This survey has been taken as part of the second year of the AXA Investment Managers "Regulation and Institutional Investment" research chair at EDHEC-Risk Institute. Read next page

EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2010, which presents the results of a comprehensive survey of 192 institutional investors, asset managers and private wealth managers conducted between January and March 2010. Read next page

The Gaze of Art and Perspectives on a Cultural Approach to Marketing. Read next page

This paper addresses the question of option pricing and hedging when the underlying asset is not available for dynamic trading, and some other asset is used as a substitute. Read next page

This paper addresses the question of option pricing and hedging when the underlying asset is not available for dynamic trading, and some other asset is used as a substitute. Read next page

This study calls into question the method and the data used by the European regulator to measure the risk of private equity investments, in particular the correlation coefficient of performance of private equity and that of listed equities. Read next page

As part of the CACEIS research chair on non-financial risks in investment funds, EDHEC surveyed UCITS and alternative asset managers, their service providers, external observers, and investors for their views of structuring hedge fund strategies as UCITS. Read next page

The ban on shorting had negative effects on the hedge fund industry. It also had a negative impact on the returns and the market quality of the stocks placed off limits by the ban. Read next page

Sur la base d’un exercice de microsimulation dynamique, nous analysons la valorisation nette des études supérieures en isolant l’effet propre des différentes composantes du système socio-fiscal portant sur les revenus du travail. Read next page

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. Read next page

Les salariés employés sur des postes faiblement rémunérés sortent plus fréquemment de l'emploi que les autres. Est-il par conséquent souhaitable de réformer le système de protection des emplois afin de leur garantir une plus grande sécurité ? Read next page

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

This paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return tradeoff. Read next page

This paper draws on dynamic risk-budgeting techniques to emphasise the importance of risk management when decisions to allocate to ETFs are made. Read next page

Recent studies find that a position in at-the-money (ATM) straddles consistently yields losses. This is interpreted as evidence for the non-redundancy of options and as a risk premium for volatility risk. Read next page

We show that non-linear transaction costs generate external effects between accounts due to trade volume dependent marginal transaction costs. Read next page

Wide variety of risk–return ratios is routinely reported in sales pitches as well as academic publications. Read next page

Because many facets of the global oil markets have not been sufficiently transparent, it is unclear how much of the oil-price rally that peaked in July 2008 can be put down to speculation. Read next page

Following the 2008 financial crisis, private financial institutions such as hedge funds and private equity funds have been faced with multiple calls for their regulation, both for consumer protection and systemic reasons. Read next page

EDHEC has surveyed pension funds, their advisers, their regulators, their fiduciary managers, and their asset managers for their reactions to an EDHEC study entitled “Impact of Regulations on the ALM of European Pension Funds.” Read next page

The vast current account surpluses of commodity-rich nations, combined with record current account deficits in developed markets (US, Britain), have created a new type of investor. Read next page

Evoquer la conformité réglementaire, ce n’est pas uniquement s’interroger sur l’intérêt qu’ont les entreprises à se soumettre à la norme juridique, mais également se livrer à un constat objectif sur certaines caractéristiques de cette norme. Read next page

All insurers, regardless of their characteristics (public companies, mutual insurers, provident societies) will be subject to the new prudential rules and will thus have to make heavy investments in the data collection, risk measurement, and simulations required by the supervisor. Read next page

The immediate recognition of the volatility of pension surpluses and deficits in the profit and loss accounts of the sponsor may lead pension funds to shed risky assets. Read next page

The European Commission is seeking to harmonise the depositary fonction and to strengthen protection mechanisms. Read next page

The objective of this paper is to shed light on the ways new forms of welfare- improving financial innovation inspired by the use of asset-liability management techniques, originally developed for institutional money management, can be used in private wealth management. Read next page

In this paper we extend Hasanhodzic and Lo (2007) by assessing the out-of-sample performance of various non-linear and conditional hedge fund replication models. Read next page

The existence of oil stabilization funds as the largest category of sovereign wealth funds relies on oil prices as a main source of macroeconomic risk for oil exporting countries. Read next page

We solve for the equilibrium of a standard real business cycle model with money under model ambiguity. Read next page

