References of "Hübner, Georges"
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See detailGeneralized Treynor Ratio
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

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See detailPre-money valuation
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

Detailed reference viewed: 9 (3 ULg)
See detailCDO Prices and Risk Management: A Comparative Study of Alternative Approaches for pricing iTraxx
Bourdoux, Jean-Michel; Hübner, Georges ULg; Sibille, Jean-Roch ULg

in Wagner, Niklas (Ed.) Credit Risk - Models, Derivatives and Management (2008)

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See detailPost-money valuation
Hübner, Georges ULg

in Gregoriou, Greg (Ed.) Encyclopedia of Alternative Investments (2008)

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See detailInternational Corporate Diversification and the Cost of Equity: European Evidence
Joliet, Robert ULg; Hübner, Georges ULg

in Journal of International Money & Finance (2008), 27(1), 102-123

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 ... [more ▼]

This paper analyzes the impact of corporate international diversification (CID) on domestic and world betas through the notion of psychic distance between countries. Using a large European sample of 598 firms, our findings indicate that this dimension significantly influences corporate risk exposure. By isolating three additive components of the Foreign Sales Ratio (FSR), we obtain the most significant results by geographically partitioning the sample, provided that firms are further classified by sector. Our framework sheds new light on how the CID of firms belonging to Sweden and the United Kingdom, as well as the Consumer Cyclical, Consumer Non-Cyclical and Information Technology sectors, sometimes can reduce and sometimes increase firm betas. [less ▲]

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See detailMean-Variance versus Mean-VaR and Mean-Utility Spanning
Bodson, Laurent ULg; Hübner, Georges ULg

in Gregoriou, Greg N. (Ed.) Stock Market Volatility Book (2008)

In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the ... [more ▼]

In this chapter, we contrast the optimal spanning properties of portfolios built under the traditional mean-variance (VAR) or mean-modified value-at-risk (MVaR) approaches with those created with the linear-exponential (linex) utility function. Unlike asset allocation procedures that build on volatility or MVaR as a measure of risk and a single risk aversion parameter that characterizes investors, the use of linex utility introduces risk differentiation amongst investors and the risk-return relation of the optimal portfolio trades off between mean, variance, skewness and kurtosis. We identify efficient portfolios under the three competing frameworks and analyze their optimal allocations. [less ▲]

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See detailA Comparison between Optimal Allocations Based on the Modified VaR and on a Utility-Based Risk Measure
Bodson, Laurent ULg; Coën, Alain ULg; Hübner, Georges ULg

in Gregoriou, Greg N. (Ed.) The VaR Modeling Handbook: Practical Applications in Alternative Investing, Banking, Insurance, and Portfolio Management Book (2008)

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been ... [more ▼]

Many empirical analyses have demonstrated that some financial asset returns like those of hedge funds depart from the normal distribution. From this observation, several new risk measures have been created to take into consideration the skewness and the kurtosis of the return distributions. We propose in this chapter to present the impact of higher moments on the optimal portfolio allocation comparing two four-moment risk measures, namely a utility-based risk measure with the preference-free modified VaR (MVaR). [less ▲]

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See detailPractical methods for measuring and managing operational risk in the financial sector: A clinical study
Chapelle, Ariane; Crama, Yves ULg; Hübner, Georges ULg et al

in Journal of Banking and Finance (2008), 32

This paper analyzes the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two ... [more ▼]

This paper analyzes the implications of the Advanced Measurement Approach (AMA) for the assessment of operational risk. Through a clinical case study on a matrix of two selected business lines and two event types of a large financial institution, we develop a procedure that addresses the major issues faced by banks in the implementation of the AMA. For each cell, we calibrate two truncated distributions functions, one for “normal” losses and the other for the “extreme” losses. In addition, we propose a method to include external data in the framework. We then estimate the impact of operational risk management on bank profitability, through an adapted measure of RAROC. The results suggest that substantial savings can be achieved through active management techniques. [less ▲]

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See detailThe determinants of CDS prices: an industry-based investigation
Sougné, Danielle ULg; Heuchenne, Cédric ULg; Hübner, Georges ULg

in Wagner, Niklas (Ed.) Credit Risk: Models, Derivatives and Management. Empirical Studies and Analysis. Financial Mathematics Series. (2008)

