Francois-Serge Lhabitant

Publications in Refereed Journals/Books

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

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 20^th 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.