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: In this paper, a review of recent academic studies that analyze the performance of long-short strategies in commodity futures markets is presented, focusing on the strategies based on roll-yields, inventory levels or hedging pressure.
33 citations
TL;DR: In this article, the authors assess the effect of auctions in accelerating the addition of renewable capacity through three econometric models: fixed-effects multivariate regression, statistical matching and synthetic control.
32 citations
TL;DR: In this paper, a survey of risk management practices among Italian non-financial firms is presented, which examines determinants of currency and interest rate derivative use with respect currency and to firm size, geographical location, rating, industry, access to capital markets and educated management.
Abstract: This paper surveys risk management practices among Italian non-financial firms. This paper's contribution lies in investigating derivative usage particular to Italian businesses, a group whose public disclosure of derivative instruments is not routine. Italy is characterised by a high percentage of small and medium sized family run firms. The survey examines determinants of currency and interest rate derivative use with respect currency and to firm size, geographical location, rating, industry, access to capital markets and educated management. The results from the logistic regressions suggest that Italian non-financial firms’ use of derivative contracts is strongly influenced by these characteristics.
32 citations
TL;DR: In this article, the authors developed real-time proxies of retail corporate sales from multiple sources, including ∼50 million mobile devices, and found that managers do not fully disclose their private information and instead bias their disclosures down when in possession of positive private information.
32 citations
TL;DR: In this paper, the authors investigate the behavior of robust portfolios by analytically describing how robustness leads to higher dependency on factor movements, and show that as the robustness of a portfolio increases, its optimal weights approach the portfolio with variance that is maximally explained by factors.
Abstract: Robust portfolio optimization has been developed to resolve the high sensitivity to inputs of the Markowitz mean–variance model. Although much effort has been put into forming robust portfolios, there have not been many attempts to analyze the characteristics of portfolios formed from robust optimization. We investigate the behavior of robust portfolios by analytically describing how robustness leads to higher dependency on factor movements. Focusing on the robust formulation with an ellipsoidal uncertainty set for expected returns, we show that as the robustness of a portfolio increases, its optimal weights approach the portfolio with variance that is maximally explained by factors.
32 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 |