Research programmes

EDHEC-Risk Institute’s seven research programmes explore interrelated aspects of investment solutions to advance the frontiers of knowledge and foster industry innovation. These programmes correspond to a long-term investment on the part of the Institute and they are designed with the support of EDHEC-Risk Institute’s International Advisory Board. They host research chairs and strategic research projects that are supported by the industry.

 

 

All publications

Factor Based Approach To The Design Of Smart Bond Portfolios

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2018

Smart Beta And Beyond: Maximising The Benefits Of Factor Investing

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2018

Lionel Martellini, Vincent Milhau

Smart Beta And Beyond: Maximising The Benefits Of Factor Investing

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2018

Lionel Martellini, Vincent Milhau

EDHEC Survey On Equity Factor Investing

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2017

Noël Amenc, Felix Goltz, Véronique Le Sourd

What Do Measures Of Real-Time Corporate Sales Tell Us About Earnings Surprises And Post-Announcement Returns?

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2017

Kenneth Froot, Namhco Kang, Gideon Ozik, Ronnie Sadka

The EDHEC European ETF And Smart Beta Survey 2016

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2017

Noël Amenc, Felix Goltz, Véronique Le Sourd

Mass Customization Versus Mass Production - How An Industrial Revolution Is About To Take Place In Investment Management And Why It Involves A Shift From Investment Products To Investment Solutions

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2017

Vincent Milhau, Lionel Martellini

Smart Beta Replication Costs

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2017

Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel

Individual Investment Solutions And Other Research – IMR Special Edition Autumn 2017

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2017

The MF Global Debacle: What Were The Red Flags?

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2017

Hilary Till

Hedge Fund Styles And Macroeconomic Uncertainty

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2017

Marie Lambert, Federico Platania

Factor Investing And Risk Allocation: From Traditional To Alternative Risk Premia Harvesting

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2016

Jean-Michel Maeso

Term Structure Analysis Of Option Implied Volatility In The Brazilian Market Using A Continuous-Time GARCH Model

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2016

Carlos Heitor Campani, Carlos Eduardo Fucci

Investor Perceptions About Smart Beta ETFs

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2016

Noël Amenc, Felix Goltz, Véronique Le Sourd

EDHEC Research Insights SPRING 2016 INVESTMENT & PENSIONS EUROPE EDHEC-RISK DAYS SPECIAL

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2016

The EDHEC European ETF Survey 2015

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2016

Noël Amenc, Felix Goltz, Véronique Le Sourd

Ten Misconceptions About Smart Beta Analysis: Analysing Common Claims On Performance Drivers, Investability Issues And Strategy Design Choices

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2016

Noël Amenc, Frédéric Ducoulombier, Felix Goltz

EDHEC Research Insights: The Most Pressing Issues Facing Investment Professionals

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2016

The EDHEC European ETF Survey 2015

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2016

Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh, Sivagaminathan Sivasubramanian

Factor Investing And Risk Allocation: From Traditional To Alternative Risk Premia Harvesting

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2016

Jean-Michel Maeso

An Introduction To U.S. Commodity Futures Markets: A Historical Perspective Along With Commodity Trading Principles

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2016

Hilary Till

Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

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2016

Kevin Giron , Lionel Martellini

Market Efficiency And Hedge Fund Trading Strategies

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2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania

Initial Margin For Non-Centrally Cleared OTC Derivatives: Overview, Modelling And Calibration

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2016

Introducing A Comprehensive Investment Framework For Goals-Based Wealth Management

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2015

Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang

Dynamic Liability-Driven Investing Strategies: The Emergence Of A New Investment Paradigm For Pension Funds? A Survey Of The LDI Practices For Pension Funds

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2015

Romain Deguest, Lionel Martellini, Vincent Milhau, Anil Suri, Hungjen Wang

Factor Investing: A Welfare Improving New Investment Paradigm Or Yet Another Marketing Fad?

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2015

Lionel Martellini, Vincent Milhau

Research For Institutional Money Management

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2015

Is Smart Beta Just Monkey Business? An Analysis Of Factor Exposures, Upside-Down Strategies And Rebalancing Effects

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2015

Noël Amenc, Felix Goltz,, Ashish Lodh

The Limitations Of Factor Investing: Impact Of The Volkswagen Scandal On Concentrated Versus Diversified Factor Indices

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2015

Noel Amenc, Noel Amenc, Jakub Ulahel

The Valuation Of Privately-Held Infrastructure Equity Investments

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2015

Frederic Blanc-Brude, Majid Hasan

Active Allocation To Smart Factor Indices

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2015

Noel Amenc, Guillaume Coqueret, Lionel Martellini

Alternative Equity Beta Investing: A Survey

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2015

Noel Amenc, Saad Badaoui, Felix Goltz, Véronique Le Sourd, Ashish Lodh

Investor Interest In And Requirements For Smart Beta ETFs

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2015

Felix Goltz, Veronique Le Sourd

The EDHEC European ETF Survey 2014

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2015

Noël Amenc, Felix Goltz, Véronique Le Sourd, Ashish Lodh , Eric Shirbini

Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

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2015

Noël Amenc, Kumar Gautam, Felix Goltz ,Nicolas Gonzalez, Jan-Philip Schade

Accounting For Geographic Exposure In Performance And Risk Reporting For Equity Portfolios

