Academic Publications | EDHEC Climate Institute

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 2014

Smooth monotone covariance for elliptical distributions and applications in finance

Quantitative Finance, Volume 14, Issue 9 Sample covariance is known to be a poor estimate when the data are scarce…

January 2014

Deciphering robust portfolios

Journal of Banking and Finance, Volume 45, August 2014, pp1-8 Robust portfolio optimization has been developed to…

January 2014

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

Journal of Fixed Income, Volume 24, No. 1, Summer 2014, pp75-87 In this article, we analyze the distribution of returns…

January 2014

Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions

Journal of Statistical Theory and Practice, Volume 8, Issue 2, 2014 The main problem in applying the multivariate…

January 2014

Recent Developments in Robust Portfolios with a Worst-Case Approach

Journal of Optimization and Applications, Volume 161, Issue 1, April 2014, pp103-121 Robust models have a major role in…

January 2014

Recent Trends in Equity Portfolio Construction Analytics

Journal of Portfolio Management, Volume 40, No. 3, Spring 2014, pp137-151 Portfolio analytics is critical for…

January 2014

Bayesian estimation of truncated data with applications to operational risk measurement

Quantitative Finance, Volume 14, Issue 5, 2014, pp853-888 Data insufficiency and reporting threshold are two main…

January 2014

Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds within Institutional Investors Portfolios

Bankers, Markets & Investors, Special Issue ERD 2014, pp5-16, March 2014 This paper provides a formal analysis of…

January 2014

Robust portfolios that do not tilt factor exposure

European Journal of Operational Research, Volume 234, Issue 2, pp411-421, April 2014 Robust portfolios reduce the…

January 2014

60 Years of portfolio optimization: Practical challenges and current trends

European Journal of Operational Research, Volume 234, Issue 2, pp356-371, April 2014 The concepts of portfolio…

January 2014

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Review of Financial Studies, Volume 27, Issue 2, February 2014, pp1-43 We study whether investors can exploit serial…

January 2014

Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies

Bankers, Markets & Investors, September-October 2014, Issue 132, pp26-42 Implementing portfolio optimization…

January 2014

Portfolio selection in the presence of systemic risk

Journal of Asset Management, October 2014, Volume 15, Issue 5, pp285-299 In this article we study the portfolio…

January 2014

Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe

Financial Analysts Journal, May/June 2011, Volume 67, Issue 3 Responses to a survey of investment management…

January 2014

Can We Predict Stock Market Crashes?

Journal of Portfolio Management, 2014, Volume 40, Issue 5, pp183-195. In this article, the authors suggest how to think…

January 2014

Risk Allocation: A New Investment Paradigm?

Journal of Portfolio Management, Winter 2014, Volume 40, Issue 2, pp1-4 Risk allocation has gained popularity among…

June 2013

Tempered Stable Ornstein-Uhlenbeck Processes: A Practical View

Communications in Statistics - Simulation and Computation&nbsp;Volume 46, 2017 -&nbsp;Issue 1 We study the one…

March 2013

Multivariate Stable Distributions and Generating Densities

Applied Mathematics Letters, Volume 26, Issue 3,&nbsp;March 2013, Pages 324-329 The&nbsp;probability density…

January 2013

Optimal corporate strategy under uncertainty

Applied Economics, Volume 45, Issue 20, 2013 Within a dynamic setting, optimal corporate strategy management for a…

January 2013

Size, value, and momentum in emerging market stock returns

Emerging Markets Review, Volume 16, pp46-65, September 2013 In this paper, we examine value and momentum effects in 18…

January 2013

Composition of robust equity portfolios

Finance Research Letters, Volume 10, Issue 2, pp72-81, June 2013 Robust portfolios resolve the sensitivity issue…

January 2013

Factor uniqueness in the S&P 500 universe: Can proprietary factors exist?

International Journal of Theoretical and Applied Finance, Volume 16, Issue 04, June 2013 In this paper, we analyze…

January 2013

What do robust equity portfolio models really do?

