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.

Fractional Calculus and Fractional Processes with Applications to Financial Economics: Theory and Application

Abstract: Fractional Calculus and Fractional Processes with Applications to Financial Economics presents the theory and application of fractional calculus and fractional processes to financial data. Fractional calculus dates back to 1695 when Gottfried Wilhelm Leibniz first suggested the possibility of fractional derivatives. Research on fractional calculus started in full earnest in the second half of the twentieth century. The fractional paradigm applies not only to calculus, but also to stochastic processes, used in many applications in financial economics such as modelling volatility, interest rates, and modelling high-frequency data. The key features of fractional processes that make them interesting are long-range memory, path-dependence, non-Markovian properties, self-similarity, fractal paths, and anomalous diffusion behaviour. In this book, the authors discuss how fractional calculus and fractional processes are used in financial modelling and finance economic theory. It provides a practical guide that can be useful for students, researchers, and quantitative asset and risk managers interested in applying fractional calculus and fractional processes to asset pricing, financial time-series analysis, stochastic volatility modelling, and portfolio optimization.Provides the necessary background for the book's content as applied to financial economicsAnalyzes the application of fractional calculus and fractional processes from deterministic and stochastic perspectives

The Breaks in per Capita Productivity Trends in a Number of Industrial Countries

Abstract: The purpose of this article is to study the trends in per capita productivity in several major industrialised countries. The analysis is first based on annual data over a long period spanning the entire 20th century for the United States, France and the United Kingdom. Productivity trends are then studied over a shorter period, using quarterly data, for the United States, France, the United Kingdom, Germany, Spain, Japan and the Netherlands. There are already a large number of studies of this kind, but they are too often focused on presenting average productivity growth rates for given periods chosen on an ad hoc basis. In this article, we use a robust statistical method to endogenously identify possible breaks in per capita productivity trends. This method, developed by Bai and Perron (1998), brings out the following salient features: – in the United States, per capita productivity growth accelerated following the trend break at the start of the 1920s, then slowed down at the end of the 1960s. This finding is in line with the “Big Wave” concept developed by Gordon (1999, 2002) to describe the trends in US productivity growth throughout the 20 th century. – French and UK productivity started catching up with that in the United States around the end of the Second World War. – Most of the countries under review recorded slower trend productivity growth in the first half of the 1970s. In the United States, this break occurred in 1966. This finding differs from that of other existing analyses, which point to 1974. – Trend productivity growth in Europe and Japan slowed in the 1990s, whereas US productivity gained momentum over the same period.

Health and (Other) Asset Holdings

Abstract: Despite clear evidence of correlations between financial and medical statuses and decisions, most models treat financial and health-related choices separately. This paper bridges this gap by proposing a tractable dynamic framework for the joint determination of optimal consumption, portfolio holdings, health investment and health insurance. We solve for the optimal rules in closed form and capitalize on this tractability to gain a better understanding of the conditions under which separation between financial and health-related decisions is sensible, and of the pathways through which wealth and health determine allocations, welfare and other variables of interest such as expected longevity or the value of health. Furthermore we show that the model is consistent with the observed patterns of individual allocations and provide realistic estimates of the parameters that confirm the relevance of all the main characteristics of the model.

Stock Return Serial Dependence and Out-of-Sample Portfolio Performance

Abstract: We study whether investors can exploit serial dependence in stock returns to improve out-of-sample portfolio performance. We show that a vector-autoregressive (VAR) model captures stock return serial dependence in a statistically significant manner. Analytically, we demonstrate that, unlike contrarian and momentum portfolios, an arbitrage portfolio based on the VAR model attains positive expected returns regardless of the sign of asset return cross-covariances and autocovariances. Empirically, we show, however, that both the arbitrage and mean-variance portfolios based on the VAR model outperform the traditional unconditional portfolios only for transaction costs below ten basis points.