In September 2008, the U.S. Securities and Exchange Commission (SEC) surprised the investment community by adopting an emergency order that temporarily banned most short sales in nearly 1,000 financial stocks. Read next page

This position paper looks at the changes that have been effected in the European capital markets more than one year after the implementation of MiFID (Markets in Financial Instruments Directive). Read next page

Une explication récemment avancée de la sous-représentation des femmes à des postes à hautes responsabilités est que celles-ci sont moins favorisées par un système d’évaluation assis sur la performance relative. Read next page

Du point de vue de la régulation de la gestion d’actifs, l’analyse des dirigeants européens, notamment français et allemands, dans l’été 2007 n’a pas été à la hauteur des enjeux de la crise financière que nous connaissons depuis deux ans. En désignant les hedge funds, puis les ventes à découvert comme responsables de la déstabilisation des marchés, les dirigeants politiques et les régulateurs de marchés ont retardé la prise de conscience quant à la gravité de la crise et la faillite du système de régulation. Read next page

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of a tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management, and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing. Read next page

This survey is the first piece of work done as part of the Crédit Agricole Structured Asset Management (CASAM) "Core-Satellite and ETF Investment" research chair. Read next page

The development of alternative investment has not yet been accompanied by a genuine consideration of the specific characteristics of the risks and returns of hedge funds with regard to the provision of information to investors. Read next page

We use an error correction model in order to predict the changes in equity risk premia for a set of emerging markets and the US market. Read next page

This paper attemps to determine what fraction a static investor should optimally allocate to investment strategies with convex exposure to stock market returns in a general economy with stochastically time-varying interest rates and stock market excess returns. Read next page

An in-depth study of the short-selling market calls into question both the reasons for the decision to ban short selling and the prejudices that weigh on those who short. Read next page

This letter focuses on hidden orders and shows how they contribute to liquidity. Read next page

In 2003, the pension fund industry was severely affected by the steep fall in equity prices and the fall in interest rates. Read next page

This study analyses the impact of prudential and accounting constraints on the asset-liability management (ALM) of European pension funds in the Netherlands, the UK, Germany, and Switzerland. Read next page

A vast literature has documented the value premium and the small firm effect as pervasive stylized facts in empirical asset pricing and yet research has been largely unable to provide entirely convincing explanations of why these phenomena exist. Read next page

Institutional investors allocate considerable shares of their portfolios to real estate, primarily in anticipation of diversification benefits. Read next page

We analyse twelve years of data on EDHEC Alternative Indexes for different hedge fund strategies to provide some perspective on their performance. Read next page

For more than seventeen years, Bernard Madoff operated what was viewed as one of the most successful investment strategies in the world. Read next page

Il existe des marges de manoeuvre pour augmenter les ressources de l’éducation du supérieur tout en préservant une forme d’équité, grâce à l’introduction de dispositifs de prêt à remboursement conditionnel au revenu. Read next page

The EDHEC European Investment Practices Survey 2008 (EDHEC 2008) sheds light on current practices in the industry and compares these practices with the recent state of the art as described in the investment literature. Read next page

The present publication is the first to be drawn from the EDHEC/Morgan Stanley Investment Management research chair on Financial Engineering and Global Alternative Portfolios for Institutional Investors. Read next page

Reducing the mandate of top executives— and the broader undermining of top management functions—is no longer a good governance practice but rather an indicator of a crisis: that of the legitimacy of top management teams. Read next page

The financial crisis has put great pressure on banks and led to a number of emergency measures intended to restore confidence in the banking system: tentative changes to accounting standards, recapitalisation of the banking industry, and higher capital requirements. Read next page

A “call for reaction” was sent by EDHEC to international institutional investors and asset managers to compare investor views of amendments to the IAS39 and IFRS 7 standards not just with the conclusions of an initial EDHEC study, but also with the ambitions of these reforms prepared and adopted in great haste. Read next page

In 2008, the EDHEC Risk and Asset Management Research Centre studied the performance of socially responsible investment (SRI) funds distributed in France. This study covered a six-year period (2002-2007) and focused more specifically on funds invested in assets from France, the Euro zone, and Europe. Read next page

In response to a major financial crisis, European governments have put in place measures for the recapitalisation of the banking sector and the shoring up of its liquidity. Read next page

