EDHEC-Risk Institute Partner News

Selected Research Dissemination
Key research information disseminated to over 750,000
practitioners by EDHEC-Risk Institute through both
regular newsletters and dedicated e-mailings during
the same period includes:
January
• The European Fund Management Industry
Needs a Better Grasp of Non-financial Risks
CACEIS “Risk and Regulation in the European Fund
Management Industry“ research chair publication
This publication looks at how non-financial risks
and failures have impacted the regulatory agenda
in Europe and traces the management of liquidity,
counterparty, compliance, misinformation, and other
financial risks in the fund industry.
• Giants at the Gate: On the Cross-Section of
Private Equity Investment Returns
EDHEC-Risk working paper
This paper examines the determinants of private
equity returns using a newly constructed worldwide
database of 7,500 investments made over forty years.
• Media and Investment Management
EDHEC-Risk working paper
This paper measures the differential impact of
alternative media outlets by classifying news items
about equity hedge funds over 1999 to 2008 into
three source groups and applying a textual analysis to
news items to uncover media biases.
• Risk Control through Dynamic Core-Satellite
Portfolios of ETFs: Applications to Absolute
Return Funds and Tactical Asset Allocation
Amundi ETF “Core-Satellite and ETF Investment”
research chair publication
This publication draws on dynamic risk-budgeting
techniques to emphasise the importance of risk
management when decisions to allocate to ETFs are
made. A revisited version of this working paper was
published in the Fall 2010 issue of the Journal of
Alternative Investments.
• Adoption of Green Investing by Institutional
Investors: A European Survey
EDHEC-Risk publication
This survey reviews the concept of green investing and
reports the results of a European survey of investment
management professionals with the objective of
providing background on industry and academic
research into green investing and assessing the views
and uses of green investing.
February
• Option Pricing and Hedging in the Presence of
Basis Risk
French Banking Federation (FBF) “Structured Products
and Derivatives” research chair publication
This document addresses the problem of option
hedging and pricing when a futures contract, written
either on the underlying asset or on some imperfectly
correlated substitute for the underlying asset, is used
in the dynamic replication of the option payoff.
• Index-Exciting CAViaR: A New Empirical Time-
Varying Risk Model
EDHEC-Risk working paper
This paper explores more flexible CAViaR models
that allow VaR prediction to depend upon a richer
information set involving returns on an index.
• Alternative Measurement Bases in Pension
Accounting: A Simulation Analysis
EDHEC-Risk working paper
This paper explores the financial statement
implications of alternative measurement bases
underlying defined benefit pension accounting rules
via a simulation analysis.
• Asset-Liability Management Decisions for
Sovereign Wealth Funds
Deutsche Bank “Asset-Liability Management
Techniques for Sovereign Wealth Fund Management”
research chair publication
This publication proposes a quantitative dynamic
asset allocation framework for sovereign wealth
funds, modelled as large long-term investors that
manage fluctuating revenues typically emanating
from budget or trade surpluses in the presence of
stochastic investment opportunity sets.
• Bankers, Markets & Investors November/
December 2010 issue
A special issue of Bankers, Markets & Investors
produced on the occasion of the EDHEC-Risk
Institutional Days 2010 in Monaco and featuring
research by EDHEC-Risk Institute on the following
topics: Towards the Design of improved Forms of
Target-Date Funds, Why Pension Funds should Favour
EDHEC-Risk Institute Partner News - Issue nº 5 - April 2011 - 10