RESEARCH @ HEC LIEGE
Asset and Risk Management
The strategic field of Asset and Risk Management (A&RM) conducts research on factor investing. New sources of risk have been discovered with the consequence that the number of risk factors has inflated in the recent academic research beyond what has been proposed by the traditional capital asset pricing model. However, very few studies have questioned the accuracy of the methodology used to construct these factors.
Professor Georges Hübner, Professor Marie Lambert and Boris Fays, PhD student in Finance show evidence that the choice of construction methodology has strong implications for asset-pricing and portfolio management > http://hdl.handle.net/2268/223585.
To demonstrate the implication of the construction methodology on equity portfolios, a second research paper conducted by Boris Fays, Marie Lambert and Professor Nicolas Papageorgiou from HEC Montréal and Fiera Capital Management (http://hdl.handle.net/2268/223582) demonstrates that we can achieve a better risk-return diversification when performing risk allocation across equity style buckets formed using the methodology of Lambert, Fays and Hübner (2018).
Finally a third study of Boris Fays, Georges Hübner and Marie Lambert considers that the selection process of options written on the main US index (S&P 500) is a key element to successively build option-based strategies that capture a larger variety of non-linear patterns in US hedge funds returns > http://hdl.handle.net/2268/223584.