Hull (2007) writes: “For an asset manager the greatest risk is operational risk”. In 2008, however, asset management companies came under severe pressure not from operational risk, but from market risk. Read next page

In this paper we analyze the conditions under which the presence of a multiplicative background risk induces a more “prudent” behavior. Read next page

In the context of the measures being taken to put an end to the current financial crisis, the extent to which fair value accounting can be blamed—or whether it can be blamed at all—for the intensification of the slump has been widely debated. Read next page

The position this paper takes is that if all institutional investors are bound by regulations that force them to sell risky assets during downturns, these assets will ultimately be absorbed by unregulated long-term investors. Read next page

The EDHEC Hedge Fund Reporting Survey is representative of the European hedge fund industry. Read next page

In US dollar terms, the price of oil rose 525% from the end of 2001 to July 31, 2008. This position paper argues that, despite the appeal of blaming speculators, supply-and-demand imbalances, the fall in the dollar and low spare capacity in the oil-producing countries are the major causes of this sharp rise. Read next page

this paper describes the role of Transaction Cost Analysis in the fulfilment of the best execution obligation as well as the limits of existing frameworks. Read next page

Following recent research on the relevance of idiosyncratic risk in asset pricing models, Lionel Martellini proposes to use total volatility as a model-free estimate of a stock's excess expected return, and analyze the implications in terms of the design of improved equity benchmarks. Read next page

The recent pension crisis has triggered a fierce debate in most developed countries between advocates of tighter regulation designed to provide explicit incentives for pension funds to increase their focus on risk management and those arguing that imposing short-term funding constraints and solvency requirements on such long-term investors would only increase the cost of pension financing. Read next page

In summary, our position paper argues that with the fundamental supply-and-demand balance so tight and that with effective OPEC spare capacity so low it is logical to see very high prices to ration demand and/or encourage additional supply. That is the job and message of price, even if the message is unpopular. Read next page

A number of major investment banks and asset management consultants have recently launched investment products that promise to replicate hedge fund returns by following rule-based strategies that invest in liquid financial products. Read next page

We examine simple timing strategies for commodity momentum, based on whether the market is in backwardation or contango. Read next page

The publication that we are pleased to present here covers the industry reactions to an EDHEC study entitled “Asset-Liability Management Decisions in Private Banking,” which was drawn from EDHEC’s ALM and Asset Management research programme. Read next page

Depuis leur apparition, les stock-options ont connu un succès important en tant que moyen d'incitation qui lie la rémunération des dirigeants à la performance boursière de leur entreprise. Read next page

Hedge funds are often referred to as absolute return strategies, yet investors are aware that most hedge funds do in fact take on a variety of systematic and quasi-systematic exposures. Read next page

This paper develops a capital asset pricing model based on the production side of a monetary economy. Read next page

Not all insiders are the same; some are more effective than others in processing the information they have access to, and invest their own wealth accordingly. Read next page

The survey we are pleased to present here is part of the EDHEC Risk and Asset Management Research Centre’s Indices and Benchmarking research programme headed by Felix Goltz and Lionel Martellini. Read next page

The article analyses the impact of trading costs on the profitability of momentum strategies in the UK and concludes that losers are more expensive to trade than winners. Read next page

This paper examines the combined role of momentum and term structure signals for the design of profitable trading strategies in commodity futures markets. Read next page

Numerous studies have documented the failure of the static and conditional capital asset pricing models to explain the differences in returns between value and growth stocks. Read next page

In this paper, we analyze the rules and the practices of disclosure by parliamentarians in 126 countries. Read next page

While an ever increasing share of equity assets is invested in indexing strategies, the standard practice of using capitalisation weighting to construct stock market indices has been the object of much criticism. Read next page

Equity returns are more dependent in bear markets than in bull markets. Read next page

The article studies the temporal variations in the conditional return correlations between commodity futures and traditional asset classes (global stock and fixed-income indices). Read next page

This paper analyses a set of characteristics-based indices that have recently been launched on the US market and have been said to outperform standard market cap-weighted indices
over particular backtest samples. Read next page

During the last few years, there has been growing interest in the use of factor models for performing risk and exposure analysis of hedge funds. Read next page

