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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

Skin in the Game versus Skimming the Game: Governance, Share Restrictions and Insider Flows

2011

Gideon Ozik, Ronnie Sadka

A New Measure of Equity Duration: The Duration-Based Explanation of the Value Premium Revisited

2011

David Schröder, Florian Esterer

An Integrated Approach To Sovereign Wealth Risk Management

2011

Bernd Scherer

Bond Liquidity Premia

2011

Jean-Sébastien Fontaine, René Garcia

Force-fitting CDS Spreads to CDS Index Swaps

2011

Dominic O’Kane

Into a Distant Mirror: the 1870s

2011

Hilary Till

Intelligent Commodity Trading and Risk Management

2011

Hilary Till

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 Review of Corporate Bond Indices: Construction Principles, Return Heterogeneity, and Fluctuations in Risk Exposures

2011

Felix Goltz, Carlos Heitor Campani

Measuring High-Frequency Causality between Returns, Realised Volatility and Implied Volatility

2011

Jean-Marie Dufour, René Garcia, Abderrahim Taamouti

A Variational Approach to Contracting under Imperfect Observations

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu

Markets With Random Lifetimes and Private Values: Mean-Reversion and Option to Trade

2011

Jakša Cvitanic, Charles Plott, Chien-Yao Tseng

Direct and Indirect Effects of Index ETFs on Spot-Futures Pricing and Liquidity: Evidence from the CAC 40 Index

2011

Laurent Deville, Carole Gresse, Béatrice de Séverac

Correlation vs. Trends: A Common Misinterpretation

2011

François-Serge Lhabitant

The European Fund Management Industry Needs a Better Grasp of Non-financial Risks

2011

Noël Amenc, Samuel Sender

Idiosyncratic Risk and the Cross-Section of Stock Returns

2011

Rene Garcia, Daniel Mantilla-Garcia, Lionel Martellini

Optimal Design of Corporate Market Debt Programmes in the Presence of Interest-Rate and Inflation Risks

2011

Lionel Martellini, Vincent Milhau

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

2011

Samuel Sender

Limit Order Markets, High Frequency Traders and Asset Prices

2011

Jakša Cvitanic, Andrei Kirilenko

Asset Prices with Heterogeneity in Preferences and Beliefs

2011

Harjoat S. Bhamra, Raman Uppal

The Alpha of a Market Timer

2011

Georges Hübner

Improving Portfolio Selection Using Option-Implied Volatility and Skewness

2011

Victor DeMiguel, Yuliya Plyakha, Raman Uppal, Grigory Vilkov

A Hedge Fund Investor's Guide to Understanding Managed Futures

2011

Hilary Till, Joseph Eagleeye

How to Construct Fundamental Risk Factors?

2011

Georges Hübner, Marie Lambert

Option Pricing and Hedging in the Presence of Basis Risk

2011

Lionel Martellini, Vincent Milhau

Optimal Contracting with Effort and Misreporting

2011

Agostino Capponi, Jakša Cvitanic, Türkay Yolcu

Assessing Misspecified Asset Pricing Models with Empirical Likelihood Estimators

2011

Caio Almeida, René Garcia

Asset Allocation with Shadow Assets

2011

Bernd Scherer

A Post-crisis Perspective on Diversification for Risk Management

2011

Noël Amenc, Felix Goltz, Stoyan Stoyanov

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