References of "Hübner, Georges"
     in
Bookmark and Share    
Full Text
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULiege; Hübner, Georges ULiege

Conference (2010, June)

Detailed reference viewed: 41 (5 ULiège)
See detailPerformance de Portefeuille
Bodson, Laurent ULiege; Grandin, Pascal; Hübner, Georges ULiege et al

Book published by Pearson - 2ème éd. (2010)

Detailed reference viewed: 260 (41 ULiège)
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULiege; Hübner, Georges ULiege

Conference (2010, May)

Detailed reference viewed: 18 (2 ULiège)
Peer Reviewed
See detailHow to construct fundamental risk factors?
Lambert, Marie ULiege; Hübner, Georges ULiege

Conference (2010, May)

Detailed reference viewed: 29 (1 ULiège)
Full Text
Peer Reviewed
See detailPortfolio Theory with Venture Capital
François, Pascal; Hübner, Georges ULiege

Conference (2010, May)

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an ... [more ▼]

This paper studies the contracting choices between an entrepreneur and venture capital investors in a portfolio context. We rely on the mean-variance framework and derive the optimal choices for an entrepreneur with and without the presence of different kinds of venture capitalists. In particular, we show that the entrepreneur always has the incentive to share the risk and benefits of the venture whenever possible. On the basis of their objectives and characteristics, we distinguish the situations of the corporate, independent, and bank-sponsored venture capital funds. Our framework enables us to derive the optimal contract design for the entrepreneur, featuring the choice of investor, the entrepreneur's investment in the venture, and her dilution in the project's equity as a function of her bargaining power. This result allows us to characterize the choice of the investor depending on her cost of equity and debt capital. In addition to project size and risk, entrepreneur's risk aversion turns out to be a critical determinant of VC investor choice -- a finding which is strongly supported by a panel analysis of VC fund flows for 5 European countries over the 2002--2009 period. [less ▲]

Detailed reference viewed: 289 (8 ULiège)
Full Text
Peer Reviewed
See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULiege; Hübner, Georges ULiege; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 7 (0 ULiège)
Full Text
Peer Reviewed
See detailDirectional and Nondirectional Risk Exposures in Hedge Fund Returns
Lambert, Marie ULiege; Hübner, Georges ULiege; Papageorgiou, Nicolas

Conference (2010, April)

Detailed reference viewed: 22 (1 ULiège)
Full Text
Peer Reviewed
See detailHedge fund return specification with errors-in-variables
Coën, Alain; Hübner, Georges ULiege; Desfleurs, Aurélie

in Journal of Derivatives and Hedge Funds (2010), 16(1), 22-52

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME ... [more ▼]

In linear models for hedge fund returns, errors-in-variables may significantly alter the measurement of factor loadings and the estimation of abnormal performance. The higher moment estimator (HME) introduced by Dagenais and Dagenais (1997) effectively deals with these issues. Results on individual funds show that the HME specification does not uncover systematic performance biases, but can modify estimated alphas in most cases and identifies relative persistence for directional funds in bearish market conditions. Overall, the risk premia calculated with HME remain relatively stable when compared to ordinary least squares specifications. [less ▲]

Detailed reference viewed: 41 (3 ULiège)
Full Text
Peer Reviewed
See detailPerformance and persistence of commodity trading advisors: Parametric evidence
Gregoriou, Greg; Hübner, Georges ULiege; Kooli, Maher

in Journal of Futures Markets (2010), 30(8), 725-752

We re-examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well ... [more ▼]

We re-examine the performance of Commodity Trading Advisors (CTAs) over the January 1995 to October 2008 period. We compare abnormal performance based on a number of alternative existing models, as well as a category-specific model introducing asset-, option-, and moments-based factors. Taking more factors into account significantly raises the explanatory power, and 9 out of 12 CTA categories significantly outperform the market. We find that numerous CTAs show persistence over a horizon of at least three months and they are also more likely to be persistent over a longer period. Yet, most of the persistence fades away upon the “acid test” of considering only the top and bottom quartiles of CTAs. [less ▲]

Detailed reference viewed: 78 (5 ULiège)
See detailEffect of Benchmark Misspecification on Risk-Adjusted Performance Measures
Bodson, Laurent ULiege; Hübner, Georges ULiege

in Gregoriou, Greg N.; Hoppe, Christian; Wehn, Carsten (Eds.) The Risk Modeling Evaluation Handbook (2010)

Detailed reference viewed: 126 (26 ULiège)
Full Text
Peer Reviewed
See detailOperational Risk and Reputation in the Financial Industry
Gillet, Roland; Hübner, Georges ULiege; Plunus, Séverine ULiege

in Journal of Banking and Finance (2010), 34

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals ... [more ▼]

