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8 research programmes to explore interrelated aspects of investment solutions

EDHEC-Risk Institute’s eight 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

Maximising an Equity Portfolio Excess Growth Rate: A New Form of Smart Beta Strategy?

2017

Jean-Michel Maeso, Lionel Martellini

Predicting Risk Premia for Treasury Bonds: The ERI Risk Premium Monitor

2017

Riccardo Rebonato

The ERI Stress Testing Tool: A Coherent Approach to Stress Testing

2017

Riccardo Rebonato

Factoring Characteristics into Returns: A Clinical Approach to Fama-French Portfolio Decomposition

2017

Boris Fays, Georges Hübner, Marie Lambert

The EDHEC European ETF And Smart Beta Survey 2016

2017

Noël Amenc, Felix Goltz, Véronique Le Sourd

A Note on the Valuation of Asset Management Firms

2017

Juha Joenväärä, Bernd Scherer

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

2017

Lionel Martellini, Vincent Milhau

Smart Beta Replication Costs

2017

Mikheil Esakia, Felix Goltz, Sivagaminathan Sivasubramanian, Jakub Ulahel

Measuring Volatility Pumping Benefits in Equity Markets

2017

Jean-Michel Maeso, Lionel Martellini

The Commodity Derivatives Markets from a Broadly Conceptual Perspective

2017

Hilary Till

Commodity Futures Trading Strategies: Trend-Following and Calendar Spreads

2017

Hilary Till, Joseph Eagleeye

Multi-Dimensional Risk And Performance Analysis For Equity Portfolios

2016

Kevin Giron, Lionel Martellini, Vincent Milhau

Hedge Fund Styles And Macroeconomic Uncertainty

2016

Marie Lambert, Federico Platania

Investor Perceptions About Smart Beta ETFs

2016

Noël Amenc, Felix Goltz, Véronique Le Sourd

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

2016

Kenneth Froot, Namhco Kang, Gideon Ozik, Ronnie Sadka

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

2016

Dominic O'Kane

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

2016

Jean-Michel Maeso, Lionel Martellini

Timing Indicators for Structural Positions in Crude Oil Futures Contracts

2016

Hilary Till

Swing Oil Production and the Role of Credit: A Synthesis of Best-in-Class Research Views

2016

Hilary Till

Ten Misconceptions about Smart Beta: Analysing common claims on performance drivers, investability issues and strategy design choices

2016

Noël Amenc, Frédéric Ducoulombier, Felix Goltz, Jakub Ulahel

A Primer on the Tax Framework of Offshore and Onshore Hedge Funds

2016

Michel Brocard, François-Serge Lhabitant

A Collection of Articles on the Commodity Futures Markets, Spanning the Agricultural, Metals, and Energy Sectors

2016

Hilary Till

Commodity Risk Management

2016

Hilary Till

Insights into the Frequently Opaque, and Always Dynamic, Commodity Markets

2016

Hilary Till

Portfolio Choice with Model Misspecification: A Foundation for Alpha and Beta Portfolios

2016

Raman Uppal, Paolo Zaffaroni

Market Efficiency And Hedge Fund Trading Strategies

2016

Marie Lambert, Nicolas Papageorgiou, Federico Platania

Frictional Diversification Costs: Evidence from a Panel of Fund of Hedge Fund Holdings

2016

Juha Joenväärä, Bernd Scherer

The EDHEC European ETF Survey 2015

2016

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

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