Edward Hoyle

Man AHL

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

6

DOWNLOADS
Rank 7,994

SSRN RANKINGS

Top 7,994

in Total Papers Downloads

5,684

SSRN CITATIONS
Rank 44,688

SSRN RANKINGS

Top 44,688

in Total Papers Citations

4

CROSSREF CITATIONS

7

Scholarly Papers (6)

1.

The Best of Strategies for the Worst of Times: Can Portfolios be Crisis Proofed?

Number of pages: 26 Posted: 31 May 2019
Duke University - Fuqua School of Business, Man AHL, Man Group plc, Man AHL, Man Numeric and Man AHL
Downloads 2,274 (5,892)

Abstract:

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Crisis hedge, Crisis alpha, Recessions, Flight to quality, Drawdown, Downside risk, Portfolio protection, Portfolio hedging, Insurance, Put options, Option-based hedging, Portfolio insurance, Futures, Trend following, Momentum, Quality, Profitability, Gold, Positive convexity, Safe-haven investments

2.

The Impact of Volatility Targeting

Number of pages: 28 Posted: 17 May 2018 Last Revised: 11 Jul 2018
Duke University - Fuqua School of Business, Man AHL, Man AHL, Man Group plc, Man AHL and Man AHL
Downloads 1,518 (11,511)
Citation 10

Abstract:

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volatility, volatility targeting, balanced fund, risk parity, asset allocation, portfolio choice

3.

The Best Strategies for the Worst Crises

Number of pages: 23 Posted: 16 Jun 2017
Man AHL, Man AHL, Man AHL, Man Numeric and Man AHL
Downloads 1,502 (11,713)
Citation 2

Abstract:

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trend following, quality, momentum, crisis hedge, crisis alpha, futures, equities

4.

Volatility Scaling's Impact on the Sharpe Ratio

Number of pages: 10 Posted: 15 Nov 2018
Edward Hoyle and Neil Shephard
Man AHL and Harvard University
Downloads 320 (94,710)

Abstract:

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asset allocation, precision process, risk parity, sharpe ratio, time-varying volatility

5.

Modulated Information Flows on Random Point Fields

Number of pages: 23 Posted: 25 Aug 2017 Last Revised: 10 Jan 2019
Man AHL, University College London and University College London
Downloads 35 (448,662)

Abstract:

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Filtration models, jump-diffusion dynamics, point processes, stochastic volatility, information-based modelling, asymmetric information.

6.

Stable-½ Bridges and Insurance

To appear in: Advances in Mathematics of Finance (A. Palczewski and L. Stettner, editors.), Banach Center Publications, Polish Academy of Science, Institute of Mathematics.
Number of pages: 27 Posted: 11 Apr 2014
Edward Hoyle, Lane Hughston and Andrea Macrina
Man AHL, Goldsmiths College, University of London and University College London
Downloads 35 (448,662)

Abstract:

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non-life reserving, claims development, reinsurance, best estimate of ultimate loss, information-based asset pricing, Levy processes, stable processes