58 rue du Port
Lille, 59046
France
EDHEC Business School
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Aggregate idiosyncratic volatility, cross-sectional dispersion, prediction of market returns
Idiosyncratic volatility, cross-sectional distribution of returns, predictability of aggregate returns
portfolio choice, risk parity, diversification, concentration, principal component analysis
Equity benchmarks, non-cap weighted equity indices, efficient equity indices
Portfolio insurance, stochastic optimization, dynamic asset allocation
capital structure, debt management, stochastic interest rates
debt management, capital structure, debt structure
Alternative investments, hedge fund strategies, portfolio management, asset allocation
idiosyncratic risk, asset pricing, returns predictability, risk measurement