Improved Risk Reporting with Factor-Based Diversification Measures

Improved Risk Reporting with Factor-Based Diversification Measures — February 2014

EDHEC-Risk Institute Publications (2011-2014)

•  Amenc, N., F. Goltz, Martellini, L., and L. Tang. Improved beta? A comparison of index- weighting schemes (April). •  Amenc, N., F. Goltz, Martellini, L., and D. Sahoo. Is there a risk/return tradeoff across stocks? An answer from a long-horizon perspective (April). •  Sender, S. The elephant in the room: Accounting and sponsor risks in corporate pension plans (March). • Martellini, L., and V. Milhau. Optimal design of corporate market debt programmes in the presence of interest-rate and inflation risks (February).

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An EDHEC-Risk Institute Publication