Brief Survey of Relevant Research

2015

Hilary Till

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