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2015

Noel Amenc, Kumar Gautam, Felix Goltz, Nicolas Gonzalez, Jan-Philip Schade

Who Needs Inflation Hedging? A Quantitative Analysis Of The Benefits Of Inflation-Linked Bonds, Real Estate And Commodities For Long-Term Investors With Inflation-Linked Liabilities

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2014

Lionel Martellini

Equity Portfolios With Improved Liability-Hedging Benefits

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2014

Guillaume Coqueret, Romain Deguest, Lionel Martellini, Vincent Milhau

Towards Conditional Risk Parity — Improving Risk Budgeting Techniques In Changing Economic Environments

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2014

Lionel Martellini

Optimising The Compression Cycle: Algorithms For Multilateral Netting In OTC Derivatives Markets

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2014

Dominic OKane

The Impact Of Risk Controls And Strategy-Specific Risk Diversification On Extreme Risk

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2014

Index Transparency - A Survey Of European Investors' Perceptions, Needs And Expectations

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2014

The EDHEC European ETF Survey 2013

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2014

Unlisted Infrastructure Debt Valuation & Performance Measurement

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2014

Frederic Blanc-Brude, Majid Hasan

EDHEC Risk Publication Superannuation V2.0: Towards The Next Generation Of Pension Funds In Australia

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2014

Frederic Blanc-Brude, Frederic Ducoulombier

Improved Risk Reporting With Factor-Based Diversification Measures

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2014

Tiffanie Carli, Romain Deguest i

Growth Optimal Portfolio Insurance For Long-Term Investors

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2014

Daniel Mantilla-García

Should A Skeptical Portfolio Insurer Use An Optimal Or A Risk-Based Multiplier?

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2014

Maxime Bonelli

Tail Risk Of Smart Beta Portfolios: An Extreme Value Theory Approach

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2014

Lixia Loh, Stoyan Stoyanov

Risk Allocation, Factor Investing And Smart Beta: Reconciling Innovations In Equity Portfolio Construction

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2014

Noel Amenc,Romain Deguest, Felix Goltz, Ashish Lodh, Lionel Martellini Eric Shirbini

Tail Risk Of Asian Markets: An Extreme Value Theory Approach

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2013

Lixia Loh, Stoyan Stoyanov

Hedging Versus Insurance: Long-Horizon Investing With Short-Term Constraints

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2013

Romain Deguest, Lionel Martellini,Vincent Milhau

Tail Risk Of Equity Market Indices: An Extreme Value Theory Approach

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2013

Lixia Loh, Stoyan Stoyanov

The Local Volatility Factor For Asian Stock Markets

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2013

Lixia Loh, LionelMartellini, Stoyan Stoyanov

Smart Beta 2.0

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2013

Noel Amenc, Felix Goltz, Nikhil Shah

The EDHEC European ETF Survey 2012

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2013

Noel Amenc, Felix Goltz, Nikhil Shah

An Analysis Of The Convergence Between Mainstream And Alternative Asset Management

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2013

Juha Joenväärä

Investment Solutions For East Asia's Pension Savings

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2013

Frédéric Blanc-Brude, François Cocquemas

Dynamic Investment Strategies For Corporate Pension Funds In The Presence Of Sponsor Risk

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2012

Lionel Martellini, Vincent Milhau, Andrea Tarelli

What Asset-Liability Management Strategy For Sovereign Wealth Funds?

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2012

Frédéric Ducoulombier , Lixia Loh , Stoyan Stoyanov

Long-Term Investing Strategies In Private Wealth Management

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2012

Noël Amenc

EDHEC-Risk Asian Index Survey 2011

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2012

Noel Amenc, Felix Goltz, Masayoshi Mukai, Padmanaban Narasimhan , Lin Tang

Diversifying The Diversifiers And Tracking The Tracking Error: Outperformaing Cap-Weighted Indices With Limited Risk Of Underperformance

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2012

Noël Amenc, Felix Goltz

EDHEC-Risk North American Index Survey 2011

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2012

Noel Amenc ,Felix Goltz, Lin Tang, Vijay Vaidyanathan

The EDHEC European ETF Survey 2011

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2012

Felix Goltz

Shifting Towards Hybrid Pension Systems: A European Perspective

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2012

Samuel Sender

An Integrated Approach To Sovereign Wealth Risk Management

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2011

Bernd Scherer

Life-Cycle Investing In Private Wealth Management

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2011

Romain Deguest

Life-Cycle Investing In Private Wealth Management

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2011

Romain Deguest

Performance Of Socially Responsible Investment Funds Against An Efficient SRI Index: The Impact Of Benchmark Choice When Evaluating Active Managers - An Update

