Laurent Favre

AlternativeSoft

London

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 19,520

SSRN RANKINGS

Top 19,520

in Total Papers Downloads

5,035

SSRN CITATIONS

2

CROSSREF CITATIONS

5

Ideas:
“  In 2019, I have finished a model on forecasting long only mutual funds returns without using momentum nor reversal. It works with 2%-6% annual outperformance above any equity or fixed income Morningstar groups.  ”

Scholarly Papers (4)

1.

Hedge Funds Allocation: Case Study of a Swiss Institutional Investor

Number of pages: 80 Posted: 21 Mar 2001
Laurent Favre and José-Antonio Galeano
AlternativeSoft and Lombard Odier & Cie
Downloads 2,789 (9,321)
Citation 5

Abstract:

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Hedge funds allocation, hedge fund, hedge funds, portfolio, optimal, risk, value-at-risk, skewness, kurtosis, laurent, favre, financial economics, business economics

2.

How to Price Hedge Funds: From Two- to Four-Moment CAPM

UBS Research Paper
Number of pages: 31 Posted: 09 Aug 2004 Last Revised: 09 Jun 2014
Angelo Ranaldo and Laurent Favre
University of Basel - Faculty of Business and Economics and AlternativeSoft
Downloads 2,246 (13,235)
Citation 11

Abstract:

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Hedge funds, CAPM, higher moments, skewness, kurtosis, required rate of return

3.

Hedge Fund Performance and Higher-Moment Market Models

Journal of Alternative Investments, Winter 2005
Posted: 13 Jan 2006
Angelo Ranaldo and Laurent Favre
University of Basel - Faculty of Business and Economics and AlternativeSoft

Abstract:

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Hedge Funds, Higher Moments, Skewness, Kurtosis, Coskewness, and Cokurtosis

4.

The Inclusion of Hedge Funds in Swiss Pension Fund Portfolios

Financial Markets and Portfolio Management, Vol. 15, No. 4, pp. 450-472, 2001
Posted: 03 Sep 2005
Jose Galeano and Laurent Favre
Banque Cantonale Vaudoise and AlternativeSoft

Abstract:

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Other Papers (4)

Total Downloads: 195
1.

Black-Litterman Based Portfolio Optimization

Number of pages: 3 Posted: 20 Oct 2012 Last Revised: 07 Dec 2012
Krishna Nehra and Laurent Favre
AlternativeSoft.com and AlternativeSoft
Downloads 76

Abstract:

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Black-Litterman, Mean-Variance optimization, Mean-Conditional VaR optimization, Mean-Modified VaR optimization

2.

Asset Classes' Expected Performance Based on Macro-Economic Views

Number of pages: 1 Posted: 11 Jan 2013
Krishna Nehra and Laurent Favre
AlternativeSoft.com and AlternativeSoft
Downloads 67

Abstract:

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3.

Driving Factors During the 2007-2009 Credit Crisis

Number of pages: 3 Posted: 08 Feb 2013
Krishna Nehra and Laurent Favre
AlternativeSoft.com and AlternativeSoft
Downloads 52

Abstract:

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Principal component analysis, credit crisis

4.

Quick & Easy Investing: The Alternative Beta Approach Revisited

Posted: 01 Dec 2012 Last Revised: 07 Feb 2013
Krishna Nehra and Laurent Favre
AlternativeSoft.com and AlternativeSoft

Abstract:

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Alternative beta