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Risk Control through Dynamic Core-Satellite Portfolios of ETFs: Applications to Absolute Return Funds and Tactical Asset Allocation — January 2010

EDHEC-Risk Institute Publications (2007-2010)


  • Goltz, F., and Le Sourd, V. Does finance theory make the case for capitalisation-weighted

indexing? (January)


  • Sender, S. Reactions to an EDHEC study on the impact of regulatory constraints on the

ALM of pension funds (October).

  • Amenc, N., L. Martellini, V. Milhau, and V. Ziemann. Asset-liability management in

private wealth management (September).

  • Amenc, N., F. Goltz, A. Grigoriu, and D. Schroeder. The EDHEC European ETF survey


  • Sender, S. The European pension fund industry again beset by deficits (May).

  • Martellini, L., and V. Milhau. Measuring the benefits of dynamic asset allocation strategies

in the presence of liability constraints (March).

  • Le Sourd, V. Hedge fund performance in 2008 (February).

  • La gestion indicielle dans l'immobilier et l'indice EDHEC IEIF Immobilier d'Entreprise

France (February).

  • Real estate indexing and the EDHEC IEIF Commercial Property (France) Index


  • Amenc, N., L. Martellini, and S. Sender. Impact of regulations on the ALM of European

pension funds (January).

  • Goltz, F. A long road ahead for portfolio construction: Practitioners' views of an EDHEC

survey. (January).


  • Amenc, N., L. Martellini, and V. Ziemann. Alternative investments for institutional

investors: Risk budgeting techniques in asset management and asset-liability management (December).

  • Goltz, F., and D. Schroeder. Hedge fund reporting survey (November).

  • D’Hondt, C., and J.-R. Giraud. Transaction cost analysis A-Z: A step towards best execution

in the post-MiFID landscape (November).

  • Amenc, N., and D. Schroeder. The pros and cons of passive hedge fund replication


  • Amenc, N., F. Goltz, and D. Schroeder. Reactions to an EDHEC study on asset-liability

management decisions in wealth management (September).

  • Amenc, N., F. Goltz, A. Grigoriu, V. Le Sourd, and L. Martellini. The EDHEC European ETF

survey 2008 (June).

  • Amenc, N., F. Goltz, and V. Le Sourd. Fundamental differences? Comparing alternative

index weighting mechanisms (April).

An EDHEC-Risk Institute Publication

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