Yale SOM – EDHEC-Risk Harvesting Risk Premia in Alternative Asset Clas...
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| EDHEC-Princeton Goal-Based Investing Indices Retirement Income September 2018 Returns (%) |
||
|---|---|---|
| Zone, Retirement year |
Not adjusted |
Cost-of-Living-adjusted |
| US, 2023 |
-0.47
|
-0.52
|
| US, 2028 |
-0.18
|
-0.21
|
| US, 2033 |
0.42
|
0.40
|
| US, 2038 |
0.96
|
0.96
|
| US, 2043 |
0.96
|
0.96
|
| US, 2048 |
0.96
|
0.96
|
| US, 2053 |
0.96
|
0.96
|
| US, 2058 |
0.96
|
0.96
|
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 goal-driven objectives (for individuals) or liability-driven objectives (for institutions), subject to a number of regulatory constraints or otherwise. Whatever the context, meaningful investment solutions are in fact invariably based on three fundamental sources of added value, each reflecting one particular form of risk management technique : (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
12-11-2018
Nikolaos Tessaromatis speaking on factor investing at the 8th Wealth Management Forum
Nikos Tessaromatis, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, will be speaking on factor investing at the 18th Wealth Management Forum in Athens on 29 November, 2018.
The conference will provide a comprehensive networking platform for businessmen, wealthy investors, professional investors & advisors and meanwhile it will deliver knowledge updates from...
12-11-2018
A Reinterpretation of the Optimal...
We are pleased to enclose an EDHEC-Risk Institute research article published in the September 2018 issue of Management Science entitled "A Reinterpretation of the Optimal Demand for Risky Assets in...
16-10-2018
Lionel Martellini speaking on the...
Lionel Martellini, Professor of Finance, EDHEC Business School and Director, EDHEC-Risk Institute, will be speaking on the application of goal-based investing to retirement strategies at the...
Events
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About EDHEC
Operating from campuses in Lille, Nice, Paris, London and Singapore, EDHEC is one of the world’s top 15 business schools. Fully international and directly connected to the business world, EDHEC commands a strong reputation for research excellence and the ability to train entrepreneurs and managers capable of breaking new ground. EDHEC functions as a genuine laboratory of ideas and produces innovative solutions valued by businesses. The School’s teaching is inspired by its research work and a focus on “learning by doing”, all with the aim of equipping people with the skills to succeed in business.
