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Response to ESMA Consultation Paper to Implementing Measures for the AIFMD

2011

Noël Amenc, Samuel Sender

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

Long-Short Commodity Investing: Implications for Portfolio Risk and Market Regulation

2011

Joëlle Miffre

Structured Equity Investment Strategies for Long-Term Asian Investors

2011

Stoyan Stoyanov

Capturing the Market, Value, or Momentum Premium with Downside Risk Control: Dynamic Allocation Strategies with Exchange-Traded Funds

2011

Elie Charbit, Jean-René Giraud, Felix Goltz, Lin Tang

Market Risks in Asset Management Companies

2011

Bernd Scherer

A Review of the G20 Meeting on Agriculture: Addressing Price Volatility in the Food Markets

2011

Hilary Till

A Short Note on the Tobin Tax: The Costs and Benefits of a Tax on Financial Transactions

2011

Raman Uppal

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

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