Academic Publication

Diversifying The Diversifiers And Tracking The Tracking Error: Outperformaing Cap-Weighted Indices With Limited Risk Of Underperformance

Auteur(s) : Noël Amenc, Felix Goltz

The Journal of Portfolio Management Spring 2012, 38 (3) 72 - 88 A number of quantitative or fundamental weighting schemes have been shown to...

Macroeconomic variable selection for creditor recovery rates

Auteur(s) : Abdolreza Nazemi, Frank J. Fabozzi

Journal of Banking & Finance, Volume 89, April 2018, Pages 14-25 We study the relationship between U.S. corporate bond recovery rates and...

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

Auteur(s) : Lionel Martellini, Vincent Milhau, Andrea Tarelli

Journal of Corporate Finance, Volume 49, April 2018, Pages 141-167 This paper provides a joint quantitative analysis of capital ...

A Financially Motivated Extension of the Heston Model for a Joint ℙ- and ℚ-Dynamics Analysis of Variance

Auteur(s) : Riccardo Rebonato, Chu Ming Ng

Journal of Derivatives, Vol. 25, Issue 3, Spring 2018 The empirical, or “P” distribution determines profits and losses from market price...

Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

Auteur(s) : Noël Amenc, Felix Goltz, Ashish Lodh

The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 The authors argue that more attention should be paid...

Academic, Practitioner, and Investor Perspectives on Factor Investing

Auteur(s) : Joseph Cerniglia, Frank J. Fabozzi

The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018 In this article, the authors discuss the current...

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction

Auteur(s) : Nikolaos Tessaromatis

Quantitative Finance, Volume 18, 2018 - Issue 3 The recent financial crisis sparked a debate on the usefulness of the neoclassical economic...

The Impact of Market Conditions on Bond Fund Managers

Auteur(s) : Harsh Parikh, Frank J. Fabozzi

The Journal of Fixed Income, Winter 2018, 27 (3) 6-22 We examine the impact on relative success of bond fund managers under different market...

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

Auteur(s) : Lionel Martellini, Vincent Milhau

The Journal of Portfolio Management, Vol. 44, Issue 2, Multi-Asset Special Issue 2018 Multi-asset investment solutions have become...

Predictability dynamics of emerging sovereign CDS markets

Auteur(s) : Ahmet Sensoy, Frank J. Fabozzi, Veysel Eralsan

Economics Letters, Volume 161, December 2017, Pages 5-9 We compare the time-varying weak-form efficiency of Credit Default Swap (CDS)...

An improved least squares Monte Carlo valuation method based on heteroscedasticity

Auteur(s) : Frank J.Fabozzi, Tommaso Paletta, Radu Tunaru

European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706 Longstaff–Schwartz’s least squares Monte Carlo...

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

Auteur(s) : David Blitz, Frank J. Fabozzi

The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017 Various studies report that investing in “sin stocks”—firms that make money...

Explosive rents: The real estate market dynamics in exuberance

Auteur(s) : Frank J. Fabozzi, Keli Xao

The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107 The interaction of the trading behavior of market...

Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling

Auteur(s) : Abdolreza Nazemi, Farnoosh Fatemi Pour, Konstantin Heidenreich, Frank J. Fabozzi

European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791 In this paper, fuzzy decision fusion techniques are...

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model

Auteur(s) : Vincenzo RussoFrank J. Fabozzi

The Journal of Fixed Income, Vol. 27, No. 2: pp. 30-36, September 2017 In this article, we propose an alternative approach for pricing bond...

Commercial Real Estate Derivatives: The End or the Beginning?

Auteur(s) : Radu Tunaru, Frank J. Fabozzi

The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 179-186, September 2017 In this article, the authors...

The Expansion of Real Estate

Auteur(s) : Jim Clayron, Frank J. Fabozzi, S. Michael Giliberto, Jacques Gordon, Youguo Liang, Greg MacKinnon, Asieh Mansour

The Journal of Portfolio Management, Special Real Estate Issue 2017, Vol. 43, No. 6: pp. 11-22, September 2017 The definition of commercial real...

A flexible approach to estimate the equity premium

Auteur(s) : Yosef Bonaparte, Frank J. Fabozzi

Applied Economics, Volume 49, 2017 - Issue 59 In this article, we estimate the risk aversion for households accounting for their lifetime...

Effects of Spot Market Short-Sale Constraints on Index Futures Trading

Auteur(s) : Frank J. Fabozzi, Ahmet K. Karagozoglu, Na Wang

Review of Finance Volume 21, Issue 5, 1 August 2017, Pages 1975-2005 The authors analyze the effects of spot market short-sale constraints on...

The Value of Convexity: A Theoretical and Empirical Investigation

Auteur(s) : Riccardo Rebonato, Vladislav Putyatin

Quantitative Finance, Volume 18, 2018 - Issue 1 We explore from a theoretical and an empirical perspective the value of convexity in the US...

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About EDHEC

Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.

About EDHEC Climate Institute

Reflecting EDHEC Business School’s strategic commitment to sustainability and climate finance, the EDHEC-Risk Climate Impact Institute has evolved into the EDHEC Climate Institute (ECI), consolidating the School’s expertise in climate-related financial research and decision-making. ECI’s mission is to support private and public decision-makers in managing climate-related financial risks and leveraging financial tools to transition to a low-emission, climate-resilient economy. The Institute strengthens its recognised expertise in physical and transition risks, with a particular focus on supply chain emissions (Scope 3), consumer choices, and emerging technologies, while continuing to serve as a leading academic reference for long-term investors.

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