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

The End of Theory: Financial Crises, the Failure of Economics, and the Sweep of Human Interaction

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2018

Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions

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2018

Applying Goal-Based Investing Principles to the Retirement Problem - Executive Summary

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2018

Kevin Giron , Lionel Martellini , Vincent Milhau , John Mulvey , Anil Suri

Applying Goal-Based Investing Principles to the Retirement Problem

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2018

Kevin Giron , Lionel Martellini , Vincent Milhau , John Mulvey , Anil Suri

Capital Structure Decisions and the Optimal Design of Corporate Market Debt Programs

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2018

A Financially Motivated Extension of the Heston Model for a Joint â„™- and â„š-Dynamics Analysis of Variance

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2018

Mind the Gap: On the Importance of Understanding and Controlling Market Risk in Smart Beta Strategies

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2018

Academic, Practitioner, and Investor Perspectives on Factor Investing

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2018

Macroeconomic variable selection for creditor recovery rates

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2018

Factor Based Approach To The Design Of Smart Bond Portfolios

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2018

The Impact of Market Conditions on Bond Fund Managers

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2018

Smart Beta And Beyond: Maximising The Benefits Of Factor Investing

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2018

Lionel Martellini, Vincent Milhau

Effects of Spot Market Short-Sale Constraints on Index Futures Trading

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2017

How fat are the tails of equity market indices?

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2017

Skillful hiding: evaluating hedge fund managers’ performance based on what they hide

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2017

Who Are the Value and Growth Investors?

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2017

Mass Customisation versus Mass Production in Retirement Investment Management: Addressing a “Tough Engineering Problem"

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2017

Lionel Martellini, Vincent Milhau

Penalizing variances for higher dependency on factprs

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2017

Predictability dynamics of emerging sovereign CDS markets

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2017

Explosive rents: The real estate market dynamics in exuberance

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2017

Estimating the elasticity of intertemporal substitution accounting for stockholder-specific portfolios

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2017

Commodity Markets, Long-Run Predictability, and Intertemporal Pricing

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2017

An Examinination of the Impact of the EU Ban on Naked Purchases of Sovereign Credit Default Swaps

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2017

Exploring rating shopping for european triple a senior structured finance securities

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2017

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

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2017

EDHEC Survey On Equity Factor Investing

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2017

Noël Amenc, Felix Goltz, Véronique Le Sourd

The EDHEC European ETF And Smart Beta Survey 2016

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2017

Noël Amenc, Felix Goltz, Véronique Le Sourd

Smart Beta Replication Costs

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2017

Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel

The MF Global Debacle: What Were The Red Flags?

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2017

Hilary Till

Intensity-based framework for surrender modeling in life insurance

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2017

Hedge Fund Styles And Macroeconomic Uncertainty

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2017

Marie Lambert, Federico Platania

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

Staying on Top of the Curve: A Cascade Model of Term Structure Dynamics

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2017

Trade the tweet: Social media text mining and sparse matrix factorization for stock market prediction

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2016

Kinetic Component Analysis

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2016

An improved method for pricing and hedging long dated American options

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2016

Multi-purpose binomial model: Fitting all moments to the underlying geometric Brownian motion

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2016

Portfolio selection with conservative short-selling

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2016

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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2016

Lionel Martellini

The intended and unintended consequences of financial-market regulations: A general-equilibrium analysis

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2016

On stability of operational risk estimates by LDA: From causes to approaches

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2016

Is idiosyncratic volatility priced in commodity futures markets?

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2016

Factor decomposition of the Eurozone sovereign CDS spreads

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2016

Riding with the Four Horsemen and the Multivariate Normal Tempered Stable Model

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2016

Pricing Coupon Bond Options and Swaptions under the One-Factor Hull–White Model

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2016

Elliptical tempered stable distribution

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2016

Hedge fund allocation: Evaluating parametric and nonparametric forecasts using alternative portfolio construction techniques

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2016

Equity style allocation: A nonparametric approach

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2016

A new approach to statistical arbitrage: Strategies based on dynamic factor models of prices and their performance

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2016

Counterparty Risk Minimization by the Optimal Netting of OTC Derivative Trades

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2016

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

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2016

Hilary Till

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

Market Efficiency And Hedge Fund Trading Strategies

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2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania

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

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2016

Diversified or Concentrated Factor Tilts?

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2016

EDHEC Research Insights: The Most Pressing Issues Facing Investment Professionals

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2016

A One-Factor Shifted Squared Gaussian Term Structure Model for Interest Rate Modeling

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2016

Investor Perceptions About Smart Beta ETFs

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2016

Noël Amenc, Felix Goltz, Véronique Le Sourd

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

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

Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

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2016

Kevin Giron , Lionel Martellini

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

Full versus quasi MLE for ARMA-GARCH models with infinitely divisible innovations

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2015

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

Multiperiod conditional valuation of barrier options with incomplete information

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2015

Focusing on the worst state for robust investing

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2015

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

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2015

Lionel Martellini, Vincent Milhau

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

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2015

Research For Institutional Money Management

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2015

Measuring and explaining pension system risk

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2015

Towards Smart Equity Factor Indices: Harvesting Risk Premia Without Taking Unrewarded Risks

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2015

Stochastic Alpha-Beta-Rho Hedging for Foreign Exchange Options: Is It Worth the Effort?

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2015

In search of Cash-Flow Pricing

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2015

Mass Customization in Life-Cycle Investing Strategies with Income Risk

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2015

Investigating the Performance of Non-Gaussian Stochastic Intensity Models in the Calibration of Credit Default Swap Spreads

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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

New Horizons and Familiar Landscapes: New Capital Sources Confront Shifting Real Estate Fundamentals

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2015

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

The Post-Crisis CMBS Market: Will Regulations Prevent Another Market Meltdown?