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See detailLinearizing Option Returns for Portfolio and Risk Management
Bodson, Laurent ULg; Hübner, Georges ULg

Conference (2007, October 18)

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic ... [more ▼]

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic assets: the underlying, two long-term options and a zero coupon bond. This approach allows us to capture the moments up to order four of the underlying and to linearize the option return. A numerical example illustrates some of the features and applications of this model. [less ▲]

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See detailDominating Funds of Funds with Simple Hedge Fund Strategies
Gregoriou, Greg; Hübner, Georges ULg; Papageorgiou, Nicolas et al

in Journal of Derivatives and Hedge Funds (2007), 13(2), 88-106

We construct simple portfolios of hedge funds whose performance characteristics dominate those of funds of funds using three different measures: the alpha, the Sharpe ratio and the Information ratio ... [more ▼]

We construct simple portfolios of hedge funds whose performance characteristics dominate those of funds of funds using three different measures: the alpha, the Sharpe ratio and the Information ratio. Portfolios made up of non-directional funds with the highest Information ratios and/or Sharpe ratios are likely to exhibit a significant amount of persistence and continue to dominate the best funds of funds on all three performance measures. The large risk exposure of directional hedge fund strategies, however, makes them less likely to dominate funds of funds, even when combined with non-directional hedge funds strategies. Overall, these results seem to imply that the extra layer of fees paid to fund of fund managers are largely unmerited, as we can create portfolios of funds, using simple portfolio construction rules and readily available market information, that greatly outperform the best Fund of Funds. [less ▲]

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See detailHow Do Performance Measures Perform
Hübner, Georges ULg

in Journal of Portfolio Management (2007), 33(4), 64-74

The article presents a discussion on how various performance measures actually perform when used in investment portfolio management. The author discusses the empirical quality of performance measures such ... [more ▼]

The article presents a discussion on how various performance measures actually perform when used in investment portfolio management. The author discusses the empirical quality of performance measures such as information ratio (IR), focusing on directional managed portfolios, the Treynor ratio, and an empirical methodology that allows many of the usual errors associated with ratios to be avoided. The author also discusses multi-index models, style-based mutual funds, and style-adjusted performance. [less ▲]

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See detailLinearizing Option Returns for Portfolio and Risk Management: A Tetranomial Approach
Bodson, Laurent ULg; Hübner, Georges ULg

Conference (2006, November 21)

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic ... [more ▼]

This paper proposes a method to deduce the first four moments and the co-moments (with any other asset) of an option return. We consider the dynamics of an option-replicating portfolio of four basic assets: the underlying, two long-term options and a zero coupon bond. This approach allows us to capture the moments up to order four of the underlying and to linearize the option return. A numerical example illustrates some of the features and applications of this model. [less ▲]

Detailed reference viewed: 47 (16 ULg)
See detailPerformance de portefeuille
Lambert, Marie ULg; Hübner, Georges ULg; Grandin, Pascal

Book published by Pearson Education (2006)

Detailed reference viewed: 33 (0 ULg)
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See detailConcentrated Announcements on Clustered Data: An Event Study on Biotechnology Stocks
Bastin, Véronique; Hübner, Georges ULg

in Financial Management (2006), 35(1), 129-157

In spring 2000, three events--two political statements by Bill Clinton and Tony Blair and a breakthrough announcement by Celera Genomics--had a major impact on biotechnology stocks. We analyze their ... [more ▼]

In spring 2000, three events--two political statements by Bill Clinton and Tony Blair and a breakthrough announcement by Celera Genomics--had a major impact on biotechnology stocks. We analyze their effects over a comprehensive set of biopharmaceutical companies, using a composite return-generating model with an industry-specific patent-based factor. Our results show that stocks can be clustered according to their responsiveness to political and scientific events. Furthermore, we emphasize different impacts on the market value of intangible assets for each cluster, suggesting that growth options are valued with different criteria for therapeutics, and technology-based subsectors. [less ▲]

