Yale SOM – EDHEC-Risk Harvesting Risk Premia in Equity and Bond Market...
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 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
16-10-2018
Lionel Martellini speaking on the application of goal-based investing to retirement...
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 TrackInsight European Summit in Paris on 7 November, 2018.
The TrackInsight European Summit is an independent, private event organised by FinTech TrackInsight to foster dialogue with clients, partners &...
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...
01-10-2018
EDHEC-Risk and Swiss Life AM France set...
Swiss Life Asset Managers France and EDHEC-Risk Institute have announced the creation of a three-year research chair at EDHEC-Risk Institute entitled “Real Estate in Modern Investment Solutions.”...
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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”.
