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Lionel Martellini
Option pricing and hedging problems cause basis risk
Option pricing and hedging cause problems when a futures contract is written on the underlying asset for the underlying asset. Using the optimal strategy is likely to generate meaningful welfare gains.......
Hedge Funds Review | 04 Apr 2011
Optimal portfolio selection in the presence of non-normally distributed asset returns
Research by Edhec shows that implementing hedge fund portfolio selection with higher-order moments can be achieved through suitable extensions of various statistical techniques.
Hedge Funds Review | 01 Dec 2010
Option pricing and hedging in the presence of cross-hedge risk
Dynamic hedging as an option is a possibility when the underlying asset is not available for trading and some other asset or portfolio is used as a substitute, although this may not always happen.
Hedge Funds Review | 31 Oct 2010
Optimal hedge fund allocation present challenges for hedge funds and FoHF managers
Research on optimal hedge fund allocation by Edhec Risk Institute and supported Newedge has potential implications for hedge fund and funds of hedge funds managers using portfolio optimisation.
Hedge Funds Review | 07 Sep 2010
Taking an asset-liability management approach to private wealth management
While the private banking industry is in general relatively well equipped on the tax planning side, with tools that can allow private bankers to analyse the situation of high net worth individuals operating......
Hedge Funds Review | 11 Jan 2010
Alternatives as inflation hedges
Most of modern asset pricing theory and portfolio selection analysis is based on fund separation theorems. These, in a nutshell, advocate that performance and risk are two conflicting objectives that are......
Hedge Funds Review | 01 Jan 2009
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