HEC Liège, Management School of the University of Liège
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performance measurement, portfolio, funds, Sharpe, alpha, Treynor, market timing
Basel 2, operational risk, extreme value theory, external data, RAROC
Asset pricing, portfolio management, funds performance, Jensen's alpha, Treynor ratio
Hedge fund, hedge funds, carhart, capocci, hubner, performance, persistence, decile analysis
Hedge funds, funds of funds, selection bias, abnormal returns, bullish market, bearish market, persistence
operational risk management, basel II, advanced measurement approach, copulae, external data, EVT, RAROC, cost-benefit analysis
size, value, small angels, Fama and French, sequential sorting, January effects
credit derivatives, credit risk, structural model
Asset Pricing, Size, Book-to-market, momentum, mimicking portfolios
style analysis, Kalman filter, errors-in-variables, measurement errors, higher moment estimators, hedge funds
Performance Measurement, Market Timing, Treynor and Mazuy, Option Replication, Mutual Fund Performance
Performance measurement, market timing, Treynor and Mazuy, option replication, mutual fund performance.
Hedge Funds, Nonlinear Risk Premiums, Comoments, Implied Higher-Moments
Performance measurement, multi-index models, mutual funds performance, alpha, information ratio, Treynor ratio
Hedge Funds, Implied higher-moments, Conditioning factors
Event study, biotechnologies, patent valuation
Performance measurement, market timing, Treynor and Mazuy, option replication, hedge fund performance
Portfolio performance, Portfolio management, Performance measure, Performance analysis, Performance reporting, Performance attribution
Convertible debt, Risk shifting, Non-cooperative game
derivatives, Hedge Funds, market timing, non linear payoffs
Fama and French Factors, Momentum, Hedge/mimicking Portfolios, Market Risk Fundamentals
Venture capital, portfolio theory, financial contracting, entrepreneur's risk aversion, cost of capital
Portfolio sorting; Factor performance; Factor construction methods
Performance measurement, persistence analysis, mutual funds, principal component analysis
Credit derivative, credit risk, currency risk
Sovereign Credit Spread, Balance Sheet, Recovery Rate, Contingent Claims Analysis, Contagion Effects
mental accounts, portfolio choice, horizon, upside potential, risk aversion
equilibrium asset pricing, multi-moment, skewness, kurtosis, nonparametric risk, horizon, Chebyshev's inequality
ownership concentration, shareholder categories, harmonization of regulation, ownership disclosure rules
hedge funds, implied higher moments, performance, persistence
CDO, Gaussian Copula, Credit Derivatives, Recovery Rate, State of the Economy, iTraxx
expected returns, risk horizon, asset pricing
option pricing, arbitrage-free valuation, scenario trees, numerical analysis, out-of-sample testing
Credit risk, Bond returns, Comoment risk
fund survival, performance measurement, persistence analysis, mutual funds
personal portfolio management, volatility-managed portfolio, volatility targeting, investor-specific portfolio performance, investor risk appetite
time-varying cointegration, Kalman filter, uncertainty, globalization
European Monetary Union, Sovereign debt, consortium, cost saving, euro-bonds
lerner index, market power, bank business model, bank stability
Venture capital; Performance; Simulation; Value-adding; Selection
Venture capital; Efficiency; Data envelopment analysis; Fund type; Public investor
Comoment, Hedge Portfolios, Fama and French Method, Fama-MacBeth Test
Illiquidity, Non-Gaussian returns, Hedge fund performance, Modified Value-at-Risk, Portfolio diversification
Venture Capital, Return, Strategy, Entrepreneurship, Life Cycle, Compatibility
Internationalization, Psychic Distance, Asset Pricing
Operational risk, Reputational risk, Event study
Performance measurement, Jensen's alpha, Information Ratio, Treynor Ratio
Operational Risk, Value-at-Risk, CreditRisk+, AMA
Hedge funds, performance, persistence, Asian crisis, emerging markets, CAPM, dissolution frequenties, survivorship bias, correlation, history bias, total returns
