Les publications des pôles de recherche 2010

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.

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.

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.

Mean-Variance optimisation has come under great criticism recently, based on the poor performance experienced by asset managers during the global financial crisis.

This document reviews the concept of green investing and reports the results of a European survey of investment management professionnals.

Les stock-options sont des instruments naturels de rémunération permettant de lier la rémunération du PDG aux gains des actionnaires. La principale propriété des stock-options à l’origine de leur mauvaise perception auprès du grand public provient du fait que les stock-options procurent des incitations asymétriques : les options récompensent les bonnes performances plus fortement qu’elles ne pénalisent les mauvaises performances.

The biases that inflate the performance of hedge funds have been well documented in the financial literature.

This paper explores the financial statement implications of alternative measurement bases underlying defined benefit pension accounting rules via a simulation analysis.

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.

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.

We investigate the potential improvement in the implementation of style rotation strategies by techniques addressing estimation errors.

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.

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.

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.

In spite of a somewhat disappointing performance throughout the crisis, and a series of highprofile scandals, investors are showing interest in hedge funds.

Dans ce document, les différents résultats du programme de recherche du pôle économie de l’EDHEC sur les réformes du financement de l’enseignement supérieur sont mis en perspective.

Cette nouvelle étude de l'EDHEC souligne les incertitudes sur l'équilibre des régimes de retraite à compter de 2018 et prône la préservation du Fonds de Réserve pour les retraites.

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.

Cette étude évalue quantitativement une réforme de la protection de l’emploi des seniors parallèlement à l’augmentation de l’âge de départ à la retraite.

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.

EDHEC-Risk Institute vient de publier les résultats de l’EDHEC European ETF Survey 2010, une enquête approfondie réalisée auprès de 192 investisseurs institutionnels, gérants d’actifs et gérants privés et menée entre janvier et mars 2010.

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

Changes 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.

This study uses a sample of 148 events related to corporate social responsibility (CSR) to assess the impact of CSR on corporate financial performance.

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.

Cette étude remet en question la méthodologie et les données retenues par le régulateur prudentiel européen pour mesurer le risque de placements en private equity, en particulier le coefficient de corrélation entre la performance du private equity et celle des actions cotées.

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.

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.

Dans cette étude les auteurs proposent une analyse inédite et détaillée des rendements de l’immobilier résidentiel ancien sur Paris et sa proche périphérie.

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.

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.

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 ?

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

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

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