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Extending Black-Litterman Analysis Beyond the Mean-Variance Framework

2007

Lionel Martellini, Volker Ziemann

A Copula Approach to Value-at-Risk Estimation for Fixed-Income Portfolios

2007

Lionel Martellini, Jean-Christophe Meyfredi

The Challenge of Hedge Fund Measurement: a Toolbox Rather Than a Pandora's Box

2006

Walter Géhin

QIS 2: Modelling that is at odds with the prudential objectives of Solvency II

2006

Philippe Foulquier, Samuel Sender

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

2006

Noël Amenc, Lionel Martellini, Philippe Foulquier, Samuel Sender

Assessing the Quality of Stock Market Indices: Requirements for Asset Allocation and Performance Measurement

2006

Noël Amenc, Felix Goltz, Véronique Le Sourd

Hedge Fund Returns: An Overview of Return-Based and Asset-Based Style Factors

2006

Walter Géhin

Momentum Profits and Time-Varying Unsystematic Risk

2006

Xiafei Li, Joëlle Miffre and Chris Brooks

A Reply to the CESR Recommendations on the Eligibility of Hedge Fund Indices for Investment of UCITS

2006

Noël Amenc, Felix Goltz

The Tortoise versus the Hare: The Role of Term Structure versus Spot Price Trends in Determining Commodity Futures Returns

2006

Hilary Till

The Impact of Non-Normality Risks and Tactical Trading on Hedge Fund Alphas

2006

Harry M. Kat, Joëlle Miffre

How to Include Hedge Funds in a Risk Allocation Framework

2006

Hilary Till

Commodities at the Cross-Roads: Where to Now?

2006

Hilary Till

Hidden Liquidity in a Pure Order-Driven Market

2006

Rudy De Winne, Catherine D’Hondt

Derivatives Strategies for Bond Portfolios

2006

Felix Goltz, Lionel Martellini, Volker Ziemann.

Backwardation and Commodity Futures Performance: Evidence from Evolving Agricultural Markets

2006

Barry Feldman, Hilary Till

Inferences about the Amaranth Case and the Emerging Maturity of the Hedge Fund Industry

2006

Hilary Till

The Law and Economics of Self-Dealing

2006

Simeon Djankov, Rafael La Porta, Florencio Lopez-de-Silanes, Andrei Shleifer

Cash Equity Transaction Cost Analysis: State of the art … and beyond

2006

Jean-René Giraud, Catherine d’Hondt

Determinants of Funds of Hedge Funds' Performance

2006

Noël Amenc and Mathieu Vaissié.

Country-Specific ETFs: An Efficient Approach to Global Asset Allocation

2006

Joëlle Miffre

Disorderly exits from crowded trades? - On the systemic risks of hedge funds, A reply to the ECB's statement on hedge funds

2006

EDHEC-Risk

The Risks of Commodity Investing

2006

Hilary Till and Joseph Eagleeye

Separating the Wheat from the Chaff: Backwardation as the Long-Term Driver of Commodity Futures Performance; Evidence from Soy, Corn and Wheat Futures from 1950 to 2004

2006

Barry Feldman, Hilary Till

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

2006

Lionel Martellini

Measuring Risk-Adjusted Returns in Alternative Investments

2006

Hilary Till

The Risk Considerations Unique to Hedge Funds

2006

Hilary Till

Structural Sources of Return and Risk in Commodity Futures Investments

2006

Hilary Till

EDHEC European Alternative Diversification Practices Survey

2006

Noël Amenc, Walter Géhin, Jean-René Giraud, Lionel Martellini, Mathieu Vaissié

A Long-Term Perspective on Commodity Futures Returns

2006

Hilary Till

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