Mathieu Vaissié

EDHEC Graduate School of Management - Risk and Asset Management Research Center

1090 route des crêtes

06560 Valbonne

France

SCHOLARLY PAPERS

5

DOWNLOADS
Rank 33,157

SSRN RANKINGS

Top 33,157

in Total Papers Downloads

2,320

SSRN CITATIONS

0

CROSSREF CITATIONS

10

Scholarly Papers (5)

1.

Hedge Fund Indices: Investable, Non-Investable and Strategy Benchmarks

Number of pages: 32 Posted: 04 Feb 2005
Walter Géhin and Mathieu Vaissié
EDHEC Business School - EDHEC Risk and Asset Management Research Centre and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 1,211 (26,472)
Citation 6

Abstract:

Loading...

Hedge fund, hedge funds, indices, non-investable indices, investable indices, benchmarks, strategy benchmarks

2.

Do Funds of Hedge Funds Really Add Value? A 'Post' Crisis Analysis

Number of pages: 21 Posted: 03 Sep 2010 Last Revised: 15 Jun 2015
Serge Darolles and Mathieu Vaissié
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 591 (70,369)

Abstract:

Loading...

Funds of Hedge Funds Performance, Performance Attribution Model, Strategic Allocation, Tactical Allocation, Fund Picking, Active Management, Added-Value, State-space Models, Kalman Filter

3.

The Benefits of Dynamic Risk Management: Mitigating Downside Risk Without Compromising Long-Term Growth Prospects

Number of pages: 44 Posted: 22 Oct 2011 Last Revised: 15 Jun 2015
Serge Darolles and Mathieu Vaissié
Université Paris Dauphine - DRM-CEREG and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 498 (87,091)
Citation 2

Abstract:

Loading...

Modern Portfolio Theory, Diversification, Dynamic Portfolio Construction, GARCH, Regime Switching Correlation, Active Management, Hedge Funds

4.

Hedge Fund Indices: Reconciling Investability and Representativity

European Financial Management, Vol. 13, No. 2, pp. 257-286, March 2007
Number of pages: 30 Posted: 04 Mar 2007
Felix Goltz, Lionel Martellini and Mathieu Vaissié
EDHEC Business School, EDHEC Business School and EDHEC Graduate School of Management - Risk and Asset Management Research Center
Downloads 20 (770,495)

Abstract:

Loading...

5.

Estimation of Systematic Risks for Actively Managed Funds: A Novel Approached Based on Switching Kalman Filter Models

Posted: 15 Feb 2006
Mathieu Vaissié and Volker Ziemann
EDHEC Graduate School of Management - Risk and Asset Management Research Center and EDHEC Business School

Abstract:

Loading...

Kalman Filter Models, Switching Regime Models, Time-varying Exposures, Strategy Benchmark, Monte Carlo Simulations