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See detailHedge fund performance and persistence in bull and bear markets
Capocci, Daniel; Corhay, Albert ULg; Hübner, Georges ULg

in European Journal of Finance (2005), 11(5), 361-392

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly ... [more ▼]

This paper tests the performance of 2894 hedge funds in a time period that encompasses unambiguously bullish and bearish trends whose pivot is commonly set at March 2000. The database proves to be fairly trustable with respect to the most important biases in hedge funds studies, despite the high attrition rate of funds observed in the down market. An original ten-factor composite performance model is applied that achieves very high significance levels. The analysis of performance indicates that most hedge funds significantly outperformed the market during the whole test period, mostly thanks to the bullish subperiod. In contrast, no significant underperformance of individual hedge funds strategies is observed when markets headed south. The analysis of persistence yields very similar results, with most of the predictability being found among middle performers during the bullish period. However, the "Market Neutral" strategy represents a remarkable exception, as abnormal performance is sustained throughout and significant persistence can be found between the 20% and 69% best performers in this category, probably thanks to an extreme adaptability and a very active investment behaviour.(Abstract EconLit copié le 29/06/06) [less ▲]

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See detailThe Generalized Treynor Ratio
Hübner, Georges ULg

in Review of Finance (2005), 9(3), 415-435

This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical ... [more ▼]

This paper extends the Treynor performance ratio for a single index to the case of multiple indexes. The new measure, called the Generalized Treynor Ratio, preserves the same key geometric and analytical properties of the original Treynor Ratio. The Generalized Treynor Ratio is defined as the abnormal return of a portfolio per unit of premium-weighted average systematic risk, normalized by the premium-weighted average systematic risk of the benchmark. Numerical simulations reveal that the portfolio rankings produced with this measure are more precise and more stable than the ones provided by Jensen's alpha and the Information Ratio. [less ▲]

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See detailSurvival of commodity trading advisors: 1990-2003
Gregoriou, Greg N; Hübner, Georges ULg; Papageorgiou, Nicolas et al

in Journal of Futures Markets (2005), 25(8), 795-815

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990-2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full ... [more ▼]

This article investigates the mortality of Commodity Trading Advisors (CTAs) over the 1990-2003 period, a longer horizon than any encompassed in the literature. A detailed survival analysis over the full range of CTA classifications is provided, and it is found that the median lifetime of CTAs in this sample is different than previously documented. Through the implementation of nonparametric, parametric, and semiparametric statistical techniques, it is emphasized that CTA survivorship is heavily contingent on the strategy followed by the fund. Furthermore, a significant positive size effect on survival is shown, whereas poor returns, and to a lesser extent, high-risk exposure, appear to hasten mortality. (c) 2005 Wiley Periodicals, Inc. [less ▲]

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See detailGrafting Information in Scenario Trees: Application to Option Prices
Schyns, Michael ULg; Crama, Yves ULg; Hübner, Georges ULg

E-print/Working paper (2005)

The high level of sophistication in portfolio management modeling techniques often goes along with very large output sensitivity to parameter choices. As a potential solution to this problem, this paper ... [more ▼]

The high level of sophistication in portfolio management modeling techniques often goes along with very large output sensitivity to parameter choices. As a potential solution to this problem, this paper proposes a consistent and flexible methodology to represent the distribution of future values of a portfolio through scenario trees. This methodology relies on the information contained in current option prices in order to generate the probability density function of future returns. This density function can be used, in turn, to generate scenario trees . As an illustration, a tree of scenarios based on S&P500 options is built and then used to compute arbitrage-free option prices. The approach preserves information embedded in options prices and is able to provide very accurate values for out-of-sample options. The high level of numerical accuracy of the framework is reproduced on different samples. The scenario tree approach also provides stable pricing results when confronted with the passage of time. The results derived from our model are comparable to those obtained from Rubinstein’s [1994] methodology, although both models fulfill different objectives. [less ▲]

Detailed reference viewed: 49 (2 ULg)
See detailFinance Corporate (7ème édition)
Ross, Stephen; Westerfield, Randolph; Jaffe, Jeffrey et al

Book published by Dunod (2005)

Detailed reference viewed: 56 (2 ULg)