In a context of moderate performance in the stock and bond markets in 2007, Funds of Hedge Funds, which are often taken to give an aggregate view of the industry's performance, returned 10.07% on average for the year, compared to 3.53% for the S&P 500 and 4.14% for the Lehman Global US Treasury Bond index. Read next page

La problématique du pouvoir d'achat et de la forte concentration des bas salaires en France conduit aujourd'hui à s'interroger sur le bien-fondé des allégements de charges tels qu'actuellement mis en oeuvre. L'instauration d'un dispositif alternatif, dont les modalités restent à préciser, a récemment été évoquée par Nicolas Sarkozy. Read next page

In its response to the CEIOPS consultation on the preliminary technical specifications for the fourth quantitative impact survey (QIS4), EDHEC argues that the main risk faced by life insurance companies is not taken into account in the standard formula. Read next page

Le protocole d'accord signé par une partie des partenaires sociaux laisse-t-il présager d'une flexisécurité " à la française " ? On est loin de la feuille de route initialement fixée par Nicolas Sarkozy durant la campagne présidentielle, c'est à-dire l'instauration d'un contrat unique à droits progressifs. Renoncer à ce dispositif n'est pas critiquable en soi, si une forme de contrat plus pertinente est proposée. Read next page

Djankov et al. (2003a) propose and measure for 109 countries in the year 2000 an index of formalism of legal procedure for two simple disputes: eviction of a non-paying tenant and collection of a bounced check. For a sub-sample of 40 countries, we compute this index every year starting in 1950, which allows us to study the evolution of legal rules. Read next page

The use of asset-based style analysis (ABS) in the context of hedge fund investmentts continues to take hold within the industry. Read next page

This survey assesses the current investment practices of asset management firms, institutional investors, and private wealth managers. Read next page

This study assesses whether the widely documented momentum profits can be ascribed to time-varying risk as described by a GJR-GARCH(1,1)-M model. Read next page

Hedge fund indices have been criticised for a lack of representativity and for their biases, to the point that serious doubts about the usefulness of hedge fund indices have been raised by investors and regulators. Read next page

We describe an approximation method, based on binomial distribution adjustments, for constructing independent loss distributions. Read next page

Real estate, probably the most traditional of alternative classes, is enjoying renewed favour as institutional investors search for diversification benefits and competitive yields. Read next page

In the presence of non-normally distributed asset returns, optimal portfolio selection techniques require not only estimates of variance-covariance parameters, but also estimates of higher-order moments and comoments of the return distribution. Read next page

Several studies have put forward that hedge fund returns exhibit a non-linear relationship with equity market returns, captured either through constructed portfolios of traded options or piece-wise linear regressions. Read next page

In the last decade, economists have produced a considerable body of research suggesting that the historical origin of a country's laws is highly correlated with a broad range of its legal rules and regulations, as well as with economic outcomes. Read next page

Fund ratings play a significant role in fund selection for investors: the funds being made available are more and more numerous and increasingly diversified in terms of assets and style management. Read next page

A partir d’un exercice de microsimulation de la TVA acquittée par les ménages, cet article cherche à éclairer la question de la répartition
des montants de TVA acquittée tout au long de la vie et ainsi illustrer la contribution relative des différentes classes d’âge au financement de la protection sociale dans l’hypothèse de la mise en oeuvre d’une « TVA sociale ». Read next page

Dans un contexte de persistance du chômage structurel des travailleurs peu qualifiés à un niveau élevé, la formation professionnelle peut constituer un levier essentiel de la politique publique. La loi du 4 mai 2004 relative à la formation professionnelle tout au long de la vie et au dialogue social est une traduction de cette volonté gouvernementale. Read next page

This paper investigates why traders hide their orders and how other traders respond to the detection of hidden depth. Read next page

This paper introduces a multivariate copula approach to Value-at-Risk estimation for fixed income portfolios. Read next page

In this paper, we introduce a suitable extension of the Black-Litterman Bayesian approach to portfolio construction in the presence of non-trivial preferences about higher moments of asset return distributions. Read next page

Soucieux de trouver rapidement une explication évitant de les remettre en cause, les dirigeants de certains pays européens ont mis en exergue le rôle une fois de plus néfaste qu'auraient joué les hedge funds dans la crise de cet été. Cette crise est le résultat d'un ajustement brutal du prix des actifs lié à une augmentation de l'aversion pour le risque de l'ensemble des investisseurs. Read next page

