Patrimony

The Louis Bachelier Group's patrimony has been defined as all the publications produced by academic researchers thanks to Group funding (ILB, FdR, IEF, Labex) or via the use of EquipEx data (BEDOFIH, EUROFIDAI).


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Three essays on trend following strategies.

Construction de portefeuille, Fonds d'investissements, Hedge funds, Liquidity, Liquidité, Portfolio construction, Suivi de tendance, Trend following

Performance measurement and liquidity in the hedge fund industry.

Autocorrélation, Econometrics, Econométrie, Hedge funds, Limite à l'arbitrage, Limits to arbitrage, Liquidity, Liquidité, Mesure de performance, Modèles à facteurs, Multiple factors models, Performance measurement, Prime de risque, Risk premium, Serial-Correlation

The Dynamics of Hedge Fund Performance.

Fund managers, Hedge Funds, Measure of performance, Performance, Rating dynamics, Stochastic migration model

Performance fees and hedge fund return dynamics.

Hedge funds, High water mark, Manager incentive, Performance fees, Risk appetite

Hedge fund performance persists in the face of the financial crisis.

Absolute performance, Capital productivity, Crise financière, Global financial crisis (2008-2009), Hedge funds, Performance absolue, Performance persistance, Persistance de la performance

Performance measurement and liquidity in the hedge fund industry.

Autocorrélation, Econometrics, Econométrie, Hedge funds, Limite à l'arbitrage, Limits to arbitrage, Liquidity, Liquidité, Mesure de performance, Modèles à facteurs, Multiple factors models, Performance measurement, Prime de risque, Risk premium, Serial-Correlation

Essays on portfolio management and performance measurement: Johnson's distribution in alternative and structured management.

Assurance de portefeuille, Distribution de Johnson, Garch, Hedge funds, Johnson distribution, Mesure de performance, Performance measurement, Portfolio insurance

A Financial Fraud Detection Indicator for Investors: An IDeA.

Fraud Detection, Hedge Funds, Performance measurement, Robust Statistics