Francois-Serge Lhabitant

 

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Several of the following articles are downloadable on http://ssrn.com/author=268547

 

2025

  • Ten Common Mistakes Investors Make When Allocating to Hedge Funds, The Journal of Alternative Investments, vol 27 (3),
  • Navigating Trusts in Switzerland: Tax Challenges and Opportunities, Journal of Economics and Business Review, vol. 2(1), pp. 35-40.

 

2023

  • Alpha Capture Systems: Past, Present and Future Directions, The Journal of Alternative Investments 25 (4), pp. 101-118 (co-authored with D. Mirlesse)

 

2021

  • Tax Optimization for Hedge Funds, in The Oxford Handbook of Hedge Funds, Chapter 20, pp. 489-504, D. Cumming et al. (eds), Oxford University Press.
  • Tax-free Synthetic Cash for Individuals: A Theoretical Review of the Swiss case, Journal of Accounting and Taxation, vol. 13(1), pp. 45-58.

 

2016

  • The Tax Framework for Hedge Funds, in Hedge Funds: Structure, Strategies, and Performance, Chapter 8, pp. 125-146, K. Baker and G. Filbeck (eds), Oxford University Press (co-authored with M. Brocard)
  • The Event-driven Strategies of Hedge Funds, in Hedge Funds: Structure, Strategies, and Performance, Chapter 12, pp. 207-227, K. Baker and G. Filbeck (eds), Oxford University Press (co-authored with C. Farrelly)

 

2014

  • High Frequency Trading: Past, Present and Future, in The Handbook of High Frequency Trading, Greg Gregoriou (ed), Chapter 9, pp. 155-165, Academic Press (co-authored with G. Gregoriou)

 

2013

  • The Limits of UCITS for Fund of Hedge Funds, in Reconsidering Funds of Hedge Funds, Greg Gregoriou (ed), Chapter 3, pp. 29-40, Academic Press (co-authored with J. Daniel)
  • Does Fund of Hedge Fund Size Matter? Size vs. Performance Before, During and After the Crisis, in Reconsidering Funds of Hedge Funds, Greg Gregoriou (ed), Chapter 12, pp. 183-194, Academic Press (co-authored with J. Daniel)

 

2012

  • Europe’s hedge fund industry: an overview, in the Research Handbook on Hedge Funds, Private Equity and Alternative Investments, Phoebius Athanassiou (ed), Chapter 3, pp. 63-88 (co-authored with A. Hankova)
  • Correlation vs. trends in portfolio management: a common misinterpretation, Journal of Wealth Management, vol. 15, no 3, pp. 63-66.

 

2011

  • New Regulatory Developments for Short Selling in Asia: a Review, in The Handbook of Short Selling, G. Gregoriou (ed), Chapter 20, Elsevier (co-authored with J. Daniel).
  • Reflections on Short Selling Regulations in Western and Eastern Europe, in The Handbook of Short Selling, G. Gregoriou (ed), Chapter 11, Elsevier (co-authored with J. Daniel).
  • Is Greed Still Good? What Have Hedge Fund Managers and Investors Learned from the 2008 Crisis?, The Journal of Wealth Management, Fall, vol. 14, no. 2, pp. 42-48

 

2010

  • Survival of exchange listed hedge funds, Journal of Applied Research in Accounting and Finance, Vol. 4 (2), pp. 2-11 (co-authored with G. Gregoriou and F. Rouah) 
  • Solving the banking crisis: a private capital solution, in The Banking Crisis Handbook, G. Gregoriou (ed), pp. 203-216, CRC Press.
  • Modeling the Term Structure of Interest Rates: a Survey, Foundations and Trends in Finance, vol. 5, no 1-2, pp. 1-156 (co-authored with R. Gibson and D. Talay).

 

2009

  • Madoff: A Riot of Red Flags, The Journal of Wealth Management, Vol. 12, No.1, 2009, pp. 89-98. (co-authored with G. Gregoriou)
  • Hedge Funds: A View from the Buy Side, CFA Institute Conference Proceedings Quarterly, June, pp. 45-55
  • Regulating private financial institutions: how to kill the goose that laid the golden eggs, Journal of Financial Transformation, vol. 27, pp. 49-52.

 

2008

  • Merger Arbitrage: an introduction, in Mergers and Acquisitions: Current Trends, G. Gregoriou and K.L. Neuhauser (eds), pp. 118-138, Palgrave McMillan (co-authored with Greg Gregoriou)
  • Commodity Trading Strategies: examples of trading rules and signals from the CTA sector, in The Handbook of Commodity Investing, F. Fabozzi, R. Füss, D. Kaiser, (eds), pp. 391-405, John Wiley and Sons.
  • Hedge fund indices for European retail investors: an oxymoron, The Journal of Financial Transformation, vol. 23, pp. 145-153.