A recent publication1 by the EDHEC Risk and Asset Management Research Centre has drawn conclusions that highlight the shortcomings of well known capitalisation- or price-weighted stock market indices and argues that the choice of benchmark for asset allocation or performance measurement is a task requiring particular care. Read next page

The focus of this article will be on risk management within the context of a total-return futures program centered on commodities. Read next page

Risk aversion functions extracted from observed stock and option prices can be negative as shown by Aït-Sahalia and Lo (2000) and Jackwerth (2000). Read next page

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be included in a sound risk and asset management process so as to improve risk and return performance characteristics of managed portfolios. Read next page

This paper presents evidence of predictability in the time-varying shape of the U.S. term structure of interest rates using a robust recursive modelling approach based on a Bayesian mixture of multi-factor models. Read next page

On September 18th, 2006, market participants were made aware of a large hedge fund's distress. Read next page

Une étude conduite par Gérard Maarek pour le compte du pôle de recherche en Economie de l'EDHEC, et intitulée : La réforme du financement de la protection sociale, essais comparatifs entre la "TVA Sociale " et la " TVA Emploi ", montre que le gain attendu d'une baisse de 25 milliards d'euros des cotisations sociales (salariales ou employeurs), soit 3,8 % de la masse salariale brute (660 Mds d'euros) compensée par une hausse de 3,6 points de TVA, aurait sur le long terme un effet positif mais modéré sur l'emploi (+61 000 emplois) et permettrait une amélioration du solde du commerce extérieur (les importations baissent de 0,3 % ; les exportations sont plus soutenues avec une croissance de +1,7 %). Read next page

L'objectif de cet article est d'analyser l'effet de la mise en place d'une " TVA sociale " sur les inégalités et le pouvoir d'achat des ménages. Read next page

This paper focuses on the use of market variables that exploit the linkages between spot, futures and derivatives markets, as opposed to the business cycle indicators employed in most of the earlier studies. Read next page

Over the last few years, alternative investment strategies have dramatically gained in popularity. Read next page

This document outlines our position on the third quantitative impact survey on the standard formula for the calculation of capital requirements for insurance companies under Solvency II. Read next page

In this paper we provide a detailed critical analysis of various methodologies involved in the so-called passive replication of hedge fund returns, a subject that has sparked renewed interest following recent initiatives by major investment banks such as Merrill Lynch and Goldman Sachs. Read next page

Many investors do not know with certainty when their portfolio will be liquidated. Read next page

This article will argue that one can indeed intelligently invest in the commodity markets and will briefly touch on three approaches, which in turn are drawn from the Intelligent Commodity Investing book. Read next page

As part of a newly created research programme focusing on Best Execution and Operations Performance', EDHEC's research team has actively contributed to the review of existing approaches to measuring execution quality and recently introduced an innovative framework for analyzing transaction costs and measuring execution performance: EBEX. Read next page

Volatility is an alternative betaa risk premium captured by hedge fund managers and investment bank proprietary tradersthat is today moving closer to the mainstream and should be thought of as a veritable asset class. Read next page

A la suite de l'EDHEC Publication " Reconsidérer les effets de la protection de l'emploi en France ", ainsi que le Position Paper " Le contrat de travail unique : un outil de sécurisation des parcours professionnels ? ", cette note propose une analyse critique, faisant notamment référence à des travaux académiques publiés, des grandes mesures en faveur de l'emploi proposées par François Bayrou, Nicolas Sarkozy et Ségolène Royal. Read next page

Il y a quelques semaines, l'EDHEC s'est adressée aux candidats à la présidence de la république pour proposer une réforme du Code du travail propre à créer des emplois et à sécuriser les parcours professionnels. Read next page

In this paper, we examine how standard exchange-traded fixed-income derivatives (futures and options on futures contracts) can be made part of sound risk and asset management in such a way as to improve the risk and return performance characteristics of managed portfolios. Read next page

Dans un rapport intitulé : " Hedge Fund Performance: A Vintage Year for Hedge Funds? ", Véronique Le Sourd, Ingénieur de Recherche Senior à l'EDHEC Risk and Asset Management Research Centre, fournit un exposé détaillé de la performance de chacune des stratégies de hedge fund qui constituent les indices alternatifs EDHEC. Read next page

