RESEARCH
This survey has been completed as part of the second year of the "Private Asset/Liability Management" research chair, a chair endowed by Ortec Finance.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONNew EDHEC-Risk Institute Research Questions Current Corporate Pension Fund ALM Practices and Proposes a New Integrated Model for Analysing the Capital Structure of Corporate Sponsors and Pension Fund Allocation Decisions.
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A decomposition of a sub-class of spectral risk measures is introduced in terms of L-moments accounting for geometric characteristics of the return distribution similar to the ones described by the ordinary moments.
Download filesTYPE OF DOCUMENT : WORKING PAPERMean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis.
Download filesTYPE OF DOCUMENT : WORKING PAPERThis document reviews the concept of green investing and reports the results of a European survey of investment management professionnals.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThe biases that inflate the performance of hedge funds have been well documented in the financial literature.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThis paper explores the financial statement implications of alternative measurement bases underlying defined benefit pension accounting rules via a simulation analysis.
Download filesTYPE OF DOCUMENT : WORKING PAPERThis publication contains the results of the first-year research work conducted at EDHEC-Risk Institute within the EDHECDeutsche Bank research chair on assetliability management (ALM) techniques for sovereign wealth fund management.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONWe examine how the existence of individual equity options, publicly traded corporate bonds and credit default swap (CDS) contracts affects equity market quality for a panel of NYSE-listed firms during 2003-2007.
Download filesTYPE OF DOCUMENT : WORKING PAPERWe investigate the potential improvement in the implementation of style rotation strategies by techniques addressing estimation errors.
Download filesTYPE OF DOCUMENT : WORKING PAPERIn an attempt to address the concern over financially illiterate individuals being increasingly responsible for investment decisions related to retirement risk, the financial industry has started to design dedicated mutual fund products known as target date funds.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONMeeting the challenges of modern investment practice involves the design of novel forms of investment solutions, as opposed to investment products, customised to meet investors' long-term objectives while respecting the short-term (regulatory or otherwise) constraints they have to face.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONSince hedge fund returns are not normally distributed, mean-variance optimisation techniques, which would lead to substantial welfare losses from the investor’s perspective, need to be replaced by optimisation procedures incorporating higher-order moments and comoments.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONIn spite of a somewhat disappointing performance throughout the crisis, and a series of highprofile scandals, investors are showing interest in hedge funds.
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EDHEC-Risk Institute Finds No New Evidence that SRI Funds Create Financial Value.
Download filesTYPE OF DOCUMENT : POSITION PAPERThis article compares the risk and performance of two traditional commodity indices with enhanced long-only versions that exploit signals based on momentum, term structure and the time-to-maturity of the contracts.
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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.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONEDHEC-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.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThe Gaze of Art and Perspectives on a Cultural Approach to Marketing.
Download filesTYPE OF DOCUMENT : POSITION PAPERChanges in the nature and magnitude of banking activities over the past few decades are fundamental to comprehension of the failings that resulted in the financial crisis.
Download filesTYPE OF DOCUMENT : WORKING PAPERThis study uses a sample of 148 events related to corporate social responsibility (CSR) to assess the impact of CSR on corporate financial performance.
Download filesTYPE OF DOCUMENT : WORKING PAPERThis 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.
Download filesTYPE OF DOCUMENT : WORKING PAPERThis 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.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONAs 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.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThe 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.
Download filesTYPE OF DOCUMENT : POSITION PAPERSur 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.
Download filesTYPE OF DOCUMENT : POSITION PAPERIn 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.
Download filesTYPE OF DOCUMENT : WORKING PAPERLes 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 ?
Download filesTYPE OF DOCUMENT : POSITION PAPERProponents of cap-weighted stock market indices often argue that such indices provide efficient risk/return portfolios.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThis paper introduces a novel method for the construction of equity indices that, unlike their cap-weighted counterparts, offer an efficient risk/return tradeoff.
Download filesTYPE OF DOCUMENT : EDHEC PUBLICATIONThis paper draws on dynamic risk-budgeting techniques to emphasise the importance of risk management when decisions to allocate to ETFs are made.
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