EDHEC Publications

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Introducing the EDHEC-Risk Solvency Benchmarks - Maximising the Benefits of Equity Investments for Insurance Companies facing Solvency II Constraints

2012

Noël Amenc, François Cocquemas, Romain Deguest, Philippe Foulquier, Lionel Martellini, Samuel Sender

What do Short Sellers Know?

2012

Ekkehart Boehmer, Charles M. Jones, Xiaoyan Zhang

What are the Risks of European ETFs?

2012

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Lin Tang

Solvency II : A unique opportunity for hedge fund strategies

2012

Mathieu Vaissié

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

2012

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

The Link between Eurozone Sovereign Debt and CDS Prices

2012

Dominic O’Kane

Response to the European Commission White Paper "An Agenda for Adequate, Safe and Sustainable Pensions"

2012

Noël Amenc, François Cocquemas, Lionel Martellini, Samuel Sender

Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility

2012

Adrian Buss, Raman Uppal, Grigory Vilkov

Competition in Portfolio Management: Theory and Experiment

2011

Elena Asparouhova, Peter Bossaerts, Jernej Copic, Brad Cornell, Jaksa Cvitanic, Debrah Meloso

Life-Cycle Investing In Private Wealth Management

2011

Romain Deguest, Lionel Martellini, Vincent Milhau

Response to ESMA Consultation Paper to Implementing Measures for the AIFMD

2011

Noël Amenc, Samuel Sender

EDHEC-Risk European Index Survey 2011

2011

Noel Amenc, PhD, Felix Goltz,Lin Tang

Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification

2011

Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang

Improved Beta? A Comparison Of Index-Weighting Schemes

2011

Noël Amenc, Felix Goltz, Lionel Martellini, Shuyang Ye

Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation

2011

Joëlle Miffre

Structured Equity Investment Strategies for Long-Term Asian Investors

2011

Stoyan Stoyanov

Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds

2011

Elie Charbit, Jean-René Giraud, Felix Goltz, Lin Tang

Market Risks in Asset Management Companies

2011

Bernd Scherer

A Review of the G20 Meeting on Agriculture: Addressing Price Volatility in the Food Markets

2011

Hilary Till

A Short Note on the Tobin Tax: The Costs and Benefits of a Tax on Financial Transactions

2011

Raman Uppal

Skin in the Game versus Skimming the Game: Governance, Share Restrictions and Insider Flows

2011

Gideon Ozik, Ronnie Sadka

A New Measure of Equity Duration: The Duration-Based Explanation of the Value Premium Revisited

2011

David Schröder, Florian Esterer

An Integrated Approach To Sovereign Wealth Risk Management

2011

Bernd Scherer

Bond Liquidity Premia

2011

Jean-Sébastien Fontaine, René Garcia

Force-fitting CDS Spreads to CDS Index Swaps

2011

Dominic O’Kane

Into a Distant Mirror: the 1870s

2011

Hilary Till

Intelligent Commodity Trading and Risk Management

2011

Hilary Till

Risk Parity - Rewards Risks and Research Opportunities

2011

Barry Schachter, S. Ramu Thiagarajan

Idiosyncratic Risk and the Pricing of Poorly-Diversified Portfolios

2011

Chris Brooks, Xiafei Li, Joëlle Miffre

A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures

2011

Felix Goltz, Carlos Heitor Campani

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