Yale SOM – EDHEC-Risk Harvesting Risk Premia in Alternative Asset Clas...
Yale Campus New Haven
| 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
A Reinterpretation of the Optimal Demand for Risky Assets in Fund Separation Theorems...
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 Fund Separation Theorems". In this article, authors Romain Deguest, Lionel Martellini and Vincent Milhau introduce new expressions for the optimal portfolio in a multi-period model, and they propose a...
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...
08-10-2018
Laurent Calvet discussed household...
Laurent Calvet, Professor of Finance, EDHEC Business School and Member, EDHEC-Risk Institute, presented his latest research “From Saving Comes Having? Disentangling the Impact of Saving on Wealth...
Events
30 Jan
19 Mar
Advances in Asset Allocation Seminar - Blended Learning Programme
EDHEC Campus London
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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”.
