EDHEC Business School

About: EDHEC Business School is a education organization based out in Roubaix, France. It is known for research contribution in the topics: Portfolio & Capital asset pricing model. The organization has 294 authors who have published 1749 publications receiving 42687 citations. The organization is also known as: Ecole des Hautes Etudes Commerciales du Nord & EDHEC Business School.

Apprentissages et confiance au sein d'une alliance technologique

Abstract: Resume Le role joue par la confiance dans l'apprentissage organisationnel a ete mis en exergue, tant par les chercheurs en management strategique que par les gestionnaires. Cependant, les etudes empiriques restent relativement rares, en particulier dans le domaine des alliances interentreprises. Cet article tente de combler partiellement ce vide grâce a une exploration d’une alliance technologique. L’analyse met l’accent sur les interactions entre confiance et apprentissages, tant au niveau inter-individuel que collectif. Nous cherchons a individualiser les influences respectives de la confiance sur l’apprentissage (et vice-versa) et a en illustrer les mecanismes de renforcement mutuels. L’analyse montre notamment que : – La confiance et les apprentissages collectifs se fondent sur la confiance et les apprentissages individuels ; – Les apprentissages individuels et collectifs revetent une dimension cognitive et une dimension comportementale, qui s’appuient respectivement sur une confiance de competence et de bonne volonte ;

Robustness of Smart Beta Strategies

Abstract: There has been significant evidence that systematic equity investment strategies (so-called smart beta strategies) outperform the cap-weighted benchmarks in the long run. These strategies are usually marketed on the basis of outperformance. However, it is important to recognize that performance analysis is typically conducted on backtests that apply the smart beta methodology to historical stock returns. Concerning actual investment decisions, a relevant question is: How robust is the outperformance? The issue of robustness, as in extreme risk and performance attribution to well-defined risk factors, is not dealt with by index providers despite investors being wary of robustness of outperformance of various smart beta strategies. This article, with the use of single- and multi-factor indices, examines the causes of, and remedies for, lack of robustness and then provides a framework to evaluate the robustness of various smart beta strategies.

Dynamic Asset Allocation with Forwards and Futures

Abstract: Preface.- Acknowledgements.- Notations.- Part I: The Basics.- Forward and Futures Markets.- Standard Pricing Results Under Deterministic and Stochastic Interest Rates.- Part II: Investment and Hedging.- Pure Hedging.- Optimal Dynamic Portfolio Choice in Complete Markets.- Optimal Dynamic Portfolio Choice in Incomplete Markets.- Optimal Currency Risk Hedging.- Optimal Spreading.- Pricing and Hedging under Stochastic Dividend or Convenience Yield.- Part III: General Equilibrium Pricing.- Equilibrium Asset Pricing in an Endowment Economy with Non-Redundant Forward or Futures Contracts.- Equilibrium Asset Pricing in a Production Economy with Non-Redundant Forward or Futures Contracts.- General Equilibrium Pricing of Futures and Forward Contracts written on the CPI.- References.- Subject Index.

Financial Enterprise Risk Management

Abstract: Paul Sweeting has written a very comprehensive guide on enterprise risk management. It has some very nice features, and some disappointing ones. Since the book tries to cover an immense amount of m...