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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

Unlisted Infrastructure Debt Valuation & Performance Measurement: Theoretical Framework and Data Collection Requirements

2014

Frédéric Blanc-Brude, Majid Hasan, Omneia R.H. Ismail

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

2014

Frederic Blanc-Brude, Frederic Ducoulombier

Dynamic Allocation Strategies for Absolute and Relative Loss Control

2014

Daniel Mantilla-Garcia

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

2014

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

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

2014

Maxime Bonelli, Daniel Mantilla-Garcia

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

2014

Lixia Loh, Stoyan Stoyanov

A Predictive System with Heteroscedastic Expected Returns and Economic Constraints

2014

Maxime Bonelli, Daniel Mantilla-Garcia

Catastrophe Bonds: An Important New Financial Instrument

2014

Michael Edesess

Equal or Value Weighting? Implications for Asset-Pricing Tests

2014

Yuliya Plyakha, Raman Uppal, Grigory Vilkov

Global Style Portfolios Based on Country Indices

2014

Timotheos Angelidis, Nikolaos Tessaromatis

Benchmarking Long-Term Investment in Infrastructure: Objectives, Roadmap and Recent Progress

2014

Frédéric Blanc-Brude

A Proposal for an Interest Rate Dampener for Solvency II to Manage Pro-Cyclical Effects and Improve Asset-Liability Management

2014

Philippe Foulquier, Mohamed El Hedi Arouri, Alexandre Le Maistre

Why Some Futures Contracts Succeed and Others Fail: A Survey of Relevant Research

2014

Hilary Till

OPEC Spare Capacity and the Term Structure of Oil Futures Prices

2014

Hilary Till

On the Rate of Return and Valuation of Non-Conventional Projects

2014

Carlos Heitor Campani

Quantitative Portfolio Construction and Systematic Trading Strategies using Factor Entropy Pooling

2014

Attilio Meucci, David Ardia, Marcello Colasante

The Importance of the Structural Shape of Crude Oil Futures Curves

2014

Hilary Till

The History of Financial Derivatives: A 2-Part Feature

2014

Hilary Till

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

2014

Lionel Martellini, Vincent Milhau, Andrea Tarelli

The Fund of Hedge Fund Selection Puzzle: A Pragmatic Approach to Identify the X-Factor

2014

Serge Darolles, Mathieu Vaissié

Growth Optimal Portfolio Insurance For Long-Term Investors

2014

Daniel Mantilla-García

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

2014

Lixia Loh, Stoyan Stoyanov

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

2014

Dominic OKane

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

2014

Noël Amenc, Frédéric Ducoulombier

The EDHEC European ETF Survey 2013

2014

Frédéric Ducoulombier, Felix Goltz, Véronique Le Sourd, Ashish Lodh

Do Multiple Credit Ratings Signal Complexity? Evidence from the European Triple-A Structured Finance Securities

2014

Frank J. Fabozzi, Mike E. Nawas, Dennis Vink

Comparing Different Regulatory Measures to Control Stock Market Volatility: A General Equilibrium Analysis

2014

Adrian Buss, Bernard Dumas, Raman Uppal, Grigory Vilkov

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

2014

Saad Badaoui, Romain Deguest, Lionel Martellini, Vincent Milhau

Improved Risk Reporting With Factor-Based Diversification Measures

2014

Tiffanie Carli, Romain Deguest, Lionel Martellini

Why Haven't Weather Derivatives Been More Successful as Futures Contracts? A Case Study

2014

Hilary Till

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