By examining stock market reactions to the announcement of operational losses by financial companies, this paper attempts to disentangle operational losses from reputational damage. Our analysis deals with 154 events coming from the FIRST database of OpVantage. Events occurred between 1990 and 2004 in companies belonging to the financial sector and that are listed on the major European and US Stock Exchanges. Results show significant, negative abnormal returns at the announcement date of the loss, along with an increase in the volumes of trade. In cases of internal fraud, the loss in market value is greater that the operational loss amount announced, which is interpreted as a sign of reputational damage. Negative impact is proportionally greater when the loss amount represents a larger share in the company’s net profit. [less ▲]

Detailed reference viewed: 139 (15 ULiège)
Full Text
Peer Reviewed
See detailOptimal selection of a portfolio of options under Value-at-Risk constraints: a scenario approach
Schyns, Michael ULiege; Crama, Yves ULiege; Hübner, Georges ULiege

in Annals of Operations Research (2010), 181

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the ... [more ▼]

This paper introduces a multiperiod model for the optimal selection of a financial portfolio of options linked to a single index. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. We rely on scenarios to represent future security prices. The model contains several interesting features, like the consideration of transaction costs, bid-ask spreads, arbitrage-free option pricing, and the possibility to rebalance the portfolio with options introduced at the start of each period. The resulting mixed integer programming model is applied to realistic test instances involving options on the S&P500 index. In spite of the large size and of the numerical difficulty of this model, near-optimal solutions can be computed by a standard branch-and-cut solver or by a specialized heuristic. The structure and the financial features of the selected portfolios are also investigated. [less ▲]

Detailed reference viewed: 125 (30 ULiège)
Full Text
Peer Reviewed
See detailDynamic Hedge Fund Style Analysis with Errors-in-Variables
Bodson, Laurent ULiege; Coën, Alain; Hübner, Georges ULiege

in Journal of Financial Research (2010), 33(3), 201-221

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute ... [more ▼]

We revisit the traditional return-based style analysis in the presence of time varying exposures and errors-in-variables (EIV). We apply a benchmark selection algorithm using the Kalman filter and compute the estimated EIV of the selected benchmarks. We adjust them by subtracting their EIV from the initial return series to obtain an estimate of the true uncontaminated benchmarks. Finally, we run the Kalman filter on these adjusted regressors. Analyzing EDHEC alternative index styles, we show that this technique improves the factor loadings and allows more precise identification of the return sources of the considered hedge fund strategy. [less ▲]

Detailed reference viewed: 82 (14 ULiège)
Full Text
See detailLe coût d’opportunité du capital pour l’entrepreneur revisité
Hübner, Georges ULiege

in Corhay, Albert; Hübner, Georges; Muller, Aline (Eds.) Finance et Valeur(s) (2009)

Detailed reference viewed: 82 (7 ULiège)
Full Text
See detailFinance et valeur(s): Liber Amicorum et Discipulorum
Corhay, Albert ULiege; Hübner, Georges ULiege; Muller, Aline ULiege

Book published by Les Editions de l'Université de Liège (2009)

Detailed reference viewed: 169 (36 ULiège)
See detailRapport du college d’experts auprès de la commission spéciale chargée d’examiner la crise financière et bancaire
Hübner, Georges ULiege; Massart, Michel; Swolfs, Ludo et al

Report (2009)

Detailed reference viewed: 38 (4 ULiège)
Full Text
See detailAlternative to the Mean-Variance Asset Allocation Analysis: A Scenario Methodology for Portfolio Selection
Schyns, Michael ULiege; Hübner, Georges ULiege; Crama, Yves ULiege

in Gregoriou, Greg N. (Ed.) Stock Market Volatility (2009)

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value ... [more ▼]

This paper introduces a new methodology to optimize the allocation of financial assets. The objective of the model is to maximize the expected return of the portfolio under constraints limiting its Value-at-Risk. The assets could consist in stocks as well as options. We rely on a flexible scenario tree approach to represent the future prices. In order to reduce the number of leaves and maintain the model tractable, stocks prices are obtained through the Fama & French empirical asset pricing model. Experiments on historical data are performed to illustrate the method and show the performance of the approach. Different strategies are compared: considering various market distributions, several factor models and a few portfolio hypothesis. [less ▲]

Detailed reference viewed: 277 (34 ULiège)
See detailDeriving Risk Appetite and translating it into a meaningful set of limits
Hübner, Georges ULiege; Nord, Andrew; Smith, Brian

Conference (2009, January)

Detailed reference viewed: 66 (12 ULiège)