Corps professoral et Recherche
Les publications des pôles de recherche : EDHEC Risk & Asset Management Research Centre
[ EDHEC Risk & Asset Management Research Centre ]
[ Pôle de recherche en analyse financière et comptabilité ]
[ Pôle de recherche en économie, évaluation des politiques publiques et réforme de l'État ]
[ Pôle de recherche en marketing et consommation - InteraCT ]
[ EDHEC Risk & Asset Management Research Centre ]
Amenc N., F. Goltz, V. Le Sourd (Juin 2008) " The Performance of Fundamentally Weighted Indices ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Djankov S., R. La Porta, F. Lopez-de-Silanes (Mai 2008) " Transparency and Accountability ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Amenc, N.; F. Goltz; V. Le Sourd, L. Martellini (Janvier 2008) "The EDHEC European Investment Practices Survey 2008", EDHEC Risk and Asset Management Research Centre, EDHEC Publication. [En savoir plus]
Brooks C., X. Li, J. Miffre (Mai 2008) " Low-Cost Momentum Strategies ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Fuertes A-M, J. Miffre, G. Rallis (Mai 2008) " Tactical Allocation in Commodity Futures Markets: Combining Momentum and Term Structure Signals ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Brooks C., X. Li, J. Miffre (Mai 2008) " The Value Premium and Time-Varying Volatility ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Chong J., J. Miffre (Avril 2008) " Conditional Return Correlations between Commodity Futures and Traditional Assets ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Garcia R., G. Tsafack (Avril 2008) " Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Amenc, N., F. Goltz, V. Le Sourd (Avril 2008) " Fundamental Differences? Comparing Alternative Index Weighting Mechanisms ", EDHEC Risk Asset Management Research Centre, EDHEC Publication. [En savoir plus]
F. Lopez-de-Silanes, A. Shleifer (Février 2008) "The Divergence of Legal Procedures", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Le Sourd, V. (Février 2008) "Hedge Fund Performance in 2007", EDHEC Risk Asset Management Research Centre, EDHEC Publication. [En savoir plus]
Sender S.. (Février 2008) "QIS4: significant improvements, but the main risk for life insurance is not taken into account in the standard formula", EDHEC Risk Asset Management Research Centre, EDHEC Position Paper. [En savoir plus]
Goltz, F.; L. Martellini & V. Ziemann (2007), "Derivatives Strategies for Bond Portfolios", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
La Porta R., F. Lopez-de-Silanes, A. Shleifer (Novembre 2007) "The Economic Consequences of Legal Origins", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Eagleeye J., H. Till (Septembre 2007) " Risk Management and Portfolio Construction in a Commodity Futures Programme ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Diez de los Rios A., R. Garcia (Novembre 2007) " Assessing and Valuing the Non-Linear Structure of Hedge Fund Returns ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Amenc N. & V. Le Sourd (Octobre 2007), " Rating the ratings :A Critical Analysis of Fund Rating Systems ", Centre de recherche EDHEC Risk & Asset Management, EDHEC Working Paper. [En savoir plus]
Amenc N. (2007), " Trois premières leçons de la crise des crédits subprime " EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper. [En savoir plus]
X. Li, C. Brooks & J. Miffre; "The Value Premium and Time-Varying", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
Amenc N. & , F. Goltz (Juillet 2007) "Revisiting the Limits of Hedge Fund Indices", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
X. Li, C. Brooks & J. Miffre "Paper Momentum Profits and Time-Varying", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
Miffre J. & G. Rallis (2007), " Momentum Strategies in Commodity Futures Markets " ; EDHEC Risk and Asset Management Research Centre, working paper. [En savoir plus...]
D'Hondt, C., J.R. Giraud (2007), Response to CESR public consultation on Best Execution under MiFID - On the Importance of Transaction Cost Analysis EDHEC Working Paper, EDHEC Risk and Asset Management Research Centre, Avril.[En savoir plus...]
Kuenzi D. (2007), " Shedding Light on Alternative Beta : A Volatility and Fixed Income AssetClass Comparison " ; EDHEC Risk and Asset Management Research Centre, working paper avril 2007. [ En savoir plus... ]
De Winne, R. & C. D'Hondt (2007) : " Hide-and-Seek in the Market : Placing and Detecting Hidden Orders ", EDHEC Risk & Asset Management Research Centre. [En savoir plus...]
