Improved Risk Reporting with Factor-Based Diversification Measures

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

About the Authors

Tiffanie Carli is a research assistant at EDHEC-Risk Institute. She holds a master's degree in financial engineering (EDHEC Business School) and is currently following a Master of Science in quantitative finance (Centrale Paris). Her main field of study is financial markets.

Romain Deguest is a senior research engineer at EDHEC-Risk Institute. His research on portfolio selection problems and continuous-time asset- pricing models has been published in leading academic journals and presented at numerous seminars and conferences in Europe and North America. He holds masters degrees in Engineering (ENSTA) and Financial Mathematics (Paris VI University), as well as a PhD in Operations Research from Columbia University and Ecole Polytechnique. Lionel Martellini is professor of finance at EDHEC Business School and scientific director of EDHEC-Risk Institute. He has graduate degrees in economics, statistics, and mathematics, as well as a PhD in finance from the University of California at Berkeley. Lionel is a member of the editorial board of the Journal of Portfolio Management and the Journal of Alternative Investments . An expert in quantitative asset management and derivatives valuation, his work has been widely published in academic and practitioner journals and has co-authored textbooks on alternative investment strategies and fixed-income securities.

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An EDHEC-Risk Institute Publication