The relevance of the information ratio and the alpha, two leading performance measures for multi-index models, depends on the type of portfolio held by investors. Read next page

MiFID (The Markets in Financial Instruments Directive) is probably one of the most significant regulatory initiatives that is about to transform the European Capital Markets. Read next page

Labour legislation reform promises to be central to the debate surrounding the French economy in the upcoming presidential campaign. Read next page

This document contains our answer to CP20, a consultation process initiated by CEIOPS (Committee of European Insurance and Occupational Pensions Supervisors) on the "Advice to the European Commission in the Framework of the Solvency II Project on Pillar I Issues". Read next page

The number of professionally managed funds in the financial markets is increasing. Read next page

In light of the changing face of risks and how they are perceived, the existing prudential rules are totally inadequate and the European Commission has established a vast project to overhaul the methods used to determine the solvency of insurance companies. Read next page

Grâce à une croissance économique soutenue dans plusieurs régions du monde, l'industrie de la gestion privée s'est octroyée une place considérable dans le paysage financier mondial. Read next page

The paper examines the role of non-normality risks in explaining the momentum puzzle of equity returns. Read next page

This paper compares a number of different approaches for determining the Value at Risk (VaR) and Expected Shortfall (ES) of hedge fund investment strategies. Read next page

This document contains our participation in the consultation process initiated by the CESR on the eligibility of hedge fund indices for the purpose of UCITS (CESR/06-530) Read next page

This paper, which is being written to provide an overview of the multitude of publications we have seen on hedge fund performance, is the result of a reading and analysis of about 200 studies on this subject. Read next page

De plus en plus de voix s'élèvent parmi les praticiens et les chercheurs, pour souligner les insuffisances de la logique traditionnelle du marketing qui ne suffit plus pour déployer des parades aux problèmes de croissance des offres discount, de décroissance des marchés et de baisse globale d'efficacité des actions marketing. Read next page

After collecting all available information on 109 hedge fund defaults between 1994 and 2005, we investigated two statistical methods in order to shed some light on the risk profile of hedge funds. Read next page

Cette étude met en évidence les effets bénéfiques d'une réforme de la protection de l'emploi consistant à instaurer un contrat unique en substitut du système dual actuel CDD-CDI. De façon originale, nous soulignons l'apport d'une approche en termes de cycle de vie pour définir les contours de ce contrat unique. Read next page

In this paper, the authors examine the question of the eligibility of hedge fund indices as financial instruments for use by European investment funds. Read next page

We present a new measure of legal protection of minority shareholders against expropriation by corporate insiders: the anti-self-dealing index. Read next page

Depuis la mise en place de la Stratégie Européenne pour l'Emploi (SEE), l'Union européenne fixe des objectifs et définit des indicateurs destinés à développer un benchmarking des politiques sociales. Read next page

The profound changes in the risk management of insurance companies, brought about by the increasing complexity and variety of risks over the last two decades, have made it necessary to revise prudential regulations (Solvency II) and to adapt the international accounting standards (IFRS) Read next page

In a new survey, The EDHEC European ETF Survey 2006, the EDHEC Risk and Asset Management Research Centre has carried out an in-depth study on the use of ETFs (Exchange-Traded Funds) by European investors. Read next page

Recent finance research that draws on behavioral psychology suggests that investors systematically make errors in forming expectations about asset returns. Read next page

We examine how Amaranth, a respected, diversified multi-strategy hedge fund, could have lost 65% of its $9.2 billion assets in a little over a week. Read next page

This chapter will cover investing in commodities through futures contracts. Read next page

Academic criticism of classic Capital Asset Pricing Model (CAPM) performance measures is not new. Read next page

This article continues in the spirit of the August 2002 Quantitative Finance feature on Measuring Risk-Adjusted Returns in Alternative Investments. Read next page

An article in the June 2006 edition of the European Central Bank's Financial Stability Review (FSR) claims that hedge fund activities pose considerable risk to the financial system. Read next page

The article shows that country-specific exchange-traded funds (ETFs) enhance global asset allocation strategies. Read next page

In this paper we observe that it appears possible to time commodity markets by observing the (lagged) actions of various classes of market participants. Read next page

