Yale SOM – EDHEC-Risk Harvesting Risk Premia in Equity and Bond Market...
Yale Campus New Haven
Risk Management as the Key Source of Added Value in Investment Management
Investment management in the new era can be defined as the art and science of efficiently spending institutional or individual investors’ dollar and risk budgets to help them achieve their meaningful wealth-/income-/consumption- or liability-driven objectives, subject to regulatory constraints. Addressing this challenge involves institutional and individual asset owners (or their investment managers) efficiently using a holistic risk management framework known as liability-driven investing or goal-driven investing. Whatever the context, meaningful investment solutions are based on three fundamental sources of added value: (1) the use of an efficient risky performance-seeking portfolio (PSP); (2) the use of an efficient safe liability-hedging or goal-hedging portfolio; and (3) the use of an efficient allocation strategy for efficient risky and safe building block portfolios.
Diversification
The risky portfolio should be efficient at harvesting risk premia across and within asset classes: It’s all about diversification!
Hedging
The safe portfolio should be efficient at matching risk factor exposures on the asset and liability sides: It’s all about hedging!
Insurance
The allocation to the efficient risky and safe portfolios should secure investors’ essential goals while generating a high probability of achieving their aspirational goals: It’s all about insurance!
Academic Roots
EDHEC Bond Risk Premium
Bayesian Nets for Stress Testing
EDHEC Risk Expertise
From Investment Products to Investment Solutions
Perspectives on Retirement Investing
Practitioner Reach
Ostrum Bond Portfolio Optimization
EDHEC-PRINCETON Goal-Based Investing Indices
News
13-09-2018
New session announced for the seminar on Harvesting risk premia in equity and bond...
Get a cutting-edge understanding of the foundations of factor investing and portfolio choice
Learning in the seminar involves a mix of interactive lectures and case study discussions. There will be ample opportunity for participants to engage with the instructor with questions about factor investing.
Investment portfolios are based on the idea that risk must be taken in order to increase expected...
10-09-2018
Riccardo Rebonato speaking on smart...
Riccardo Rebonato, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, will be speaking on fixed-income smart beta at the 14th Quantitative Finance Conference in Nice on 27...
19-07-2018
Bond Portfolio Optimization in the...
We are pleased to enclose an EDHEC-Risk Institute research article published in the Summer 2018 issue of the Journal of Fixed Income entitled "Bond Portfolio Optimization in the Presence of Duration...
Events
Our stats
55 000
Citations in worldwide trade publications
520
Papers published
2 300
Participants trained
150 000
Newsletter readers
About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 20 business schools. Fully international and directly connected to the business world, EDHEC is a school for business, rather than a business school, where excellence in teaching and research focuses on innovation to stimulate entrepreneurship and creativity. For business from birth and dedicated to business, EDHEC makes entrepreneurs for life, able to remodel or create successful businesses wherever they work.
EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching philosophy, inspired by its award-winning research activities, focuses on “learning by doing”.
