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, the authors extend the existing literature, which has mostly focused on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters and find that the use of these enhanced estimates generates a significant improvement in investors' welfare.
Abstract: In the presence of nonnormally distributed asset returns, optimal portfolio selection techniques require estimates for variance-covariance parameters, along with estimates for higher-order moments and comoments of the return distribution. This is a formidable challenge that severely exacerbates the dimensionality problem already present with mean-variance analysis. This article extends the existing literature, which has mostly focused on the covariance matrix, by introducing improved estimators for the coskewness and cokurtosis parameters. We find that the use of these enhanced estimates generates a significant improvement in investors' welfare. We also find that it is only when improved estimators are used that portfolio selection with higher-order moments dominates mean-variance analysis from an out-of-sample perspective. The Author 2009. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please email: journals.permissions@oxfordjournals.org, Oxford University Press.
184 citations
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TL;DR: In this article, the authors used a newly assembled sample of 1,528 regions from 83 countries to compare the speed of per capita income convergence within and across countries, and found that regional growth is shaped by similar factors as national growth, such as geography and human capital.
Abstract: We use a newly assembled sample of 1,528 regions from 83 countries to compare the speed of per capita income convergence within and across countries. Regional growth is shaped by similar factors as national growth, such as geography and human capital. Regional convergence rate is about 2 % per year, comparable to that between countries. Regional convergence is faster in richer countries, and countries with better capital markets. A calibration of a neoclassical growth model suggests that significant barriers to factor mobility within countries are needed to account for the evidence.
183 citations
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15 Dec 2012TL;DR: In the Markowitz mean-variance framework, an investor's objective is to choose a portfolio of securities that has the largest expected return for a given level of risk (as measured by the portfolio's variance).
Abstract: One of the key tasks in seeking to generate attractive returns is producing realistic and reasonable return expectations and forecasts. In the Markowitz mean-variance framework, an investor's objective is to choose a portfolio of securities that has the largest expected return for a given level of risk (as measured by the portfolio's variance). In the case of common stock, by return (or expected return) of a stock, we mean the change (or expected change) in the stock price over the period, plus any dividends paid, divided by the starting price. Of course, since we do not know the true values of the securities’ expected returns and covariances, these must be estimated or forecasted. Equity portfolio managers have used various statistical models for forecasting returns and risk. These models, referred to as predictive return models, make conditional forecasts of expected returns using the current information set. Predictive return models include regressive models, linear autoregressive models, dynamic factor models, and hidden-variable models.
Keywords:
Theorie de la Speculation;
The Theory of Speculation;
information set;
predictability;
multivariate random walks;
martingales;
martingale;
predictive return models;
Regressive model;
Linear autoregressive model;
Dynamic factor model;
Hidden-variable model;
autoregressive model;
approximate;
limited
181 citations
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TL;DR: The agricultural supply chains (ASCs) are exposed to unprecedented risks following COVID-19 and it is necessary to investigate the impact of risks and to create resilient ASC organizations as discussed by the authors.
Abstract: The agricultural supply chains (ASCs) are exposed to unprecedented risks following COVID-19. It is necessary to investigate the impact of risks and to create resilient ASC organisations. In this st...
181 citations
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TL;DR: In response to initial voices that put the customer experience (management) (CX(M)) movement into question, this article introduced a formal nomenclature to push the CX (M) field toward a mor...
Abstract: In response to initial voices that put the customer experience (management) (CX(M)) movement into question, this article aims to introduce a formal nomenclature to push the CX(M) field toward a mor...
178 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 |