Yale SOM – EDHEC-Risk Harvesting Risk Premia in Alternative Asset Clas...
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 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
04-03-2019
Paper co-authored by Lionel Martellini and Vincent Milhau wins the 20th Annual...
The paper, entitled "Proverbial Baskets Are Uncorrelated Risk Factors! A Factor-Based Framework for Measuring and Managing Diversification in Multi-Asset Investment Solutions", which was co-authored by Lionel Martellini, Professor of Finance, EDHEC Business School and Director of EDHEC-Risk Institute, together with Vincent Milhau, Research Director at EDHEC-Risk Institute, was originally...
27-02-2019
EDHEC Professor Lionel Martellini...
In February 2019, The Curve Triangle & Rectangle Institute (CTRI) invited Lionel Martellini, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute to join its...
13-02-2019
How will FinTech change the future of...
EDHEC-Risk Institute, KAIST, Princeton and Tsinghua Universities have joined forces to host an international series of conferences on financial technologies as a forum to facilitate discussion among...
Events
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Papers published
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Participants trained
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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.
