EDHEC Publications

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Measuring High-Frequency Causality between Returns, Realised Volatility and Implied Volatility

2011

Jean-Marie Dufour, René Garcia, Abderrahim Taamouti

A Variational Approach to Contracting under Imperfect Observations

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu

Markets With Random Lifetimes and Private Values: Mean-Reversion and Option to Trade

2011

Jakša Cvitanic, Charles Plott, Chien-Yao Tseng

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index

2011

Laurent Deville, Carole Gresse, Béatrice de Séverac

Correlation vs. Trends: A Common Misinterpretation

2011

François-Serge Lhabitant

The European Fund Management Industry Needs a Better Grasp of Non-financial Risks

2011

Noël Amenc, Samuel Sender

Idiosyncratic Risk and the Cross-Section of Stock Returns

2011

Rene Garcia, Daniel Mantilla-Garcia, Lionel Martellini

Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks

2011

Lionel Martellini, Vincent Milhau

The Elephant In The Room: Accounting And Sponsor Risks In Corporate Pension Plans

2011

Samuel Sender

Limit Order Markets, High Frequency Traders and Asset Prices

2011

Jakša Cvitanic, Andrei Kirilenko

Asset Prices with Heterogeneity in Preferences and Beliefs

2011

Harjoat S. Bhamra, Raman Uppal

The Alpha of a Market Timer

2011

Georges Hübner

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

2011

Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov

A Hedge Fund Investor's Guide to Understanding Managed Futures

2011

Hilary Till, Joseph Eagleeye

How to Construct Fundamental Risk Factors?

2011

Georges Hübner, Marie Lambert

Option Pricing and Hedging in the Presence of Basis Risk

2011

Lionel Martellini, Vincent Milhau

Optimal Contracting with Effort and Misreporting

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

2011

Caio Almeida, René Garcia

Asset Allocation with Shadow Assets

2011

Bernd Scherer

A Post-crisis Perspective on Diversification for Risk Management

2011

Noël Amenc, Felix Goltz, Stoyan Stoyanov

Case Studies and Risk Management in Commodity Derivatives Trading

2011

Hilary Till

Never the Twain Shall Meet? Addressing the Disconnect between Banks’ Financial and Regulatory Reporting

2011

Paul Klumpes, Peter Welch

Giants at the Gate: On the Cross-Section of Private Equity Investment Returns

2011

Florencio Lopez-de-Silanes, Ludovic Phalippou, Oliver Gottschalg

Introducing a New Form of Volatility Index: The Cross-Sectional Volatility Index

2011

Felix Goltz, Renata Guobuzaite, Lionel Martellini

Diversification in Funds of Hedge Funds: Is it Possible to Overdiversify?

2011

Stephen J. Brown, Greg N. Gregoriou, Razvan Pascalau

Media and Investment Management

2010

Gideon Ozik, Ronnie Sadka

An Integrated Approach To Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions And The Rational Pricing Of Liability Streams

2010

Vincent Milhau, Lionel Martellini

EDHEC-Risk European Private Wealth Management Survey

2010

Noel Amenc, Sergio Focardi, Felix Goltz, David Schroder, Lin Tang

Does Finance Theory Make the Case for Capitalisation- Weighted Indexing?

2010

Felix Goltz, Véronique Le Sourd

Asset-Liability Management Decisions For Sovereign Wealth Funds

2010

Lionel Martellini, Vincent Milhau

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