Minimum variance and equally-weighted portfolios have recently prompted great interest both from academic researchers and market practitioners, as their construction does not rely on expected average returns and is therefore assumed to be robust. In this paper, we consider a related approach,...

In December 2008, as the financial and economic crisis continued on its devastating course, a new scandal bursts. After the 1998's failure of Long-Term Capital Management, Madoff's fraud brings once again the discredit on the hedge funds industry. This one is however of a different kind. Indeed,...

As hedge fund replication based on factor models has encountered growing interest among professionals and academics, and despite the launch of numerous products (indexes and mutual funds) in the past year, it faced many critics. In this paper, we consider three of the main critiques, namely the...

In this paper, we consider the open question on Spearman's rho and Kendall's tau of Nelsen [1991]. Using a technical hypothesis, we can answer in the positive. One question remains open: how can we understand the technical hypothesis? Because this hypothesis is not right in general, we could...

In this paper, we consider the problem of bounds for distribution convolutions and we present some applications to risk management. We show that the upper Frechet bound is not always the more risky dependence structure. It is in contradiction with the belief in finance that maximal risk...

In this paper, we study the approximation procedures introduced by Li, Mikusinski, Sherwood and Taylor [1997]. We show that there exists a bijection between the set of the discretized copulas and the set of the doubly stochastic matrices. For the Bernstein and checkerboard approximations, we...