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2015

Active Allocation To Smart Factor Indices

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2015

Noel Amenc, Guillaume Coqueret, Lionel Martellini

Toward Conditional Risk Parity: Improving Risk Budgeting Techniques in Changing Economic Environments

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2015

Alternative Equity Beta Investing: A Survey

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2015

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

The Case for Long-Short Commodity Investing

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2015

Investor Interest In And Requirements For Smart Beta ETFs

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2015

Felix Goltz, Veronique Le Sourd

Economics: An Empirical Science Capable of Forecasting Economic Events?

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2015

The EDHEC European ETF Survey 2014

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2015

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

A Three-Factor Model for Mortality Modeling

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2015

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

Growth Optimal Portfolio Insurance For Long-Term Investors

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2014

Daniel Mantilla-García

Recent Trends in Equity Portfolio Construction Analytics

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2014

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

Bayesian estimation of truncated data with applications to operational risk measurement

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2014

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

Analyzing and Decomposing the Sources of Added-Value of Corporate Bonds within Institutional Investors’ Portfolios

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2014

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

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2014

Lionel Martellini

Robust portfolios that do not tilt factor exposure

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2014

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

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2014

Dominic OKane

60 Years of portfolio optimization: Practical challenges and current trends

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2014

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

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2014

Estimation Risk versus Optimality Risk: An Ex-Ante Efficiency Analysis of Alternative Equity Portfolio Diversification Strategies

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2014

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

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2014

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

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2014

Portfolio selection in the presence of systemic risk

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2014

The EDHEC European ETF Survey 2013

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2014

Practitioner Portfolio Construction and Performance Measurement: Evidence from Europe

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2014

Can We Predict Stock Market Crashes?

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2014

Risk Allocation: A New Investment Paradigm?

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2014

Towards Smart Equity Factor Indices: Harvesting Risk Premia without Taking Underwarded Risks

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2014

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

Smooth monotone covariance for elliptical distributions and applications in finance

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2014

Unlisted Infrastructure Debt Valuation & Performance Measurement

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2014

Frederic Blanc-Brude, Majid Hasan

Improved Risk Reporting With Factor-Based Diversification Measures

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2014

Tiffanie Carli, Romain Deguest i

Deciphering robust portfolios

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2014

Time Series and Copula Dependency Analysis for Eurozone Sovereign Bond Returns

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2014

Analytical-Numeric Formulas for the Probability Density Function of Multivariate Stable and Geo-Stable Distributions

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2014

Recent Developments in Robust Portfolios with a Worst-Case Approach

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2014

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

Empirical analysis of ARMA-GARCH models in market risk estimation on high-frequency US data

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2013

Computational aspects of portfolio risk estimation in volatile markets: a survey

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2013

Book-to-Market and the Cross-Section of Expected Returns in International Stock Markets

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2013

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

Portfolio Selection Problems Consistent with a Given Preference Ordering

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2013

The EDHEC European ETF Survey 2012

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2013

Noel Amenc, Felix Goltz, Nikhil Shah

Commercial Real Estate Risk Management with Derivatives

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2013

The new issues puzzle: evidence from non-US firms

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2013

Market overreaction and underreaction: tests of the directional and magnitude effects

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2013

Investment Solutions For East Asia's Pension Savings

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2013

Frédéric Blanc-Brude, François Cocquemas

Option pricing with time-changed Lévy processes

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2013

Optimal corporate strategy under uncertainty

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2013

Size, value, and momentum in emerging market stock returns

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2013

An Analysis Of The Convergence Between Mainstream And Alternative Asset Management

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2013

Juha Joenväärä

Composition of robust equity portfolios

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2013

Factor uniqueness in the S&P 500 universe: Can proprietary factors exist?

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2013

What do robust equity portfolio models really do?

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2013

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

Shifting Towards Hybrid Pension Systems: A European Perspective

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2012

Samuel Sender

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

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

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

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2011

Samuel Sender

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

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

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

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

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

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

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2010

Samuel Sender

Asset-Liability Management In Private Wealth Management

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2009

Noel Amenc, Lionel Martellini, Vincent Milhau, Volker Ziemann

Macroeconomic Risk Management For Oil Stabilization Funds In GCC Countries

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2009

Bernhard Scherer

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

Impact Of Regulations On The ALM Of European Pension Funds

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2009

The European Pension Fund Industry Again Beset By Deficits

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2009

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

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

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2009

Lionel Martellini, Vincent Milhau

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

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

Commodities - Active Strategies for Enhanced Return

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2005

The Value of Convexity: A Theoretical and Empirical Investigation

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1970

On the Estimation of the SABR Model’s Beta Parameter

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1970

CDS Implied Credit Ratings

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1970

Equal-Weighted Strategy: Why it Outperforms Value-Weighted Strategies? Theory and Evidence

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1970

Robust Factor-Based Investing

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1970

An improved least squares Monte Carlo valuation method based on heteroscedasticity

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1970

Sin Stocks Revisited: Resolving the Sin Stock Anomaly

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1970

Fuzzy Decision Fusion Approach for Loss-Given-Default Modeling

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1970

Issues in Applying Financial Econometrics to Factor-Based Modeling in Investment Management

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1970

Pricing Coupon Bond Options and Swaptions under the Two-Factor Hull-White Model

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1970

Best Practices in Research for Quantitative Equity Strategies

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1970

Commercial Real Estate Derivatives: The End or the Beginning?

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1970

Volatility Wisdom of Social Media Crowds

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1970

The Expansion of Real Estate

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1970

A flexible approach to estimate the equity premium

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1970

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

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1970