Institution
EDHEC Business School
Education•Roubaix, France•
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.
Topics: Portfolio, Capital asset pricing model, Volatility (finance), Risk premium, Asset allocation
Papers published on a yearly basis
Papers
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TL;DR: Focardi and Fabozzi as discussed by the authors discuss the importance of risk management in investment banking and risk management, and propose a framework for risk management at the de Vinci University in Paris.
Abstract: 1. Sergio M. Focardi
1. is professor of finance and Director of the Master’s Program in Investment Banking and Risk Management at de Vinci University in Paris, France. (sergio.focardi{at}devinci.fr)
2. Frank J. Fabozzi
1. is the editor of JPM and a professor of finance at EDHEC
6 citations
Posted Content•
TL;DR: The authors analyzed the importance of asset allocation by economic sector and by size and style in purely U.S. stock portfolios and found that allocation policy explains one-third to nearly three-quarters of among-fund variation in returns, nearly 90 percent of across-time variation, and more than 100 percent of the level of stock portfolio returns.
Abstract: The importance of asset allocation policy in stock/bond portfolios is widely recognized. Drawing a parallel for equity-only portfolios, this study analyzed the importance of allocation by economic sector and by size and style in purely U.S. stock portfolios and the importance of regional allocation policy in international stock portfolios. The study found that allocation policy explains one-third to nearly three-quarters of among-fund variation in returns, nearly 90 percent of across-time variation, and more than 100 percent of the level of stock portfolio returns.
6 citations
TL;DR: In this article, the Black-Scholes-Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions, and the discontinuity puzzle in option pricing is resolved.
Abstract: The objective of this paper is to introduce the theory of option pricing for markets with informed traders within the framework of dynamic asset pricing theory. We introduce new models for option pricing for informed traders in complete markets where we consider traders with information on the stock price direction and stock return mean. The Black-Scholes-Merton option pricing theory is extended for markets with informed traders, where price processes are following continuous-diffusions. By doing so, the discontinuity puzzle in option pricing is resolved. Using market option data, we estimate the implied surface of the probability for a stock upturn, the implied mean stock return surface, and implied trader information intensity surface.
6 citations
TL;DR: This article reviewed over a century of commodity price volatility, there are episodes of low volatility and high volatility, which would indicate that this may be a pattern of recurrent phenomena, and it may be wise to focus on how to manage price volatility rather than believe that this phenomenon can be eradicated.
Abstract: Food price volatility has spiked to levels last seen in the 1970s. For low-income countries, food price hikes, such as have occurred recently, tend to significantly increase the incidence of intra-state conflicts, according to IMF research. The 2007-2008 food crisis, and the resumption of more recent food price spikes, clearly have a number of causes. That said, in reviewing over a century of commodity price volatility, there are episodes of low volatility and high volatility, which would indicate that this may be a pattern of recurrent phenomena. As a result, it may be wise to focus on how to manage price volatility rather than believe that this phenomenon can be eradicated.
6 citations
TL;DR: In this paper, the authors developed a model of optimal contracting where firms finance their R&D expenditures with an investor who cannot verify their effort, and showed that firms are more likely to win the more cash and assets they hold prior to the race, and the less assets their rivals hold before the race.
Abstract: This paper studies the impact of financing constraints in patent races. We develop a model of optimal contracting where firms finance their R&D expenditures with an investor who cannot verify their effort. In equilibrium, firms are more likely to win the more cash and assets they hold prior to the race, and the less cash and assets their rivals hold prior to the race. Evidence from US pharmaceutical patents awarded between 1975 and 1999 supports our theoretical predictions.
6 citations
Authors
Showing all 311 results
| Name | H-index | Papers | Citations |
|---|---|---|---|
| Lionel Martellini | 67 | 204 | 43434 |
| Frank J. Fabozzi | 60 | 845 | 15469 |
| Christophe Croux | 55 | 296 | 12839 |
| Giuseppe Bertola | 53 | 231 | 12704 |
| Jeffrey J. Reuer | 53 | 180 | 11133 |
| Florencio Lopez-de-Silanes | 49 | 107 | 76801 |
| Jakša Cvitanić | 43 | 127 | 6500 |
| Mohamed El Hedi Arouri | 43 | 212 | 7460 |
| Martin Wetzels | 41 | 117 | 11718 |
| René Garcia | 40 | 172 | 7026 |
| Raman Uppal | 39 | 111 | 8697 |
| Ekkehart Boehmer | 38 | 81 | 8493 |
| Maurizio Zollo | 34 | 96 | 13546 |
| Laurent E. Calvet | 33 | 98 | 5718 |
| Wolfgang Ulaga | 31 | 58 | 9609 |