Annals of Operations Research, Volume 205, Issue 1, pp141-168, May 2013 Most of previous work on robust equity…

January 2013

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

Studies in Nonlinear Dynamics and Econometrics, Volume 17, Issue 2, pp167-177, April 2013 In this paper, we examine the…

January 2013

Computational aspects of portfolio risk estimation in volatile markets: a survey

Studies in Nonlinear Dynamics & Econometrics, Volume 17, Issue 1, February 2013 Portfolio risk estimation requires…

January 2013

Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

Journal of Portfolio Management, Volume 39, No. 2, pp-101-115, Winter 2013....…

January 2013

A Binomial-Tree Model for Convertible Bond Pricing

The Journal of Fixed Income Winter 2013, 22(3) 79 - 94 In this article, we derive a binary tree–based model for…

January 2013

Portfolio Selection Problems Consistent with a Given Preference Ordering

International Journal of Theoretical and Applied Finance, Volume 16, Issue 5, August 2013 This paper theoretically and…

January 2013

Commercial Real Estate Risk Management with Derivatives

Journal of Portfolio Management, Volume 39, Number 5, pp. 111-119 Helping managers to gauge the interaction between…

January 2013

The new issues puzzle: evidence from non-US firms

Applied Economics Letters, Volume 20, Issue 17, pp1586-1591 For non-US stocks of firms in the G7 countries, we…

January 2013

Market overreaction and underreaction: tests of the directional and magnitude effects

Applied Economics, Volume 23, Issue 18, pp1469-1482 We investigate whether the US equity market exhibits underreaction…

January 2013

Option pricing with time-changed Levy processes

Applied Economics, Volume 23, Issue 15, pp1231-123 In this article, we introduce two new six-parameter processes based…

November 2012

A Pricing Framework for Real Estate Derivatives

European Financial Management, Volume18,&nbsp;Issue5 November 2012 Pages&nbsp;762-789 New methods are developed…

November 2012

A New Method for Generating Approximation Algorithms for Financial Mathematics Applications

Quantitative Finance&nbsp;Volume 12, 2012 -&nbsp;Issue 10 This paper describes a new technique that can be used…

September 2012

Looking Beyond Credit Ratings: Factors Investors Consider in Pricing European Asset-Backed Securities

European Financial Management Volume18,&nbsp;Issue4 September 2012 Pages&nbsp;515-542 In this paper, we…

June 2012

Environmental corporate social responsibility and financial performance: Disentangling direct and indirect effects

Ecological Economics,&nbsp;Vol. 78,&nbsp;June 2012. &nbsp; This paper assesses the impact of environmental…

May 2012

What’s Wrong with Today’s Economics? The Current Crisis Calls for an Approach to Economics Rooted More on Data Than on Rationality

The Journal of Portfolio Management Spring 2012, 38 (3) 104 - 119 Focardi and Fabozzi argue that current mainstream…

April 2012

Higher-Order Durations with Respect to Inflation and Real Rates and their Portfolio Management Applications

The Journal of Fixed Income Spring 2012, 21 (4) 69 - 79 This study considers duration measures of any order with…

April 2012

Option pricing and hedging under a stochastic volatility Lévy process model

Review of Derivatives Research,&nbsp;Volume&nbsp;15,&nbsp;pages 81–97, (2012) In this paper, we discuss a…

April 2012

Approximation of Skewed and Leptokurtic Return Distributions

Applied Financial Economics Volume 22, 2012 - Issue 16 There is considerable empirical evidence that financial returns…

March 2012

Performance of Socially Responsible Investment Funds against an Efficient SRI Index: The Impact of Benchmark Choice when Valuating Active Managers

Bankers, Markets &amp; Investors, N.117 - March - April 2012 This paper conducts a performance measurement of SRI…

January 2012

A comparison of the Lee–Carter model and AR–ARCH model for forecasting mortality rates

Insurance: Mathematics and Economics Volume 50, Issue 1,&nbsp;January 2012, Pages 85-93 With the decline in the…

January 2012

Determinants of Primary Market Spreads on U.K. Residential Mortgage-Backed Securities and the Implications for Investor Reliance on Credit Ratings

The Journal of Fixed Income Winter 2012, 21 (3) 7 - 14 We provide empirical evidence about the credit factors that…

January 2012

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

The Journal of Portfolio Management Spring 2012, 38 (3) 72 - 88 A number of quantitative or fundamental weighting…

November 2011

The Changing Face of Real Estate Investment Management

The Journal of Portfolio Management Special Real Estate Issue 2011, 37 (5) 12 - 23 The real estate investment…

October 2011

Household Search Choice: Theory and Evidence

Applied Economics 43, 2011 - Issue 26 Since the work by Stigler (1961) on the economics of information in the early…

May 2011

Metrization of Stochastic Dominance Rules

International Journal of Theoretical and Applied Finance&nbsp;Vol. 15, No. 02 (2012) We consider a new approach…

September 2010

Selecting Prior Year’s Top Fund of Hedge Funds as This Year’s Choice

The Journal of Wealth Management Fall 2010,13 (2) 61 - 68 Can investors select winning funds of hedge funds (FOFs) by…

May 2010

The Performance of Socially Responsible Investment: A Study of the French Market

Bankers, Markets &amp; Investors, N.106 - May - June 2010 Socially responsible investment (SRI) has grown…