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

About the Authors

Noël Amenc is professor of finance and director of EDHEC-Risk Institute. He has a masters in economics and a PhD in finance and has conducted active research in the fields of quantitative equity management, portfolio performance analysis, and active asset allocation, resulting in numerous academic and practitioner articles and books. He is a member of the editorial board of the Journal of Portfolio Management, associate editor of the Journal of Alternative Investments and a member of the scientific advisory council of the AMF (French financial regulatory authority).

Felix Goltz is head of applied research at EDHEC-Risk Institute. He does research in empirical finance and asset allocation, with a focus on alternative investments and indexing strategies. His work has appeared in various international academic and practitioner journals and handbooks. He obtained a PhD in finance from the University of Nice Sophia-Antipolis after studying economics and business administration at the University of Bayreuth and EDHEC Business School.

Adina Grigoriu is head of asset allocation at AM International Consulting, where she advises asset managers on constructing their hedge fund of fund portfolios as well as dynamic core-satellite portfolios. She has an actuarial degree and extensive experience in finance, including quantitative modelling. She started her career as a derivatives trader. She then joined a multinational asset management company where she held several positions, ranging from product manager to fund manager and head of ALM.

An EDHEC-Risk Institute Publication

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