Abraham Lioui
Head of Finance Faculty
Finance
EDHEC Business School
France
Biography
2016 - Director, Ph.D. in Finance Program, EDHEC Business School, France. 2015 - Head of Finance Faculty, EDHEC Business School, France. Sept. 2008 - Professor of Finance, EDHEC Business School, France
Research Interest
Portfolio theory and dynamic asset allocation, Pricing and hedging of derivatives, Asset pricing theory, Monetary policy and asset pricing
Publications
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Stochastic Dividend Yields and Derivatives Pricing In Complete Markets, Review of Derivatives Research, 2005, 8(3), 151-175.
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Portfolio Construction and Performance Measurement : Evidence from the field, Financial Analyst Journal, May/June 2011, Vol. 67, No. 3: 39–50. (with Noel Amenc and Félix Goltz)
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On model ambiguity and Money Neutrality, Journal of Macroeconomics 34(4), 2012, 1020 – 1033. (with Patrice Poncet)
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Optimal benchmarking for active portfolio managers, European Journal of Operational Research 226, 2013, 268–276. (with Patrice Poncet)
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Intetrest rate risk and the cross section of stock returns, Journal of Financial and Quantitative Analysis, 49(2), 2014, 483–511. (with Paulo Maio)
