Cover -- EDITORIAL ADVISORY BOARD -- Guest editorial -- A history of SEA in France: government, engineers and mathematics -- Adoption of environmental management tools: the dynamic capabilities contributions -- Integrated or non-integrated reports: French listed companies at a crossroads? --...

Overview: The corporate reporting landscape has evolved in the last 20 years from financial reporting to sustainability reporting to “integrated reporting.” Since 2010, the IIRC (International Integrated Reporting Council) has led the work on building the first Integrated Reporting (IR)...

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility, which accommodates level shifts, day-of-the-week...

This paper investigates the merits of high-frequency intraday data when forming minimum variance portfolios and minimum tracking error portfolios with daily rebalancing from the individual constituents of the S&P 100 index. We focus on the issue of determining the optimal sampling frequency,...

Quadratic optimization for asset portfolios often leads to error maximization, with optimizers zooming in on large errors in the predicted inputs, that is, expected returns and risks. The consequence in most cases is a poor real-time performance. In this paper we show how to improve real-time...