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.