 

2007

  • Hedge fund indices for retail investors: UCITs eligible or not eligible?, Derivatives Uses, Trading and Regulation, 12, pp. 275-289.
  • Model Misspecification Analysis for Bond Options and Markovian Hedging Strategies, Review of Derivatives Research, vol. 9 (2), pp. 109-186 (co-authored with M. Bossy, R. Gibson, N. Pistre and D. Talay). 
  • Delegated Portfolio Management: Are Hedge Fund Fees Too High?, Journal of Derivatives and Hedge Funds, 13, pp. 220-232.
  • Managing illiquidity: a hedge fund perspective, in Stock Market Liquidity: Implications for Market Microstructure and Asset Pricing, F.S. Lhabitant, G. Gregoriou (eds), pp. 407-416.

 

2006

  • Absolute Returns in Wealth Management: Implementing Risk Controlled Strategies, The Journal of Financial Transformation, vol. 16, pp. 111-121 (co-authored with D. Mirlesse and M. Chardon).
  • Funds of Funds of Hedge Funds: Welcome to Diworsification, in Fund of Hedge Funds: Performance, Assessment, Diversification and Statistical Properties, G. Gregoriou (ed), pp. 135-144, Elsevier (co-authored with N. Laporte)
  • Gebührenstrukturen traditioneller und alternativer Asset-Management-Dienstleistungen, in Handbuch Alternative Investments, D. Kaiser (ed), Gabler Verlag, pp. 57-71.
  • Anwendungsmöglichkeiten der Extremwerttheorie bei Hedgefonds, in Handbuch Alternative Investments, D. Kaiser (ed), Gabler Verlag, pp. 485-504.
  • Model Risk and Financial Derivatives, in Advances in Risk and Portfolio Management, G. Gregoriou (ed), Elsevier, pp 191-211. 
  • Return Attribution for Portfolios of Hedge Funds, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp. 125-144.
  • Hedge fund indices and passive alpha: A buy-side perspective, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp. 31-48.
  • Hedge Funds: From Diversification to Diworsification, in Hedge Funds and Managed Futures: A Handbook for Institutional Investors, G. Gregoriou, D. Kaiser (eds), Risk Books, pp.323-342.
  • Les indices de hedge funds doivent-ils être éligibles ou non aux fonds grand public?, Les Cahiers Scientifiques de l’Autorité des Marchés Financiers, nº 2, September.

 

2005

  • Pricing traditional versus alternative asset management services, The Journal of Financial Transformation, vol. 13, pp.12-16
  • Hedge Funds Diversification, in Handbuch Hedge Funds, H. Dichtl, J.M. Kleeberg, Ch. Schlenger (eds), Uhlenbruch Verlag, Bad Soden, pp. 197-211. 
  • La gestion alternative: les vertus de la dissidence, La Revue d’Economie Financière, vol. 79, pp. 137-152

 

2004

  • Finding the Sweet Spot of Hedge Fund Diversification, The Journal of Financial Transformation, vol. 10, pp. 31-39 (co-authored with M. Learned).
  • Hedge funds: a look beyond the sample, in Hedge Funds: Strategies, Risk Assessment, and Returns, G. Gregoriou, V. Karavas, F. Rouah (eds), Beard Books.
  • Hedge fund diversification: not a free lunch, in Hedge Funds: Strategies, Risk Assessment, and Returns, G. Gregoriou, V. Karavas, F. Rouah (eds) , Beard Books.
  • The future is bright, the future is hedge funds, Thunderbird International Business Review, vol. 46 (1), pp. 1-11.
  • Evaluating hedge fund investments: the role of pure style indices, in Intelligent Hedge Fund Investing, Successfully Avoiding Pitfalls through Better Risk Evaluation, B. Schachter (ed), Risk Books.
  • Time Diversification: The Case of Managed Futures, in Commodity Trading Advisors: Risk, Performance Analysis, and Selection, , G. Gregoriou, V. Karavas and F. Rouah (eds), John Wiley & Sons.

