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.

What do robust equity portfolio models really do

Abstract: Most of previous work on robust equity portfolio optimization has focused on its formulation and performance. In contrast, in this paper we analyze the behavior of robust equity portfolios to determine whether reducing the sensitivity to input estimation errors is all robust models do and investigate any side-effects of robust formulations. Therefore, our focus is on the relationship between fundamental factors and robust models in order to determine if robust equity portfolios are consistently investing more in the factors opposed to individual asset movements. To do so, we perform regressions with factor returns to explain how robust portfolios behave compared to portfolios generated from the Markowitz’s mean-variance model. We find that robust equity portfolios consistently show higher correlation with the three fundamental factors used in the Fama-French factor model. Furthermore, more robustness among robust portfolios results in a higher correlation with the Fama-French three factors. In fact, we show that as equity portfolios under no constraints on portfolio weights become more robust, they consistently depend more on the market and large factors. These results show that robust models are betting on the fundamental factors instead of individual asset movements.

Theoretical lenses for understanding the CSR-consumer paradox

Abstract: Consumer surveys repeatedly suggest that corporate social responsibility (CSR) and products’ social, environmental, or ethical attributes enhance consumers’ purchase intentions. The realization that CSR still has only a minor impact on consumers’ actual purchase decisions thus represents a puzzling paradox. Whereas prior literature on consumer decision making provides valuable insights into the factors that impede or facilitate consumers’ socially responsible consumption decisions, such elements may be only the tip of the iceberg. To gain a fuller understanding of the CSR–consumer paradox, this study proposes investigating the phenomenon through additional theoretical lenses, namely, a clinical psychology, an evolutionary psychology/biology, a social psychology, and an economic and economic psychology lens. From these four unique theoretical lenses, the authors derive an integrative framework and draw several propositions for further research.

An artificial immune system algorithm for the resource availability cost problem

Abstract: In this paper, an artificial immune system (AIS) algorithm for the resource availability cost problem (RACP) is presented, in which the total cost of the (unlimited) renewable resources required to complete the project by a pre-specified project deadline should be minimized. The AIS algorithm makes use of mechanisms inspired by the vertebrate immune system and includes different algorithmic components, such as a new fitness function, a probability function for the composition of the capacity lists, and a K-means density function in order to avoid premature convergence. All components are explained in detail and computational results for the RACP are presented.

Amaranth Lessons Thus Far

Abstract: In September 2006, Amaranth Advisors, LLC collapsed under the weight of losses, which were reported as $6.6-billion. This collapse triggered a debate on current risk management practices as well as a major investigation by the United States Senate. There are many surprising aspects of this debacle. How could a well-respected hedge fund implode so quickly? Could this multi-strategy hedge fund really have become one big bet on winter natural gas prices? How could Amaranth have amassed such huge derivatives positions in natural gas without any regulators noticing? Given the scale of Amaranth9s losses, why didn9t this debacle lead to wider systematic distress in the financial markets? This article will provide some answers to these questions by reviewing and analyzing the publicly available information that is known as of this point. Specifically it will address, Amaranth9s energy trading strategies, the fundamental rationale for these strategies, basic risk analyses and the U.S. government9s response.