Academic Publications | EDHEC Climate Institue

March 2017

Robust Factor-Based Investing

The Journal of Portfolio Management, Special Issue 2017, Vol. 43, No. 5: pp. 157-164, March 2017 In quantitative…

March 2017

Penalizing variances for higher dependency on factors

Quantitative Finance, March 2017 Constructing equity portfolios to control for stock market volatility and unforeseen…

January 2017

Volatility Wisdom of Social Media Crowds

The Journal of Portfolio Management, Winter 2017, Vol. 43, No. 2: pp. 136-151 In this article, the authors provide new…

January 2017

Predictability dynamics of emerging sovereign CDS markets

Economics Letters, Volume 161, December 2017, Pages 5-9 We compare the time-varying weak-form efficiency of Credit…

January 2017

Explosive rents: The real estate market dynamics in exuberance

The Quarterly Review of Economics and Finance, Volume 66, November 2017, Pages 100-107  The interaction of the…

January 2017

Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios

Applied Economics Letters, Volume 24, 2017 - Issue 13, Spring 2017 This article estimates the elasticity of…

January 2017

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

Review of Finance, Volume 21, Issue 3, 1 May 2017, Pages 1159-1188 This article shows that commodity portfolios that…

January 2017

An Examination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps

Bankers, Markets & Investors, N.147 - Mars Avril 2017 We examine the impact of the November 2012 EU ban on the…

January 2017

Exploring rating shopping for european triple a senior structured finance securities

Finance Research Letters, Volume 20, February 2017, Pages 35-39 In much of the research with respect to the use of…

January 2017

Intensity-based framework for surrender modeling in life insurance

Insurance: Mathematics and Economics, Volume 72, January 2017, Pages 189-196 In this paper, we propose an intensity…

November 2016

On the Estimation of the SABR Model's Beta Parameter

The Journal of Derivatives, Fall 2016, Vol. 24, No. 1: pp. 48-57 The stochastic-alpha-beta-rho (SABR) model has become…

May 2016

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management

Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp94-106. In this article, the authors…

May 2016

Best Practices in Research for Quantitative Equity Strategies

Journal of Portfolio Management, Special QES Issue 2016, Volume 42, No. 5, pp135-143., May 2016 The authors examine the…

May 2016

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

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

January 2016

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

International Review of Financial Analysis, December 2016 We investigate the potential use of textual information from…

January 2016

Kinetic Component Analysis

Journal of Investing, Vol. 25 Issue 3 pp. 142 - 154, Fall 2016 The authors introduce kinetic component analysis (KCA),…

January 2016

An improved method for pricing and hedging long dated American options

European Journal of Operational Research, Volume 254, Issue 2, 16 October 2016, Pages 656-666 The majority of quasi…

January 2016

Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

Economics Letters, Volume 145, pp225-229, August 2016 We construct a binomial tree model fitting all moments to the…

January 2016

Portfolio selection with conservative short-selling

Finance Research Letters, Volume 18, August 2016, Pages 363-369 Mean-variance analysis is considered the foundation of…

January 2016

The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis

Journal of Monetary Economics, Volume 81, August 2016, Pages 25-43 In a production economy with trade in financial…

January 2016

On stability of operational risk estimates by LDA: From causes to approaches

Journal of Banking and Finance, Volume 68, July 2016, pp266-287 The stability of estimates is critical when applying…

January 2016

Is idiosyncratic volatility priced in commodity futures markets?