 

2003

  • Financial Intermediation in the 21st Century, Thunderbird International Business Review, vol. 45 (5), pp. 637-642.
  • Hedge fund diversification: how much is enough?, The Journal of Alternative Investments, Winter, vol. 5 (3), pp. 23-49 (co-authored with M. Learned).
  • Investir dans les hedge funds: un regard quantitatif dans la boîte noire, Banque & Marchés, 63, pp. 40-47.
  • Doing business in Switzerland, Thunderbird International Business Review, vol. 45 (6), pp. 757-778
  • Doing business in Latvia, Thunderbird International Business Review, vol. 45 (1), pp. 51-70, (co-authored with S. Novikova).

 

2002

  • Anatomie einer long/short transaction, in Die hedge funds verstehen, Coninco (ed), pp. 223-226
  • Risk management with style, European Investment Review, vol. 1, pp. 65-71
  • Assessing the risk of hedge funds, in Financial Risk and Financial Risk Management, Th. Ferguson (ed), pp. 417-449.
  • Financial constraints and investment: the Swiss case, Swiss Journal of Economics and Statistics, vol. 138 (1), pp. 137-163 (co-authored with O.Tinguely).

 

2001

  • On Swiss timing and selectivity: in the quest of alpha, Finanzmarkt und Portfolio Management, vol. 15 (2), pp. 154-172.
  • Assessing market risk for hedge funds and hedge funds portfolios, the Journal of Risk Finance, Spring, pp. 1-17.
  • Hedge funds investing: A quantitative look inside the black box, the Journal of Financial Transformation, vol. 1(1), pp. 82-90, CAPCO.
  • Financial risk management: an introduction, Thunderbird International Business Review, vol. 43 (3), pp. 343-363, (co-authored with O. Tinguely).
  • Pricing and hedging discount bond options in the presence of model risk, European Finance Review, vol. 4(1), pp. 69-90 (co-authored with C. Martini and A. Reghai).
  • A New Light on European Business, Thunderbird International Business Review, 43 (6), pp.837-840.
  • A New Bible for Risk Management, Thunderbird International Business Review, 43 (5), pp. 699-704.
  • Not Just Another Financial Derivatives Book, Thunderbird International Business Review, vol. 43 (2), pp. 315-319.

 

2000

  • Volatility model risk measurement and strategies against worst case volatilities, Journal of the French Statistics Society, vol. 141 (1-2), pp. 73-86, (co-authored with Risklab).
  • Derivatives in portfolio management, Derivatives Quarterly, vol. 7 (2), pp. 37-46.
  • Doing business in Ukraine, Thunderbird International Business Review, vol. 42 (5), pp. 571-597, (co-authored with T. Novikova).
  • A comment on pricing dynamic investment fund protection, North-American Actuarial Journal, April.
  • Coping with model risk, in The professional’s handbook of financial risk management, M. Lore, L. Borodovsky (eds), Butterworth-Heinemann.

 

1999

  • The future of Swiss-style asset management: a look in the crystal ball, Thunderbird International Business Review, vol. 41(3), pp. 323-335.
  • On the performance of option strategies in Switzerland, Finanzmarkt und Portfolio Management, n° 3, pp. 318-338.
  • Interest rate model risk: an overview, Journal of Risk, vol. 1 (3), pp. 37-62, (co-authored with R.Gibson, D.Talay, N.Pistre).
  • Interest rate model risk, in Asset & Liability Management: a synthesis of new methodologies, RISK Books, London, 1999 (co-authored with R.Gibson, D.Talay, N.Pistre).
  • Time at risk: toward a banking Titanic, Thunderbird International Business Review, vol. 41 (2), pp. 133-152.
  • Getting Started in Security Analysis, Financial Counseling and Planning, vol. 10(2), 1999, pp. 81-82
  • Hot Sector Investing, Financial Counseling and Planning, vol. 10(2), 1999, pp. 79-80

 

1998

  • Portfolio management and model performance evaluation with contingent claims, Ph.D. thesis, University of Lausanne, 1998
  • Enhancing portfolio performance using options strategies: why beating the market is easy, in European Research Symposium Proceedings, Chicago Board of Trade (ed), pp. 149-213.
  • Portfolio management in the 20th century: an overview, Finanzmarkt und Portfolio Management, n° 4, pp. 497-509.

 

1995

  • Mutual fund performance, Finanzmarkt und Portfolio Management, n° 3, pp. 330-351.

 

Non-Scientific Publications

 

More than 400 non-technical articles in the following newspapers: Agefi, References, Le Temps, Neue Zurcher Zeitung, Banque & Finance, Futures, Echos Money, Denaris, Cash, Stocks, Giornale del Popolo, Gestion de Fortune, Banking Technology Solutions, Banco, Hedge Fund Review, Hedge Fund Alert, Bilan, Indices, and l’Hebdo.


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