Edward Hoyle

Man AHL

Riverbank House

2 Swan Lane

London, EC4R 3AD

United Kingdom

SCHOLARLY PAPERS

7

DOWNLOADS
Rank 5,585

SSRN RANKINGS

Top 5,585

in Total Papers Downloads

8,400

SSRN CITATIONS
Rank 32,100

SSRN RANKINGS

Top 32,100

in Total Papers Citations

10

CROSSREF CITATIONS

14

Scholarly Papers (7)

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 3,707 (2,961)
Citation 3

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 1,936 (8,890)
Citation 19

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 1,655 (11,422)
Citation 2

Abstract:

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

4.

Strategic Risk Management: Out-of-Sample Evidence from the COVID-19 Equity Selloff

Number of pages: 11 Posted: 03 Aug 2020
Duke University - Fuqua School of Business, Man AHL, Man Group plc and Man AHL
Downloads 687 (41,586)

Abstract:

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Systemic risk, COVID-19, Pandemic, Drawdowns, Rebalancing, Tail risk, Hedging, Risk management, Volatility targeting, Trend following, Moving-average crossover

5.

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 340 (98,878)
Citation 1

Abstract:

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

6.

Modulated Information Flows in Financial Markets

Number of pages: 27 Posted: 25 Aug 2017 Last Revised: 14 May 2020
Man AHL, University College London and University College London
Downloads 39 (475,213)

Abstract:

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

7.

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 36 (488,697)

Abstract:

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