Publications | EDHEC Climate Institute

November 2010

Does Finance Theory Make the Case for Capitalisation- Weighted Indexing?

Proponents of cap-weighted stock market indices often argue that such indices provide efficient risk/return portfolios.…

October 2010

Asset-Liability Management Decisions For Sovereign Wealth Funds

This paper proposes a quantitative dynamic asset allocation framework for sovereign wealth funds, modelled as large long…

October 2010

Risk Reduction in Style Rotation

This paper investigates the potential improvement in the implementation of style rotation strategies by techniques…

October 2010

A Suggestion for Remedying the Overstated Performance of Non-Investable Hedge Fund Indices

Investable indices tend to recursively underperform their non-investable versions. In light of recent events, we can…

October 2010

Alternative Measurement Bases in Pension Accounting: A Simulation Analysis

This paper explores the financial statement implications of alternative measurement bases underlying defined benefit…

September 2010

From Deterministic To Stochastic Life-Cycle Investing: Implications For The Design Of Improved Forms Of Target Date Funds

In an attempt to address the concern over financially illiterate individuals being increasingly responsible for…

September 2010

New Frontiers In Benchmarking And Liability-Driven Investing

Meeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as…

September 2010

Optimal Hedge Fund Allocation with Improved Estimates for Coskewness and Cokurtosis Parameters

Since hedge fund returns are not normally distributed, mean-variance optimisation techniques, which would lead to…

September 2010

Do Funds of Hedge Funds Really Add Value: A Post-Crisis Analysis

In spite of a somewhat disappointing performance throughout the crisis, and a series of high-profile scandals, investors…

September 2010

The Performance of Socially Responsible Investment and Sustainable Development in France: An Update after the Financial Crisis

In an initial study done in 2008, EDHEC-Risk Institute established that socially responsible (SRI) funds—those funds…

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…