• Factor investing and Risk premia ISTE Press - Elsevier, 2017

    E. Jurczenko (Editor), Ecole Hotelière Lausanne, Member of QMI

    ISTE/Elsevier, 1st Edition 2017, 480 pages.This new edited volume consists of a collection of original articles written by leading industry experts in the area of factor investing. The chapters introduce readers to some of the latest research developments in the area of equity and alternative investment strategies.Each chapter deals with new methods for constructing and harvesting traditional and alternative risk premia, building strategic and tactical multifactor portfolios, and assessing related systematic investment performances. This volume will be of help to portfolio managers, asset owners and consultants, as well as academics and students who want to improve their knowledge and understanding of systematic risk factor investing.

  • Special Issue on Recent Developments in Financial Econometrics, Annals of Economics and Statistics NUMBER 123 / 124, 2016

    S. Darolles, (Université Paris – Dauphine, Member of QMI), C. Gourieroux (University of Toronto and CREST, Member of QMI), Sébastien Laurent (IAE Aix-en-Provence)

  • Hedge Funds, Special Issue Bankers, Markets and Investors, 2016

    S. Darolles (Guest Editor), Université Paris – Dauphine, Member of QMI

    How Risky are Low-Risk Hedge Funds? - Hedge Funds Managerial Skill Revisited: A Quantile Regression Approach -New Insight on the Performance of Equity Long/short Investment Styles - Multi-Asset Seasonality and Trend-Following Strategies

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  • Contagion phenomena: Applications to portfolio management ISTE Press - Elsevier, 2015

    S. Darolles (Université Paris – Dauphine, Member of QMI), C. Gourieroux (University of Toronto and CREST, Member of QMI)

    ISTE/Elsevier, 1st Edition 2015, 166 pages. Much research into financial contagion and systematic risks has been motivated by the finding that cross-market correlations (resp. coexceedances) between asset returns increase significantly during crisis periods. Is this increase due to an exogenous shock common to all markets (interdependence) or due to certain types of transmission of shocks between markets (contagion)? Darolles and Gourieroux explain that an attempt to convey contagion and causality in a static framework can be flawed due to identification problems; they provide a more precise definition of the notion of shock to strengthen the solution within a dynamic framework. This book covers the standard pracitce for defining shocks in SVAR models, impulse response functions, identitification issues, static and dynamic models, leading to the challenges of measurement of systematic risk and contagion, with interpretations of hedge fund survival and market liquidity risks

  • Risk-Based and Factor Investing ISTE Press - Elsevier, 2015

    E. Jurczenko (Editor), ESCP Europe, Member of QMI

    ISTE/Elsevier, 1st Edition 2015, 486 pages.This book is a compilation of recent articles written by leading academics and practitioners in the area of risk-based and factor investing (RBFI). The articles are intended to introduce readers to some of the latest, cutting edge research encountered by academics and professionals dealing with RBFI solutions. Together the authors detail both alternative non-return based portfolio construction techniques and investing style risk premia strategies. Each chapter deals with new methods of building strategic and tactical risk-based portfolios, constructing and combining systematic factor strategies and assessing the related rules-based investment performances. This book can assist portfolio managers, asset owners, consultants, academics and students who wish to further their understanding of the science and art of risk-based and factor investing.

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  • Multi-Factor Factor Models and Signal Processing Techniques: Application to Quantitative Finance Wiley, 2013

    S. Darolles, (Université Paris – Dauphine, Member of QMI), C. Gourieroux, (University of Toronto and CREST, Member of QMI), E. Jay (Chaiman, QamLab, Member of QMI)

    With recent outbreaks of multiple large-scale financial crises, amplified by interconnected risk sources, a new paradigm of fund management has emerged. This new paradigm leverages “embedded” quantitative processes and methods to provide more transparent, adaptive, reliable and easily implemented “risk assessment-based” practices. This book surveys the most widely used factor models employed within the field of financial asset pricing. Through the concrete application of evaluating risks in the hedge fund industry, the authors demonstrate that signal processing techniques are an interesting alternative to the selection of factors (both fundamentals and statistical factors) and can provide more efficient estimation procedures, based on lq regularized Kalman filtering for instance. With numerous illustrative examples from stock markets, this book meets the needs of both finance practitioners and graduate students in science, econometrics and finance.

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