EDHEC Publications

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Commodities as Lotteries: Skewness and the Returns of Commodity Futures

2015

Adrian Fernández-Pérez, Bart Frijns, Ana-Maria Fuertes, Joëlle Miffre

Stock Market Dispersion, the Business Cycle and Expected Factor Returns

2015

Timotheos Angelidis, Athanasios Sakkas, Nikolaos Tessaromatis

Factor Investing: A Welfare-Improving New Investment Paradigm or Yet Another Marketing Fad?

2015

Lionel Martellini, Vincent Milhau

Commodity Markets, Long-Run Predictability and Intertemporal Pricing

2015

Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre

Commodity Risks and the Cross-Section of Equity Returns

2015

Chris Brooks, Adrian Fernandez-Perez, Joëlle Miffre, Ogonna Nneji

Active Allocation To Smart Factor Indices

2015

Noel Amenc, Guillaume Coqueret, Lionel Martellini

The Valuation of Privately-Held Infrastructure Equity Investments: Theoretical Framework and Data Collection Requirements

2015

Frédéric Blanc-Brude, Majid Hasan

Investor Interest In And Requirements For Smart Beta ETFs

2015

Felix Goltz, Veronique Le Sourd

The EDHEC European ETF Survey 2014

2015

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Eric Shirbini

Alternative Equity Beta Investing: A Survey

2015

Noel Amenc, Saad Badaoui, Felix Goltz, Véronique Le Sourd, Ashish Lodh

Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

2015

Noël Amenc, Kumar Gautam, Felix Goltz ,Nicolas Gonzalez, Jan-Philip Schade

Introducing A Comprehensive Investment Framework For Goals-Based Wealth Management

2015

Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang

Where Experience Matters: Asset Allocation and Asset Pricing with Opaque and Illiquid Assets

2015

Adrian Buss, Raman Uppal, Grigory Vilkov

Crude Oil Futures Markets: Are the Benefits of "Roll Yield" Real?

2014

Hilary Till

Equity Portfolios with Improved Liability-Hedging Benefits

2014

Guillaume Coqueret, Romain Deguest, Lionel Martellini, Vincent Milhau

How Much Construction Risk do Sponsors Take in Project Finance?

2014

Frederic Blanc-Brude, Dejan Makovsek

The Impact Of Risk Controls And Strategy-Specific Risk Diversification On Extreme Risk

2014

Lixia Loh, Stoyan Stoyanov

Unlisted Infrastructure Debt Valuation & Performance Measurement: Theoretical Framework and Data Collection Requirements

2014

Frédéric Blanc-Brude, Majid Hasan, Omneia R.H. Ismail

Superannuation V2.0: Towards The Next Generation Of Pension Funds In Australia

2014

Frederic Blanc-Brude, Frederic Ducoulombier

Dynamic Allocation Strategies for Absolute and Relative Loss Control

2014

Daniel Mantilla-Garcia

Risk Allocation, Factor Investing And Smart Beta: Reconciling Innovations In Equity Portfolio Construction

2014

Noel Amenc,Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini Eric Shirbini

Should A Skeptical Portfolio Insurer Use An Optimal Or A Risk-Based Multiplier?

2014

Maxime Bonelli, Daniel Mantilla-Garcia

Tail Risk Of Smart Beta Portfolios: An Extreme Value Theory Approach

2014

Lixia Loh, Stoyan Stoyanov

A Predictive System with Heteroscedastic Expected Returns and Economic Constraints

2014

Maxime Bonelli, Daniel Mantilla-Garcia

Catastrophe Bonds: An Important New Financial Instrument

2014

Michael Edesess

Equal or Value Weighting? Implications for Asset-Pricing Tests

2014

Yuliya Plyakha, Raman Uppal, Grigory Vilkov

Global Style Portfolios Based on Country Indices

2014

Timotheos Angelidis, Nikolaos Tessaromatis

Benchmarking Long-Term Investment in Infrastructure: Objectives, Roadmap and Recent Progress

2014

Frédéric Blanc-Brude

A Proposal for an Interest Rate Dampener for Solvency II to Manage Pro-Cyclical Effects and Improve Asset-Liability Management

2014

Philippe Foulquier, Mohamed El Hedi Arouri, Alexandre Le Maistre

Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant Research

2014

Hilary Till

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