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2011

Veronique Le Sourd

The Elephant In The Room: Accounting And Sponsor Risks In Corporate Pension Plans

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2011

Samuel Sender

EDHEC-Risk European Index Survey 2011

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2011

Noel Amenc, PhD, Felix Goltz,Lin Tang

Improved Beta? A Comparison Of Index-Weighting Schemes

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2011

Noel Amenc, Lionel Martellini, Felix Goltz, Lin Tang

Capturing The Market Alu, Or Momentum Premium With Downside Risk Control: Dynamic Allocation Strategies With Exchange-Traded Funds

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2011

Elie Charbit

Asset-Liability Management Decisions For Sovereign Wealth Funds

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2010

An Integrated Approach To Asset-Liability Management: Capital Structure Choices, Pension Fund Allocation Decisions And The Rational Pricing Of Liability Streams

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2010

Vincent Milhau, Lionel Martellini

EDHEC-Risk European Private Wealth Management Survey

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2010

Noel Amenc, Sergio Focardi, Felix Goltz, David Schroder, Lin Tang

New Frontiers In Benchmarking And Liability-Driven Investing

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2010

Noel Amenc, Lionel Martellini, Felix Goltz, Vincent Milhau

From Deterministic To Stochastic Life-Cycle Investing: Implications For The Design Of Improved Forms Of Target Date Funds

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2010

Lionel Martellini

EDHEC Survey Of The Asset And Liability Management Practices Of European Pension Funds

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2010

Samuel Sender

EDHEC-Risk European ETF Survey 2010

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2010

Felix Goltz, Adina Grigoriu, Lin Tang

Does Finance Theory Make The Case For Capitalisation-Weighting Indexing?

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2010

Felix Goltz, Véronique Le Sourd

Efficient Indexation: An Alternative To Cap-Weighted Indices

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2010

Noël Amenc, Felix Goltz

Macroeconomic Risk Management For Oil Stabilization Funds In GCC Countries

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2009

Bernhard Scherer

Asset-Liability Management In Private Wealth Management

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2009

Noel Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann

EDHEC-Risk European ETF Survey 2009

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2009

Noel Amenc, Felix Goltz, Adina Grigoriu

Reactions To An EDHEC Study On The Impact Of Regulatory Constraints On The ALM Of Pension Funds

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2009

Samuel Sender

Portfolio Choice For Oil-Based Sovereign Wealth Funds

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2009

Bernhard Scherer

A Note On Portfolio Choice For Sovereign Wealth Funds

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2009

Bernhard Scherer

Impact Of Regulations On The ALM Of European Pension Funds

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2009

Measuring The Benefits Of Dynamic Asset Allocation Strategies In The Presence Of Liability Constraints

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2009

Lionel Martellini, Vincent Milhau

The European Pension Fund Industry Again Beset By Deficits

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2009

Reactions To An EDHEC Study On Asset-Liability Management Decisions In Private Wealth Management

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2008

Noel Amenc, Felix Goltz, David Schroder

The Benefits Of Hedge Funds In Asset Liability Management

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2008

Lionel Martellini, Véronique Le Sourd , Volker Ziemann

The Benefits Of Structured Products In Asset-Liability Management

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2008

Lionel Martellini, Vincent Milhau

Risk Control Through Dynamic Core-Satellite Portfolios Of ETFs

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2008

Noël Amenc, Felix Goltz

Towards The Design Of Better Equity Benchmarks: Rehabilitating The Tangency Portfolio From Modern Portfolio Theory

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2008

Lionel Martellini, Felix Goltz

Fundamental Differences? Comparing Alternative Index Weighting Mechanisms

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2008

Noël Amenc, Felix Goltz

A Comparison Of Fundamentally Weighted Indices: Oveview And Performance Analysis

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2008

Noel Amenc, Felix Goltz, Veronique Le Sourd

Asset-Liability Management Decisions In Private Banking

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2007

Noel Amenc, Lionel Martellini, Volker Ziemann

Reactions To The EDHEC Study "Assessing The Quality Of Stock Market Indices"

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2007

Felix Goltz, Guang Feng

Managing Pension Assets: From Surplus Optimization To Liability-Driven Investment

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2006

Lionel Martellini

Managing Pension Assets: From Surplus Optimization To Liability-Driven Investment

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2006

Lionel Martellini

The Impact Of IFRS And Solvency II On Asset-Liability Management And Asset Management In Insurance Companies

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2006

Assessing The Quality Of Stock Market Indices: Requirement For Asset Allocation And Performance Measurement

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2006

Noël Amenc, Felix Goltz

Bond Risk Premia: The New Frontier In Factor Investing And Smart Beta

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