Factor Investing in Asset–Liability Management
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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
ESG Factors and Sustainable Investment Solutionst
"Flexicure" Retirement Solutions - A part of the Answer to the Pension Crisis?
Practitioner Reach
Ostrum Bond Portfolio Optimization
Results of the 12th EDHEC European ETF Smart Beta Survey
News
16-09-2020
Jaap van Dam from PGGM appointed new chairman of EDHEC-Risk Institute’s international...
EDHEC-Risk Institute is pleased to announce the appointment of Jaap van Dam as chairman of its international advisory board.
He is the Principal Director of Investment Strategy at PGGM in the Netherlands. PGGM is a leading Dutch pension administrator with roots in the healthcare and social work sectors. It manages about €268 billion ($329 billion) in pension assets for more than 2.5 million Dutch...
11-09-2020
Maximizing an equity portfolio excess...
We are pleased to enclose an EDHEC-Risk Institute research article published in the Volume 20, Issue 7 of Quantitative Finance.
In this article "Maximizing an equity portfolio excess growth...
27-07-2020
New double degree in Sustainable Finance
Facilitating the transition towards a low-carbon economy requires a wide range of new financial instruments and innovations. This will have profound implications for markets, companies,...
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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.
