The European Financial Management 2008 Symposium, jointly organised by the EFM Association and EDHEC Business School, took place at the EDHEC Business School campus in Nice on the French Riviera from April 17 to April 19.
The Symposium focused on a broad range of subjects in the area of risk and asset management, including fund performance, stock market indexing, commodities, hedge funds and credit derivatives.
The keynote speaker at the symposium was Robert Arnott, Chairman and Founder of Research Affiliates, LLC and Editor of the Financial Analysts Journal. He has been a frequent contributor to leading financial journals and books and he has received five Graham and Dodd Scrolls and Awards, awarded annually by CFA Institute for best article of the year.
The symposium was chaired by Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre, and Professor of Finance, EDHEC Business School. Lionel is a member of the editorial board of The Journal of Portfolio Management and The Journal of Alternative Investments.
Accepted Papers
All papers accepted for the symposium are eligible for publication in a special issue of European Financial Management.
The list of accepted papers can be consulted at:
http://www.efmaefm.org/0EFMSYMPOSIUM/edhec-2008/sympopart.shtml.
Presentations
Thursday 17th April 2008
- Official Welcome
Presenter: Lionel Martellini
- Session A1:
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics
Presenter: Raphael Paschke, University of Mannheim
Discussant: Constantin Mellios, University Paris 1
- Session A1:
Optimal Dynamic Strategies in Commodity Futures Markets with a Stochastic Convenience Yield
Presenter: Constantin Mellios, University Paris 1
Discussant: Vincent Milhau, EDHEC Risk and Asset Management Research Centre
- Session A2:
Fund Managers' Institutional Background and the Birth of Investment Management Companies
Presenter: Robert Faff, Monash University
Discussant: Felix Goltz, EDHEC Risk and Asset Management Research Centre
- Session A2:
The Impact of Manager Changes on Fund Performance
Presenter: Natasha Todorovic, Cass Business School
Discussant: Niall O’Sullivan, University College Cork
- Session A3
Risk Management with Value-at-Risk and Stress Testing: An Alternative to Conditional Value-at-Risk?
Presenter: Gordon J. Alexander, University of Minnesota
Discussant: René Garcia, EDHEC Business School
- Session A3:
Improved Forecasts of Higher-Order Comoments and Implications for Portfolio Selection
Presenter: Volker Ziemann, EDHEC Risk and Asset Management Research Centre
- Session B1:
Commodities and Equities: A "Market of One?"
Presenter: Bahattin Buyuksahin, U.S. CFTC University
Discussant: Joëlle Miffre, EDHEC Business School
- Session B1:
The value premium and time-varying idiosynchratic risk
Presenter: Joëlle Miffre, EDHEC Business School
Discussant: Natasha Todorovic, Cass Business School
- Session B2:
Portfolio Performance Measurement: A No Arbitrage Bounds Approach
Presenter: Stéphane Chrétien, Laval University
Discussant: Devraj Basu, Risk and Asset Management Research Centre
- Session B2:
Mutual Fund Performance: Skill or Luck?
Presenter: Niall O’Sullivan, University College Cork
Discussant: Nicolas Papageorgiu, HEC Montreal
- Session B3:
A New Approach for Estimating the Equity Premium based on Credit Valuations
Presenter: Tobias Berg, Technical University Munich
Discussant: Marie Briere, Credit Agricole Asset Management
- Session B3:
Dependence Structure and Extreme Comovements in International Equity and Bond Markets with Portfolio Diversification Effects
Presenter: René Garcia, EDHEC Business School
Discussant: Laurent Bodson, HEC Management School - University of Liege
- Session C1:
New Paradigms in Stock Market Indexing
Presenter: Derek Jun, Princeton University
Discussant: Robert Faff, Monash University
- Session C1:
The Performance of Fundamentally Weighted Indices
Presenter: Felix Goltz, EDHEC Risk and Asset Management Research Centre
Discussant: Robert Faff, Monash University
- Session C2:
Determining and Forecasting High-Frequency Value at Risk by Using Levy Processes
Presenter: Wei Sun, University of Karlsruhe
Discussant: Volker Ziemann, EDHEC Risk and Asset Management Research Centre
- Session C2:
Estimating Asset Correlations From Stock Prices or Default Rates--Which Method is Superior?
Presenter: Klaus Duellmann, Deutsche Bundesbank
Discussant: Volker Ziemann, EDHEC Risk and Asset Management Research Centre
- Session C3:
Can Sentiment be predicted to have Cross-Sectional Effects?
Presenter: Thorsten Lehnert, Maastricht University
Discussant: Joëlle Miffre, EDHEC Business School
- Session C3:
Disposition bias and overconfidence in institutional trades
Presenter: Dries Heyman, Ghent University
Discussant: Sam Chung, Long Island University
- Keynote Presentation
Presenter: Robert Arnott, Research Affiliates, LLC
- Session D1:
Does Noise Create the Size and Value Effects?
Presenter: Jason Hsu, Research Affiliates, LLC
Discussant: Stéphane Chrétien, Laval University
- Session D1:
Total Volatility and the Cross Section of Expected Stock Returns
Presenter: Devraj Basu, EDHEC Risk and Asset Management Research Centre
Discussant: Ming-Yuan Li, National Cheng Kung University
- Session D2:
Compensation Option, Managerial Incentive, and Risk-Shifting in Hedge Funds
Presenter: Hossein Kazemi, University of Massachusetts
Discussant: Nicolas Papageorgiu, HEC Montreal
- Session D3:
Do Leveraged Credit Derivatives Modify Credit Asset Allocation?
Presenter: Marie Briere, Credit Agricole Asset Management
Discussant: Klaus Duellmann, Deutsche Bundesbank
- Session D3:
Do Inflation-Linked Bonds Still Diversify?
Presenter: Marie Briere, Credit Agricole Asset Management
Discussant: Natasha Todorovic, Cass Business School
- Session E1:
Portfolio Construction with Downside Risk
Presenter: Harald Lohre, Union Investment Institutional Gmbh
Discussant: Gordon J. Alexander, University of Minnesota
- Session E1:
TEV Sensitivity to Views in Black-Litterman Model
Presenter: Maria Debora Braga, University Valle d'Aosta
Discussant: Volker Ziemann, EDHEC Risk and Asset Management Research Centre
- Session E3:
Predictability and 'Good Deals' in Currency Markets
Presenter: Valerio Poti, Dublin City University
Discussant: Ming-Yuan Li, National Cheng Kung University
- Session E3:
Change in Regime and Optimal Domestic-Global Portfolio Diversification
Presenter: Ming-Yuan Li, National Cheng Kung University
Discussant: René Garcia, EDHEC Business School
Event Details |
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| When | Between 17/04/2008 08:30 AM and 19/04/2008 05:00 PM | |||
| Where | EDHEC Business School, 400 Promenade des Anglais, 06202 Nice Cedex 3, France | |||
| Web | European Financial Management 2008 Symposium on "Risk and Asset Management" | |||
Contact Details |
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| Name | Lionel Martellini | |||
| lionel.martellini@edhec.edu | ||||
| Phone | +33 (0)4 93 18 78 24 | |||
Attachments |
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Call for Papers
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Programme
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List of Participants
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