EDHEC Publications

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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

OPEC Spare Capacity and the Term Structure of Oil Futures Prices

2014

Hilary Till

On the Rate of Return and Valuation of Non-Conventional Projects

2014

Carlos Heitor Campani

Quantitative Portfolio Construction and Systematic Trading Strategies using Factor Entropy Pooling

2014

Attilio Meucci, David Ardia, Marcello Colasante

The Importance of the Structural Shape of Crude Oil Futures Curves

2014

Hilary Till

The History of Financial Derivatives: A 2-Part Feature

2014

Hilary Till

Towards Conditional Risk Parity — Improving Risk Budgeting Techniques in Changing Economic Environments

2014

Lionel Martellini, Vincent Milhau, Andrea Tarelli

The Fund of Hedge Fund Selection Puzzle: A Pragmatic Approach to Identify the X-Factor

2014

Serge Darolles, Mathieu Vaissié

Growth Optimal Portfolio Insurance For Long-Term Investors

2014

Daniel Mantilla-García

Tail Risk Of Equity Market Indices: An Extreme Value Theory Approach

2014

Lixia Loh, Stoyan Stoyanov

Optimising The Compression Cycle: Algorithms For Multilateral Netting In OTC Derivatives Markets

2014

Dominic OKane

Index Transparency - A Survey Of European Investors' Perceptions, Needs And Expectations

2014

Noël Amenc, Frédéric Ducoulombier

The EDHEC European ETF Survey 2013

2014

Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

2014

Frank J. Fabozzi, Mike E. Nawas, Dennis Vink

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

2014

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov

Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds? A Survey Of The LDI Practices For Pension Funds

2014

Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau

Improved Risk Reporting With Factor-Based Diversification Measures

2014

Tiffanie Carli, Romain Deguest, Lionel Martellini

Why Haven't Weather Derivatives Been More Successful as Futures Contracts? A Case Study

2014

Hilary Till

Why Haven't Uranium Futures Contracts Succeeded? A Case Study

2014

Hilary Till

Why Haven't Pulp Futures Contracts Succeeded? A Case Study

2014

Hilary Till

Who Needs Inflation Hedging? A Quantitative Analysis Of The Benefits Of Inflation-Linked Bonds, Real Estate And Commodities For Long-Term Investors With Inflation-Linked Liabilities

2014

Lionel Martellini, Vincent Milhau

Discussion of the Central Bank of Ireland discussion paper on loan origination by investment funds

2013

Frédéric Blanc-Brude

Challenges Facing Commodity Futures Market Participants: The Anti-Speculation Cycle, the RORO Environment, and Position Limits

2013

Hilary Till

Commodity Strategies Based on Momentum, Term Structure and Idiosyncratic Volatility

2013

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

Analysing Statistical Robustness of Cross-Sectional Volatility

2013

Felix Goltz, Lionel Martellini, Stoyan Stoyanov

LTGA Impact Assessment and Bond Management: Has Solvency II reached a Deadlock?

2013

Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier

Commodity Position Limit Rules Should Be Based on a Finding of Necessity

2013

Hilary Till

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