Academic Publications | EDHEC Climate Institue

March 2020

Harvesting Macroeconomic Risk Premia

The Journal of Portfolio Management Multi-Asset Special Volume 46, Issue 6, Multi-Asset Special Issue 2020 The authors…

March 2020

Principal-Component-Based Gaussian Affine Term Structure Models: Constraints and Their Financial Implications

International Journal of Theoretical and Applied Finance, Vol. 23 N° 2 pp. 1 - 36, March 2020 This work builds on the…

March 2020

Measuring Portfolio Rebalancing Benefits in Equity Markets

The Journal of Portfolio Management, Vol. 46, Issue 4, March 2020 The potential source of additional performance…

January 2020

Value by Design?

The Journal of Portfolio Management&nbsp;Quantitative Special Issue 2020,&nbsp;46 (2)&nbsp;93-104 Although…

January 2020

Factor Investing in US Sovereign Bond Markets: A New Generation of Conditional Carry Strategies with Applications in Asset-Only and Asset-Liability Management

The Journal of Portfolio Management, Vol. 46, Issue 2, Quantitative Special Issue 2020&nbsp;&nbsp; This article…

January 2020

Rich Pickings? Risk, Return, and Skill in Household Wealth

American Economic Review, Vol. 110, N°9, September 2020 The authors investigate wealth returns on an administrative…

December 2019

What Does Today’s Smile Imply About Future Volatilities?

The Journal of Derivatives, Vol. 27, Issue 2, Winter 2019 &nbsp; This article presents a simple and financially…

October 2019

Defining and Exploiting Value in US Treasury Bonds

The Journal of Fixed Income, Vol. 29, Issue 2, Fall 2019&nbsp;&nbsp; In this article, we propose a definition…

September 2019

Adaptive Portfolios and the Power of Diversification

The Journal of Investing, Vol. 28, Issue 5, August 2019 The article gives a qualitative description of an advisory or…

July 2019

"Flexicure" Retirement Solutions: A Part of the Answer to the Pensions Crisis?"

The Journal of Portfolio Management, Volume 45, Number 5, July 2019&nbsp; Individuals preparing for retirement are…

June 2019

Performance Sharing in Risky Portfolios: The Case of Hedge Fund Returns and Fees

The Journal of Portfolio Management, Vol. 45, Issue 4, April 2019&nbsp;&nbsp; Institutional investors face…

May 2019

Future-Proof Your Climate Strategy

Harvard Business Review, May/June 2019 Many companies are protecting themselves against “climate risk”—the damage they…

April 2019

Quanto Option Pricing with Lévy Models

Computational Economics, March 2019, Volume 53, Issue&nbsp;3, pp 1279–1308 The authors develop a multivariate Lévy…

March 2019

A Factor- and Goal-Driven Model for Defined Benefit Pensions: Setting Realistic Benefits

The Journal of Portfolio Management, Vol. 45, Issue 3 Quantitative Special Issue 2019 A factor and goal-driven…

January 2019

Tail Risk in the Cross Section of Alternative Risk Premium Strategies

The Journal of Portfolio Management&nbsp;Multi-Asset Special Issue 2019,&nbsp;45&nbsp;(2)&nbsp;93-104 …

January 2019

Does Household Finance Matter? Small Financial Errors with Large Social Costs

American Economic Review&nbsp;VOL. 109, NO. 3, MARCH 2019 (pp. 1116-54) Households with familiarity biases tilt…

January 2019

The Three-Factor Hedging Strategy for Mortgage Pass-Through Securities: Empirical Evidence

The Journal of Fixed Income, Winter 2019, Vol. 28 N° 3 pp. 55 - 67 The mortgage pass-through securities sector of the…

January 2019

Quantile-Based Inference for Tempered Stable Distributions

Computational Economics, January 2019, Volume 53, Issue&nbsp;1, pp 51–83 We introduce a simple, fast, and accurate…

December 2018

Predicting Returns in US Treasuries: Do Tents Matter?

