Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios

Accounting for Geographic Exposure in Performance and Risk Reporting for Equity Portfolios — March 2015

EDHEC-Risk Institute Publications (2012-2015)

2012 • Arias, L., P. Foulquier and A. Le Maistre. Les impacts de Solvabilité II sur la gestion obligataire (December). •  Arias, L., P. Foulquier and A. Le Maistre. The Impact of Solvency II on Bond Management (December). •  Amenc, N., and F. Ducoulombier. Proposals for better management of non-financial risks within the european fund management industry (December). •  Cocquemas, F. Improving Risk Management in DC and Hybrid Pension Plans (November). •  Amenc, N., F. Cocquemas, L. Martellini, and S. Sender. Response to the european commission white paper "An agenda for adequate, safe and sustainable pensions" (October). •  La gestion indicielle dans l'immobilier et l'indice EDHEC IEIF Immobilier d'Entreprise France (September). •  Real estate indexing and the EDHEC IEIF commercial property (France) index (September). • Goltz, F., S. Stoyanov. The risks of volatility ETNs: A recent incident and underlying issues (September). • Almeida, C., and R. Garcia. Robust assessment of hedge fund performance through nonparametric discounting (June). • Amenc, N., F. Goltz, V. Milhau, and M. Mukai. Reactions to the EDHEC study “Optimal design of corporate market debt programmes in the presence of interest-rate and inflation risks” (May). • Goltz, F., L. Martellini, and S. Stoyanov. EDHEC-Risk equity volatility index: Methodology (May). •  Amenc, N., F. Goltz, M. Masayoshi, P. Narasimhan and L. Tang. EDHEC-Risk Asian index survey 2011 (May). • Guobuzaite, R., and L. Martellini. The benefits of volatility derivatives in equity portfolio management (April). •  Amenc, N., F. Goltz, L. Tang, and V. Vaidyanathan. EDHEC-Risk North American index survey 2011 (March). •  Amenc, N., F. Cocquemas, R. Deguest, P. Foulquier, L. Martellini, and S. Sender. Introducing the EDHEC-Risk Solvency II Benchmarks – maximising the benefits of equity investments for insurance companies facing Solvency II constraints - Summary - (March). •  Schoeffler, P. Optimal market estimates of French office property performance (March). •  Le Sourd, V. Performance of socially responsible investment funds against an efficient SRI Index: The impact of benchmark choice when evaluating active managers – an update (March). • Martellini, L., V. Milhau, and A.Tarelli. Dynamic investment strategies for corporate pension funds in the presence of sponsor risk (March).

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An EDHEC-Risk Institute Publication