Amenc, N.; F. Goltz; V. Le Sourd (Septembre 2006) "Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement", EDHEC Risk and Asset Management Research Centre, EDHEC Publication. [En savoir plus]
Goltz, F. et G. Feng (2007), " Reactions to the EDHEC Study Assessing the Quality of Stock Market Indices ", EDHEC Risk and Asset Management Research Centre, EDHEC Publication, Septembre.[en savoir plus...]
Brooks C., J. Miffre & X. Li (Août 2007) "Low-Cost Momentum Strategies", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till H. (Mai 2007) "Trading Strategies in the current commodity Market Environment", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
D'Hondt, C., J.R. Giraud (2007), "MiFID: the (in)famous European Directive?", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Mars. [en savoir plus...]
Le Sourd, V. (2007), "Hedge Fund Performance in 2006: A Vintage Year for Hedge Funds?", EDHEC Risk and Asset Management Research Centre, EDHEC Publication, March. [ En savoir plus...]
Amenc, N., L. Martellini & V. Ziemann (2007), "Asset-Liability Management Decisions in Private Banking", EDHEC Risk and Asset Management Research Centre, EDHEC Publication, Février. [ en savoir plus... ]
Christory, C., S. Daul & J.R. Giraud (2007), "Quantification of Hedge Fund Default Risk", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Janvier. [ en savoir plus... ]
EDHEC Risk and Asset Management Research Centre (2007), "Hedge Fund Indices for the Purpose of UCITS: Answers to the CESR Issues Paper", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Janvier. [ en savoir plus... ]
Foulquier, P. & S. Sender (2007), "CP 20: Significant improvements in the Solvency II framework but grave incoherencies remain" (EDHEC response to Consultation Paper n° 20), EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Janvier. [ en savoir plus... ]
Géhin, W. (2007), "The Challenge of Hedge Fund Measurement: a Toolbox Rather Than a Pandora's Box", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Janvier. [ en savoir plus...]
Le Sourd, V. (2007), "Performance Measurement for Traditional Investment, Literature Survey", EDHEC Publication, Janvier.[ en savoir plus...]
Goltz F., L. Martellini, V. Ziemann (2007) "Exchange-Traded Fixed-Income Derivatives in Asset Management and Asset-Liability Management", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Basu D., R. Oomen, A. Stremme (Juin 2007) "Exploiting the Informational Content of Hedging Pressure: Timing the Market by Learning from Derivatives Traders", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Gehin W., M. Vaissié (2007) "Hedge Fund Strategy Benchmarks: Tricks of the Light or Lighthouses?", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Fabozzi, F., L. Martellini, P.Priaulet (2007) "Exploiting Predictability in the Time-Varying Shape of the Term Structure of Interest Rates", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Martellini, L.; V. Ziemann (2007) "Extending Black-Litterman Analysis Beyond the Mean-Variance Framework", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Martellini, L.; J.C. Meyfredi (2007) "A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Giamouridis D.; I. Ntoula (Janvier 2007) "A Comparison of Alternative Approaches for Determining the Downside Risk of Hedge Fund Strategies", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Fuertes, AM; J. Miffre; W. Tan (Janvier 2007) "Momentum Profits and Non-Normality Risks", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
S. Djankov, R. La Porta, F. Lopez-de-Silanes, A. Shleifer (Novembre 2006) " The Law and Economics of Self-Dealing ", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Basu D., R. Oomen, A. Stremme (Mai 2006) "How to Time the Commodity Market", EDHEC Risk Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Kat H. & J. Miffre (2006), "The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas", Head of Risk Management and Quantitative Research, EDHEC Working Paper, Mai 2006.[en savoir plus...]