International Journal of Theoretical and Applied Finance, Vol. 21, No. 07 We look at the economic significance and at…

October 2018

Bond Pricing and Yield Curve Modeling: A Structural Approach

In this book, Riccardo Rebonato provides the theoretical foundations (no-arbitrage, convexity, expectations, risk premia…

September 2018

A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems

Management Science, Volume 64, Issue 9, September 2018, Pages 3971-4470 In a continuous-time portfolio selection model…

August 2018

Another Look at the Ho–Lee Bond Option Pricing Model

The Journal of Derivatives, Vol. 25, Issue 4, Summer 2018, pp48-53 Bond option pricing models come in two forms:…

August 2018

Recent advancements in robust optimization for investment management

Annals of Operations Research, July 2018, Volume 266, Issue&nbsp;1–2, pp 183–198...…

July 2018

Bond Portfolio Optimization in the Presence of Duration Constraints

The Journal of Fixed Income, Summer 2018 (1) 6 - 26 Although there exists an abundant literature on the benefits…

July 2018

Local volatility and the recovery rate of credit default swaps

Journal of Economic Dynamics and Control, Volume 92, July 2018, Pages 1-29 Credit default swap&nbsp;(CDS) spreads…

June 2018

Using the right implied volatility quotes in times of low interest rates: An empirical analysis across different currencies

Finance Research Letters, Volume 25, June 2018, Pages 196-201 Negative rates directly impact the pricing and quoting of…

May 2018

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

Journal of Financial and Quantitative&nbsp;Analysis, Volume 53, Issue 2, April 2018 , pp. 937-963 This paper…

April 2018

Macroeconomic variable selection for creditor recovery rates

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

April 2018

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

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

April 2018

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

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

April 2018

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

The Journal of Portfolio Management, Vol. 44, Issue 4, Quantitative Special Issue 2018  The authors argue that…

April 2018

Academic, Practitioner, and Investor Perspectives on Factor Investing

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

March 2018

Calibrating the Italian Smile with Time-Varying Volatility and Heavy-Tailed Models

Computational Economics Volume 51, pages 339–378, (2018) In this article, the authors consider several…

February 2018

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

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

January 2018

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

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

January 2018

The Impact of Market Conditions on Bond Fund Managers

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

November 2017

An improved least squares Monte Carlo valuation method based on heteroscedasticity

European Journal of Operational Research, Volume 263, Issue 2, 1 December 2017, Pages 698-706 Longstaff–Schwartz’s…

November 2017

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

The Journal of Portfolio Management, Vol. 44, Issue 1, Fall 2017  Various studies report that investing in “sin…

October 2017

Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling

European Journal of Operational Research, Volume 262, Issue 2, 16 October 2017, Pages 780-791 In this paper, fuzzy…

October 2017

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

Review of Finance Volume 21, Issue 5, 1 August 2017, Pages 1975-2005 The authors analyze the effects of spot…

September 2017

Commercial Real Estate Derivatives: The End or the Beginning?

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

September 2017

The Expansion of Real Estate

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

August 2017

A flexible approach to estimate the equity premium

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

August 2017

How fat are the tails of equity market indices?

International Journal of Finance & Economics Volume 22, Issue 3, July 2017 - pp 181-200 Using a generalized…

July 2017

The Value of Convexity: A Theoretical and Empirical Investigation

Quantitative Finance, Volume 18, 2018 - Issue 1 We explore from a theoretical and an empirical perspective the…

July 2017

Calibrating short interest rate models in negative rate environments

The Journal of Derivatives Summer 2017, 24 (4) 80 - 92 In this paper, different calibration approaches for short-term…

June 2017

Who Are the Value and Growth Investors?

Journal of Finance, Volume 72, Issue 1, February 2017, pp5-46. This paper investigates value and growth investing in a…

June 2017

Skillful hiding: evaluating hedge fund managers's performance based on what they hide

Applied Economics, Volume 49, 2017 - Issue 7, February 2017 Mandatory disclosure of hedge fund portfolios has been a…

May 2017

CDS Implied Credit Ratings

The Journal of Fixed Income, Spring 2017, Vol. 26, No. 4: pp. 25-52 Rating agencies cluster companies in rating…

May 2017

Equal-Weighted Strategy: Why it Outperforms Value-Weighted Strategies? Theory and Evidence

Journal of Asset Management, May 2017, Volume 18, Issue 3, pp 188-208...…