Publications | EDHEC Climate Institute

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Research Programme

Date

557 result(s)

January 2012

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

Risk management through marginal rebalancing is important for institutional investors due to the size of their…

January 2012

Response to the European Commission White Paper "An Agenda for Adequate, Safe and Sustainable Pensions"

On February 16th, 2012, the European Commission published a White Paper entitled “An Agenda for Adequate, Safe and…

January 2012

Asset Prices in General Equilibrium with Transactions Costs and Recursive Utility

This paper studies the effect of proportional transactions costs on asset prices and liquidity premia in a general…

December 2011

Competition in Portfolio Management: Theory and Experiment

The authors develop a new theory of delegated investment whereby managers compete in terms of composition of the…

November 2011

Life-Cycle Investing In Private Wealth Management

This paper argues that financial innovation is needed to design better target date funds based on stochastic life cycle…

October 2011

Response to ESMA Consultation Paper to Implementing Measures for the AIFMD

Several regulatory initiatives are being taken in Europe and recommendations that will reshape the investment fund…

October 2011

EDHEC-Risk European Index Survey 2011

As the choice of an index is a crucial step in both asset allocation and performance measurements, it is useful to…

October 2011

Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification

This paper develops a model of portfolio choice that nests the views of Keynes—who advocates concentration in a few…

September 2011

Improved Beta? A Comparison Of Index-Weighting Schemes

This paper analyses a set of equity indices whose aim is to improve on capitalisation weighting and thus to provide …

August 2011

Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation

A number of policy-makers have blamed the decade-long rise in commodity prices and recent market volatility on the…

August 2011

Structured Equity Investment Strategies for Long-Term Asian Investors

This publication show that a structured target-volatility strategy significantly improves both the downside and the…

August 2011

Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds

There is extensive evidence that investment strategies based on momentum and value are attractive for portfolio managers…

August 2011

Market Risks in Asset Management Companies

This paper shows that revenues from a sample of publicly traded US asset management companies carry substantial market…

July 2011

A Review of the G20 Meeting on Agriculture: Addressing Price Volatility in the Food Markets

This paper examines food price volatility in the context of the G20 meeting of agriculture ministers. In reviewing the…

July 2011

A Short Note on the Tobin Tax: The Costs and Benefits of a Tax on Financial Transactions

Almost each time volatility in equity, debt, or currency markets increases, there are cries to introduce a tax of…

July 2011

Skin in the Game versus Skimming the Game: Governance, Share Restrictions and Insider Flows

Hedge-fund managers justify share restrictions as means of protecting the common interest of the shareholders. However,…

July 2011

A New Measure of Equity Duration: The Duration-Based Explanation of the Value Premium Revisited

This paper proposes a new methodology to estimate a share's equity duration by using analysts' cash-flow forecasts. It…

July 2011

An Integrated Approach To Sovereign Wealth Risk Management

Sovereign wealth funds (SWFs) typically have no direct earmarked liabilities. Nor should they, as the financial asset…

July 2011

Bond Liquidity Premia

Asset pricing models of limits to arbitrage emphasize the role of funding conditions faced by financial intermediaries.…

July 2011

Force-fitting CDS Spreads to CDS Index Swaps

Issues of contemporaneity, liquidity, different restructuring clauses and market supply and demand, all contribute to…

July 2011

Into a Distant Mirror: the 1870s

On October 16th, 2010, the front page of the Wall Street Journal (WSJ) carried a story entitled, “Flashback to 1870 as…

July 2011

Intelligent Commodity Trading and Risk Management

This paper discusses intelligent risk-management techniques and new product innovation in the commodity futures markets.…

July 2011

Risk Parity - Rewards Risks and Research Opportunities

Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset…

June 2011

Idiosyncratic Risk and the Pricing of Poorly-Diversified Portfolios

A vast body of literature has documented the value premium and the small firm effect as pervasive stylized facts in…

June 2011

A Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures

This paper analyses two sets of four corporate investment-grade bond indices each, one for the US market and the other…

June 2011

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

We provide evidence on two alternative mechanisms of interaction between returns and volatilities: the leverage effect…

May 2011

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

We consider a market in which traders arrive at random times, with random private values for the single traded asset. A…

May 2011

A Variational Approach to Contracting under Imperfect Observations

We consider a continuous time model of the project value process that can only be observed with noise, and we allow for…

April 2011

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

This paper investigates how the introduction of an index security directly or indirectly impacts the underlying-index…

April 2011

Correlation vs. Trends: A Common Misinterpretation

Two common beliefs in finance are that (i) a high positive correlation signals assets moving in the same direction while…

April 2011

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

This publication looks at how non-financial risks and failures have impacted the regulatory agenda in Europe and traces…

March 2011

Idiosyncratic Risk and the Cross-Section of Stock Returns

Idiosyncratic volatility has received considerable attention is the recent financial literature. Whether average…

March 2011

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

This paper provides a joint quantitative analysis of capital structure decisions and debt structure decisions within a…

March 2011

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

EDHEC surveyed corporate pension funds, their sponsors, and advisers to assess how sponsors manage pension risk and how…

March 2011

Limit Order Markets, High Frequency Traders and Asset Prices

Do high frequency traders affect transaction prices? In this paper we derive the distribution of transaction prices in…

March 2011

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

The objective of this paper is to examine whether one can use option-implied information to improve the selection of…

March 2011

Asset Prices with Heterogeneity in Preferences and Beliefs

This paper studies asset prices in a dynamic, continuous-time, general-equilibrium endowment economy where agents have…

March 2011

The Alpha of a Market Timer

Portfolio managers claim to be able to generate abnormal returns through either superior asset selection or market…

March 2011

A Hedge Fund Investor's Guide to Understanding Managed Futures

Managed futures strategies are a niche-within-a-niche in the capital markets. Despite this status, managed futures have…

March 2011

How to Construct Fundamental Risk Factors?

This paper proposes an alternative way to construct the Fama and French (1993) empirical risk factors. Without losing in…

February 2011

Option Pricing and Hedging in the Presence of Basis Risk

This paper addresses the problem of option hedging and pricing when a futures contract, written either on the underlying…

February 2011

Optimal Contracting with Effort and Misreporting

We propose a new continuous time contracting model, where the project value process can only be observed with noise, and…

February 2011

Asset Allocation with Shadow Assets

The wealth of most investors contains both financial assets as well as non-financial assets. This paper defines shadow…

February 2011

A Post-crisis Perspective on Diversification for Risk Management

Since the global financial crisis of 2008, improving risk management practices—management of extreme risks, in…

February 2011

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

Hansen and Jagannathan (1997) compare misspecified asset pricing models based on least-square projections on a family of…

January 2011

Case Studies and Risk Management in Commodity Derivatives Trading

Until recently, one could only gain expertise in commodity-derivatives relationships if one had worked in niche…

January 2011

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

This paper reviews the arguments for and against the decoupling of capital ratio calculations based on IFRS from those…

January 2011

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

This paper examines the determinants of private equity returns using a newly constructed worldwide database of 7,500…

January 2011

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

This paper introduces a new form of volatility index, the cross-sectional volatility index. Through formal central limit…

January 2011

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

Samuelson (1967) argues that as a general matter it is easy to show that investors should be maximally diversified. For…