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Asset Allocation and Alternative Diversification
Alternative Investments - June 25, 2009

Newedge "Advanced Modelling for Alternative Investments" Research Chair

The aim of the Newedge "Advanced Modelling for Alternative Investments" research chair is to develop advanced modelling techniques that can be used for alternative investment returns.

The research chair will expand the frontiers in alternative investment modelling techniques by enhancing the understanding of the dynamic and non-linear relationship between alternative investment returns and the returns on underlying fundamental systematic factors, and analysing the implications in terms of the management of portfolios including alternative investments

The chair is under the leadership of Lionel Martellini, scientific director of EDHEC-Risk Institute.

[Press release announcing the creation of the research chair (25/06/09)]


Research output:

•Passive Hedge Fund Replication – Beyond the Linear Case; Noël Amenc, Lionel Martellini, Jean-Christophe Meyfredi, Volker Ziemann; September 2009

•Improved Estimates of Higher-Order Comoments and Implications for Portfolio Selection; Lionel Martellini, Volker Ziemann; February 2010


Related Research:

• EDHEC-Risk Hedge Fund Reporting Survey 2008, sponsored by Newedge.