Publications | EDHEC Climate Institue

September 2010

Banking on Liquidity: Liquidity, Collateral and Derivatives

Changes in the nature and magnitude of banking activities over the past few decades are fundamental to comprehension of…

August 2010

A Portfolio Approach to Venture Capital Financing

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context.…

August 2010

A New Look At Minimum Variance Investing

Disappointed with the performance of market-weighted benchmark portfolios yet skeptical about the merits of active…

July 2010

The Sophisticated and the Simple: The Profitability of Contrarian Strategies from a Portfolio Manager's Perspective

Valuation signals have been among the most popular with equity portfolio managers and have recently attracted…

July 2010

Strategic and Tactical Roles of Enhanced-Commodity Indices

This article compares the risk and performance of two traditional commodity indices with enhanced long-only versions…

July 2010

French Corporate Social Responsibility: Which Dimension Pays More?

We use a sample of 148 events related to corporate social responsibility (CSR) to assess the impact of CSR on corporate…

June 2010

EDHEC Survey Of The Asset And Liability Management Practices Of European Pension Funds

EDHEC-Risk Institute took a recent survey of pension funds, their advisers, regulators, and fund managers. One hundred…

June 2010

The EDHEC European ETF Survey 2010

The EDHEC European ETF Survey 2010 presents the results of a comprehensive survey of 192 institutional investors, asset…

June 2010

Option Pricing and Hedging in the Presence of Cross-Hedge Risk

This paper addresses the question of option pricing and hedging when the underlying asset is not available for dynamic…

June 2010

A Moment Expansion of Downside Risk Measures

This paper introduces a decomposition of a sub-class of spectral risk measures in terms of L-moments accounting for…

June 2010

Short Selling and the Price Discovery Process

This paper shows that stock prices impound more information when short sellers are more active. First, in a large panel…

June 2010

Spillover Effects of Counter-cyclical Market Regulation: Evidence from the 2008 Ban on Short Sales

The ban on shorting had negative effects on the hedge fund industry. It also had a negative impact on the returns and…

June 2010

The Time-Varying Liquidity Risk of Value and Growth Stocks

This paper studies the liquidity exposures of value and growth stocks over business cycles. In the worst times, value…

May 2010

Adoption of Green Investing by Institutional Investors: A European Survey

This document reviews the concept of green investing and reports the results of a European survey of investment…

April 2010

On the Suitability of the Calibration of Private Equity Risk in the Solvency II Standard Formula

This publication studies the calibration of private equity risk in the Solvency II standard formula by analysing the…

April 2010

Nonmyopic Optimal Portfolios in Viable Markets

We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when…

April 2010

Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation

This paper examines the ways dynamic asset allocation techniques can be used to manage portfolios of exchange-traded…

March 2010

Are Hedge-Fund UCITS the Cure-All?

As part of the CACEIS research chair on non-financial risks in investment funds, EDHEC surveyed UCITS and alternative…

February 2010

Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for…

January 2010

Efficient Indexation: An Alternative To Cap-Weighted Indices

This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts…

November 2009

Has There Been Excessive Speculation in the US Oil Futures Markets? - What Can We (Carefully) Conclude from New CFTC Data?

Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil…

November 2009

Fairness in Trading — A Microeconomic Interpretation

We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent…

November 2009

An Alternative Route to Performance Hypothesis Testing

A wide variety of risk–return ratios is routinely reported in sales pitches as well as academic publications. Few…

November 2009

A Note On Portfolio Choice For Sovereign Wealth Funds

The vast current account surpluses of commodity-rich nations, combined with record current account deficits in developed…

November 2009

Real Estate Indexing and the EDHEC IEIF Commercial Property (France) Index

This paper serves as background literature to the new index and outlines its features and characteristics. First, the…

October 2009

Reactions To An EDHEC Study On The Impact Of Regulatory Constraints On The ALM Of Pension Funds

EDHEC surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for…

October 2009

Portfolio Choice For Oil-Based Sovereign Wealth Funds

Given recent interest in the activities of sovereign wealth funds (SWFs), this paper reviews the financial economics of…

October 2009

IAS 19: Penalising changes ahead

Financial reporting standards for pension funds are of great topical interest. The current crisis points to the need for…

September 2009

A Welcome European Commission Consultation on the UCITS Depositary Function, a Hastily Considered Proposal

The European Commission is seeking to harmonise the depositary fonction and to strengthen protection mechanisms. EDHEC…

September 2009

Asset-Liability Management In Private Wealth Management

While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can…

September 2009

Regulating Private Financial Institutions: How to Kill the Goose That Laid the Golden Eggs

Following the 2008 financial crisis, private financial institutions such as hedge funds and private equity funds have…

September 2009

Macroeconomic Risk Management For Oil Stabilization Funds In GCC Countries

The existence of oil stabilization funds as the largest category of sovereign wealth funds relies on oil prices as a…

September 2009

Madoff: A Riot of Red Flags

For more than seventeen years, Bernard Madoff operated what was viewed as one of the most successful investment…

July 2009

Shackling Short Sellers: The 2008 Shorting Ban

In September 2008, the U.S. Securities and Exchange Commission (SEC) surprised the investment community by adopting an…

July 2009

Optimal Interest Rate Smoothing under Model Ambiguity

This paper solves for the equilibrium of a standard real business cycle model with money under model ambiguity. It first…

July 2009

Performance of Passive Hedge Fund Replication Strategies

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and…

July 2009

Solvency II: An Internal Opportunity to Manage the Performance of Insurance Companies

Since the turn of the millennium, a profound shift in the management of insurance companies has been underway. The main…

June 2009

MiFID: One Year On

This position paper looks at the changes that have been effected in the European capital markets more than one year…

June 2009

The Survival of Exchange-Listed Hedge Funds

This paper attempts to determine whether exchange-listed hedge funds experience longer lifetimes than non-listed funds,…

May 2009

The EDHEC European ETF Survey 2009

The EDHEC European ETF Survey 2009 presents the results of a comprehensive survey of 360 institutional investors and…

April 2009

Measuring The Benefits Of Dynamic Asset Allocation Strategies In The Presence Of Liability Constraints

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of a tighter…

April 2009

The Undesirable Effects of Banning Short Sales

An in-depth study of the short-selling market calls into question both the reasons for the decision to ban short selling…

April 2009

The European Pension Fund Industry Again Beset By Deficits

In 2003, the pension fund industry was severely affected by the steep fall in equity prices and the fall in interest…

April 2009

Forecasting changes in equity risk premia of international markets: An error correction approach

This paper uses an error correction model in order to predict the changes in equity risk premia for a set of emerging…

April 2009

The Impact of Regulations on the ALM of European Pension Funds

This study analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of…

February 2009

Hedge Fund Performance in 2008

This paper analyses twelve years of data on EDHEC Alternative Indexes for different hedge fund strategies to provide…

January 2009

The Basel II Reform That Would Have Made Most Injections of Public Funds Unnecessary

The financial crisis has put great pressure on banks and led to a number of emergency measures intended to restore…

January 2009

A Long Road Ahead for Portfolio Construction: Practitioners' Views of an EDHEC Survey

The EDHEC European Investment Practices Survey 2008 (EDHEC 2008) sheds light on current practices in the industry and…

January 2009

Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management

This paper presents an empirical analysis of the benefits of alternative forms of investment strategies from an asset…

December 2008

Reactions to an EDHEC Study on the Fair Value Controversy

A "call for reaction" was sent by EDHEC to international institutional investors and asset managers to compare investor…