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New 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.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
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 PAPER
This 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 PUBLICATION
We 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 PAPER
Jakša Cvitanic, Semyon Malamud:
We provide a representation for the nonmyopic optimal portfolio of an agent consuming only at the terminal horizon when the single state variable follows a general diffusion process and the market consists of one risky asset and a risk-free asset.
In 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 PUBLICATION
Meeting 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 PUBLICATION
Since 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 PUBLICATION
This 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.Download filesTYPE OF DOCUMENT : WORKING PAPER
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.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
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.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
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.Download filesTYPE OF DOCUMENT : EDHEC PUBLICATION
Pierre Courtioux :
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.
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.Download filesTYPE OF DOCUMENT : WORKING PAPER
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 ?