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

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics

2012

Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi

Response to the European Commission White Paper "An Agenda for Adequate, Safe and Sustainable Pensions"

2012

Noël Amenc, François Cocquemas, Lionel Martellini, Samuel Sender

Competition in Portfolio Management: Theory and Experiment

2011

Elena Asparouhova, Peter Bossaerts, Jernej Copic, Brad Cornell, Jaksa Cvitanic, Debrah Meloso

Life-Cycle Investing In Private Wealth Management

2011

Romain Deguest, Lionel Martellini, Vincent Milhau

EDHEC-Risk European Index Survey 2011

2011

Noel Amenc, PhD, Felix Goltz,Lin Tang

Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification

2011

Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang

Improved Beta? A Comparison Of Index-Weighting Schemes

2011

Noël Amenc, Felix Goltz, Lionel Martellini, Shuyang Ye

Bond Liquidity Premia

2011

Jean-Sébastien Fontaine, René Garcia

Risk Parity - Rewards Risks and Research Opportunities

2011

Barry Schachter, S. Ramu Thiagarajan

Idiosyncratic Risk and the Pricing of Poorly-Diversified Portfolios

2011

Chris Brooks, Xiafei Li, Joëlle Miffre

A Variational Approach to Contracting under Imperfect Observations

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu

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