Most previous tests of hedge fund performance have failed to model the exposure of hedge fund returns to systematic non-normality risks, nor have they taken the tactical asset allocation decisions of hedge funds managers into account. Read next page

By now it has become well known that commodities have had superior performance over the past four and a half years. Read next page

In this paper, we consider an intertemporal portfolio problem in the presence of liability constraints. Read next page

In this paper, the authors examine the role of backwardation in the performance of passive long positions in soybeans, corn and wheat futures over the period of 1950 to 2004. Read next page

L'étude réalisée par Arnaud Cheron du Pôle de Recherche en Economie de l'EDHEC et intitulée " Le plan national d'action pour les seniors ": " bien, mais peut mieux faire ", établit que la faiblesse du taux d'emploi des seniors compte pour moitié dans le problème de l'emploi en France. Read next page

Despite institutional investors' growing interest in funds of hedge funds, little attention has been paid so far to their added value and/or the sources of their added value. Read next page

Enterré au terme d'un long débat parlementaire au printemps 2003 par monsieur Jean-Pierre Raffarin, le dossier des privatisations des sociétés concessionnaires d'autoroutes (cession de 50,4% d'ASF, 75,7% de SANEF et 70,2% d'APRR) a finalement refait surface le 8 juin 2005 lors d'un discours de monsieur Dominique de Villepin. Read next page

La réforme de l'Etat dans le but de le rendre plus efficace est une alternative à la privatisation des services publics. Read next page

The goal of modelling is to find one or more factors that offer the best explanatory power for a given variable. Read next page

Hedge funds have an absolute return performance objective stated independently of the global
market conditions. Read next page

The goal of modelling is to find one or more factors that offer the best explanatory power for a given variable. Read next page

The recent outperformance of commodities versus equities has caused a positive re-evaluation of commodities by both retail and institutional investors. Read next page

This article comprehensively covers the new field of natural-resources fund-of-funds investing. Read next page

In this article, we note how a set of active commodity strategies could potentially add value to an investor's commodity allocation. Read next page

This paper proposes a nonparametric efficiency measurement approach for the static portfolio selection problem in mean-variance-skewness space. Read next page

When an investor elects to invest in a commodity index product, that investor realizes that he or she will earn the inherent return of the asset class and will be able to do so cheaply, but will not be provided with any downside risk protection. Read next page

In this article, we provide the busy reader with a survey of articles that were written over the past four years on hedge funds. Read next page

For several months, investors and their advisors have been worrying about the profitability prospects for hedge funds. Read next page

We generalize Markowitz analysis to the situations involving an uncertain exit time. Read next page

Using an original database of 634 market neutral hedge funds, this study formally analyses the market neutrality of market neutral funds which are particular in the hedge fund universe since the only objective of these funds is to provide positive returns completely independent of the market conditions. Read next page

Two studies, by Watson Wyatt and UBS (both from March 2005), give a pessimistic view of the hedge fund industry's capacity to generate long-term returns, due to its increasing size. Read next page

In this paper, we emphasize the need for the hedge fund industry to adopt a consumer (investor)-driven approach, as opposed to the current producer (manager) perspective, and we call for the emergence of new types of offerings with characteristics better suited to the needs of institutional investors. Read next page

This paper presents a multi-period stochastic network model for integrating corporate financial and pension planning. Read next page

The delegation of asset management services is a source of potential agency problems between investors and their portfolio managers. Read next page

There is a requirement for decisions taken by risk managers in investment banks to be based upon reliable measures. Read next page

As a consequence of its greater maturity, the hedge fund industry has extended its investor base to
institutional investors, who are now faced with a large number of product offerings including not only single hedge funds, but also funds of funds and, more recently, investible indexes. Read next page

Hedge funds do not easily fit into the current way institutions go about investing. Read next page

This paper provides a risk framework for fiduciaries considering using a core-satellite approach to investing. Read next page

In a previous column, I touched upon the difficulty of using standard measures to evaluate a number of hedge fund strategies. Read next page

If you saw that a well-known Commodity Trading Advisor (CTA) was in a Top 20 CTA table with returns of 44.1% during the year 2000, you would probably think that CTA did a great job for his or her investors, right? Read next page