Laurent Favre

AlternativeSoft

London

United Kingdom

SCHOLARLY PAPERS

4

DOWNLOADS
Rank 10,157

SSRN RANKINGS

Top 10,157

in Total Papers Downloads

4,547

CITATIONS

7

Ideas:
“  I have finished a model on forecasting long only mutual funds returns without using momentum nor reversal. It works with 2%-6% annual returns for whatever 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 2,673 (4,381)
Citation 3

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 St. Gallen and AlternativeSoft
Downloads 1,874 (8,009)
Citation 9

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 St. Gallen and AlternativeSoft

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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: 99
1.

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 47

Abstract:

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2.

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 28

Abstract:

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

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 24

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