International Review of Financial Analysis, Volume 46, pp219-226, July 2016....…

January 2016

Factor decomposition of the Eurozone sovereign CDS spreads

Journal of International Money and Finance, Volume 65, July 2016, pp1-23....…

January 2016

Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model

International Journal of Theoretical and Applied Finance, Volume 4, Issue 04, June 2016 In this paper, we study a model…

January 2016

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

Journal of Fixed Income, Volume 25, No. 4, Spring 2016, pp76-82 In this article, the authors propose an alternative…

January 2016

Elliptical tempered stable distribution

Quantitative Finance, Volume 16, Issue 7, May 2016 Elliptical distributions are useful for modelling multivariate data,…

January 2016

Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

International Review of Financial Analysis, Volume 45, May 2016, pp189-201 We propose a model for constructing Asian…

January 2016

Equity style allocation: A nonparametric approach

Journal of Asset Management, Volume 17 In this article we provide a framework to assist with style allocation in Asian…

January 2016

A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance

Journal of Banking & Finance, Volume 65, April 2016, pp134-155 Statistical arbitrage strategies are typically based…

January 2016

Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades

The Journal of Derivatives, Winter 2016, Vol. 24, No. 2: pp. 48-65 The OTC derivatives market has always suffered from…

January 2016

Diversified or Concentrated Factor Tilts?

The Journal of Portfolio Management, Winter 2016, Vol. 42, No. 2, pp64-76 The authors compare two approaches to single…

January 2016

A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling

Journal of Fixed Income, Volume 25, No 3, pp36-45, Winter 2016. In this article, the authors propose a one-factor…

June 2015

Robust Risk Estimation and Hedging: A Reverse Stress Testing Approach

The Journal of Derivatives Summer 2015, 22 (4) 10 - 25 The stress test has become an increasingly important risk…

January 2015

Hedging Inflation-Linked Liabilities without Inflation-Linked Instruments through Long/Short Investments in Nominal Bonds

The Journal of Fixed Income Winter 2015, 24 (3) 5 - 29 In the absence of inflation-linked bonds or inflation swaps, no…

January 2015

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

Applied Economics, Volume 47, Issue 48, September 2015. We compare the backtesting performance of ARMA-GARCH models…

January 2015

Multiperiod conditional valuation of barrier options with incomplete information

Quantitative Finance, Volume 15, Issue 7, pp1093-1102, 2015 In this paper, we investigate the role of reduced available…

January 2015

Focusing on the worst state for robust investing

International Review of Financial Analysis, Volume 39, pp19-31, May 2015 Despite its shortcomings, the Markowitz model…

January 2015

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Journal of Financial Engineering, Volume 2, Issue 1, March 2015 Basel III requires banks to include a credit value…

January 2015

Measuring and explaining pension system risk

Journal of Pension Economics and Finance, Volume 14, Special Issue 2, pp161-171, April 2015 We discuss pension system…

January 2015

Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks

Journal of Portfolio Management, Volume 40, No. 4, pp106-122 This article argues that current smart-beta investment…

January 2015

Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?

Journal of Derivatives, Volume 23 (2), pp76-89, Winter 2015 This article applies the stochastic alpha-beta-rho (SABR)…

January 2015

In search of Cash-Flow Pricing

Journal of Financial Research, Volume 38, Issue 4, pp511-527, Winter 2015 There are varying views on the relative…

January 2015

Mass Customization in Life-Cycle Investing Strategies with Income Risk

Bankers, Markets & Investors, No.139, November-December 2015 Formal intertemporal portfolio selection models show…

January 2015

Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

Computational Economics, Volume 46, Issue 2, pp243-273, August 2015 Most important financial models assume randomness…

January 2015

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp11-20 Real estate has continued…

January 2015

The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?

The Journal of Portfolio Management, Real Estate Issue, Summer 2015, Volume 41, No.6, pp118-125 In this article, the…

January 2015

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

Journal of Alternative Investments, Volume 18, Issue 1, Summer 2015, 48-64 Risk parity portfolios are traditionally…

January 2015

The Case for Long-Short Commodity Investing

Journal of Alternative Investments, Volume 18, Issue 1, pp92-104, Summer 2015. The article presents strong evidence in…

January 2015

Economics: An Empirical Science Capable of Forecasting Economic Events?

Journal of Portfolio Management, Volume 41, Issue 4, pp145-151, Summer 2015. In the aftermath of the 2007–2009…

January 2015

A Three-Factor Model for Mortality Modeling

North American Actuarial Journal, Volume 19, Issue 2, pp129-141, 2015 In this article, the authors propose a three…