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Adrian Buss, Raman Uppal, Grigory Vilkov:
In this paper, we study asset allocation and asset pricing in a generale-quilibrium model with liquid assets and an alternative risky asset, which is opaque and incurs transaction costs, and investors who differ in their experience in assessing the alternative asset.
Carlos Heitor Campani:
We provide a solution for evaluating non-conventional projects, firstly showing that the well-known modified internal rate of return does not correctly answer what investors want to measure.
Frédéric Blanc-Brude, Majid Hasan, Omneia R.H. Ismail:
The purpose of the present publication, “Unlisted Infrastructure Debt Valuation & Performance Measurement”, which is drawn from the NATIXIS research chair at EDHEC-Risk Institute on the “Investment and Governance Characteristics of Infrastructure Debt Instruments”, is to design the first academically robust, yet operationally implementable valuation and risk measurement framework for investing in illiquid infrastructure debt.
Maxime Bonelli, Daniel Mantilla-Garcia:
Following recent evidence of out-of-sample stock market return predictability, the authors aim to evaluate whether the potential benefits suggested by asset allocation theory can actually
be captured in the real world using expected return estimates from a predictive system.
Frédéric Blanc-Brude, Frédéric Ducoulombier:
Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme.
Noël Amenc, Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini, Eric Shirbini:
This publication argues that current smart beta investment approaches only provide a partial answer to the main shortcomings of capitalisation-weighted (cap-weighted) indices, and develops a new approach to equity investing referred to as smart factor investing.
This paper discusses the need and propose an approach to benchmark long-term investments in infrastructure, where long-term investment simply refers to any unlisted and illiquid asset.
Pierre Courtioux, Vincent Lignon :
On appelle homogamie éducative la tendance qu’ont les individus à se mettre en couple avec des conjoints aux caractéristiques éducatives proches. Dans cet article, nous en proposons une analyse à un niveau fin de diplôme en insistant sur les enjeux de diffusion des dépenses d’investissement d’enseignement supérieur et ses conséquences économiques.
This two-part series is excerpted from a presentation given by the author on February 10th, 2014 at a joint meeting in Chicago of the following two professional organizations: the Professional Risk Managers’ International Association (PRMIA) and the Chartered Alternative Investment Analyst (CAIA) Association.
Lionel Martellini, Vincent Milhau, Andrea Tarelli:
The present publication was produced as part of the “Asset Allocation Solutions” research chair at EDHEC-Risk Institute, in partnership with Lyxor Asset Management.
Serge Darolles, Mathieu Vaissié:
We use the regime switching approach introduced in Pelletier (2006), and adapted by Giamouridis and Vrontos (2007) to the context of hedge fund portfolios, to design a new tactical style allocation factor.
Adrian Fernadez-Perez, Ana-Maria Fuertes, Joëlle Miffre:
This paper proposes a commodity-based specification of the Intertemporal CAPM (ICAPM) that uses state variables grounded on the theories of storage and hedging pressure.
Markus Glaser, Florencio Lopez-de-Silanes, Zacharias Sautner:
This paper reports some of the main results of our paper “Opening the Black Box: InternalCapital Markets and Managerial Power, ”Journal of Finance, LXVIII (4), August 2013.
Concerns about systemic credit risk in the financial system due to the OTC derivatives market has encouraged the use of counterparty credit risk mitigation techniques, including the use of compression.
Stéphane Gregoir, Tristan-Pierre Maury :
Par manque d’information, la relation locataire-bailleur est sensible à nombre d’erreurs d’appréciation des risques et des coûts supportés par les deux parties qui les amènent à prendre des décisions individuelles défavorables au bon fonctionnement du marché.
Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh:
The latest edition of the European ETF Survey has been conducted as part of the Amundi ETF "Core-Satellite and ETF Investment" research chair at EDHEC-Risk
Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau:
In the present publication, which was produced as part of the BNP Paribas Investment Partners research chair at EDHEC-Risk Institute on “ALM and Institutional Investment Management,” led by Professor Lionel Martellini, we have attempted to assess the views of pension funds and sponsor companies as they relate to their reactions to dynamic liability-driven investing (LDI) strategies and their desire to integrate this approach into their processes.
Tiffanie Carli, Romain Deguest, Lionel Martellini:
The present publication, “Improved Risk Reporting with Factor-Based Diversification Measures,” is drawn from the CACEIS research chair on “New Frontiers in Risk Assessment and Performance Reporting” at EDHEC-Risk Institute.
Attilio Meucci, David Ardia, Marcello Colosante:
The Entropy Pooling approach is a versatile theoretical framework to process market views and generalised stress-tests into an optimal “posterior” market distribution, which is then used for risk management and portfolio management.
Lionel Martellini, Vincent Milhau:
This paper proposes an empirical analysis of the opportunity gains (costs) involved in introducing (removing) various assets with attractive inflation-hedging properties for long-term investors
facing inflation-linked liabilities.
Liliana Arias, Mohamed El Hedi Arouri, Philippe Foulquier:
This study shows that LTGA calibration continues to favour short-duration bonds and could undermine the financial stability and financing of both sovereigns and corporates.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
This paper develops a framework to measure the credit risk of unlisted infrastructure debt, including
the first formulation of "distance to default" in infrastructure project finance.
Lionel Martellini, Vincent Milhau:
The present publication is drawn from the Rothschild & Cie research chair on “The Case for Inflation-Linked Corporate Bonds: Issuers’ and Investors’ Perspectives” at EDHEC-Risk Institute.
Lixia Loh, Lionel Martellini, Stoyan Stoyanov:
This study from EDHEC-Risk Institute, entitled “The Local Volatility Factor for Asian Stock Markets,” has shown that using US VIX to hedge the volatility risk of Asian portfolios is not particularly effective.
Frédéric Blanc-Brude, Omneia R.H. Ismail:
In this paper, the authors develop a framework to measure the credit risk of unlisted infrastructure debt, including the first formulation of "distance to default" in infrastructure project finance.
Stéphane Grégoir, Tristan-Pierre Maury, Frédéric Palomino :
Après l’adoption de la Loi Copé-Zimmermann début 2011, la proportion de femmes parmi les membres des conseils d'administration des grandes entreprises françaises a nettement augmenté.
Arnaud Chéron :
Ce document évalue, à partir d’une illustration chiffrée sur le cas de la France, les répercussions en matière de politiques publiques d’emploi et de formation d’une augmentation en moyenne de la dépréciation du capital humain général durant les épisodes de chômage, liée au développement rapide des savoirs techniques et pratiques nécessaires en entreprise.
Noël Amenc, Felix Goltz, Lionel Martellini:
Recent years have seen increasing interest in new forms of indexation, referred to as Smart Beta strategies. Investors are attracted by the performance of these indices compared to traditional capweighted indices.
Frédéric Blanc-Brude, François Cocquemas, Albena Georgieva:
The purpose of this publication, which is drawn from the AXA Investment Managers research chair at EDHEC-Risk Institute on “Regulation and Institutional Investment”, is to examine the role of pension systems in the dinancing of current and future standards of living in Asia’s ageing nations and to study the potential contribution of scientific asset management to the challenges faced by the region’s pension reserve funds and funded pension schemes.