Amenc, N. & F. Goltz (2006), "A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investment of UCITS", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Décembre. [ en savoir plus... ]
Amenc, N., L. Martellini, P. Foulquier & S. Sender (2006), "The Impact of IFRS and Solvency II on Asset-Liability Management and Asset Management in Insurance Companies", EDHEC Risk & Asset Management Research Centre and EDHEC Financial Analysis and Accounting Research Centre, EDHEC Publication, Novembre [ en savoir plus... ]
Akey R.; H. Till & A. Kins (Decembre 2005), "Natural Resources Fund-of-Funds : Active Management, Risk Management, and Due Diligence", EDHEC Risk & Asset Management Research Centre, EDHEC Working Paper.[En savoir plus]
Till H. (Août 2007), "The Amaranth Collapse", EDHEC Risk & Asset Management Research Centre, EDHEC Working Paper.[En savoir plus]
Till H. (Septembre 2001), "The Risk Considerations Unique to Hedge Funds", EDHEC Risk & Asset Management Research Centre, EDHEC Working Paper.[En savoir plus]
Till H. & J. Eagleeye (Août 2006), "The Risks of Commodity Investing", EDHEC Risk & Asset Management Research Centre, EDHEC Working Paper.[En savoir plus]
Foulquier, P., S. Sender (2006), "QIS 2: Modelling that is at odds with the prudential objectives of Solvency II", EDHEC Risk and Asset Management Research Centre & Pôle de Recherche EDHEC en Analyse financière et Comptabilité, EDHEC Position Paper, Novembre. [ en savoir plus... ]
EDHEC Risk & Asset Management Research Centre (2006), "The EDHEC European ETF Survey 2006", EDHEC Publication, Octobre [ en savoir plus...]
Till, H. (2006), "EDHEC Comments on the Amaranth Case: Early Lessons from the Debacle", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Septembre [ en savoir plus...]
Till H. (Juillet 2006), "Measuring Risk-Adjusted Returns in Alternative Investments", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper.[En savoir plus]
EDHEC Risk and Asset Management Research Centre (2006), "Disorderly exits from crowded trades? - On the systemic risks of hedge funds, A reply to the ECB's statement on hedge funds", EDHEC Position Paper, Juin. [ en savoir plus...]
Amenc, N., P. Foulquier (2006), "La problématique du taux d'actualisation des concessionnaires d'autoroutes : le cas des ASF", EDHEC Risk and Asset Management Research Centre, EDHEC Position Paper, Février. [ en savoir plus...]
Amenc N. & M. Vaissié (Fevrier 2006), "Determinants of Funds of Hedge Funds' Performance", EDHEC Risk & Asset Management Research Centre, EDHEC Working Paper. [en savoir plus]
Till, H. (Avril 2006) "Structural Sources of Return and Risk in Commodity Futures Investments", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Martellini, L.; B. Urosevic (Juillet 2005) "Static Mean-Variance Analysis with Uncertain Time Horizon", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Amenc, N., M. Vaissié(2005), "Response to the Statement of the Financial Economists Roundtable on Hedge Funds", EDHEC Risk & Asset Management Research Centre, EDHEC Position Paper, Décembre [ en savoir plus... ]
Till, H.; J. Gunzberg (Avril 2005) "Absolute Returns in Commodity (Natural Resource) Futures Investments", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till H. (Octobre 2001), "Paper Measure for Measure", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
Chong J. & J. Miffre, "Conditional Risk Premia and Correlations in Commodity Futures Markets", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
O'Kane D., "Approximating Independent Loss Distributions with an Adjusted Binomial Distribution", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
Till T. (Septembre 2001), "Life at Sharpe's End", EDHEC Risk & Asset Management Research Centre, EDHEC Publication.[En savoir plus]
Kuenzi, D.; X. Shi, "Equity Hedge Fund ABS Models: Choosing the Volatility Factor", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till, H. (Novembre 2003) "Risk Measurement of Investments in the Satellite Ring of a Core-Satellite Portfolio: Traditional versus Alternative Approaches", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till, H.(Septembre 2005) "Portfolio Risk Measurement in Commodity Futures Investments", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till, H.; J. Eagleeye (Décembre 2005) "Challenges in Commodities Risk Management", EDHEC Risk and Asset Management Research Centre, EDHEC Working Paper. [En savoir plus]
Till, H.; J. Eagleeaye (Novembre 2005) "Commodities - Active Strategies for Enhanced Return", EDHEC Risk and Asset Management Research Centre, Working Paper. [En savoir plus]
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