AFG and EDHEC-Risk Institute digital outreach initiative:

Financial Risk Management as a Source of Performance

 

 

The French Asset Management Association (Association Française de la Gestion Financière, AFG) and EDHEC-Risk Institute have announced the creation of a new digital outreach initiative entitled “Financial Risk Management as a Source of Performance.”

This partnership will aim to emphasise the importance of financial risk management as a main source of added-value in asset management, and to showcase the expertise of French asset managers in this area through a series of digital outreach projects.

 

More specifically, the Financial Risk Management as a Source of Performance digital outreach project is designed to provide an international forum for the presentation of technical and conceptual challenges involved in the design of innovative forms of investment solutions, building upon expertise developed within the French investment management industry. The general idea is to combine academic presentations, to set the stage at the conceptual and technical levels, and presentations made by asset managers, who will emphasise how the concepts translate in actual investment implementation.

 

The academic and professional presentations will first focus on diversification, which represents one of the three main forms of financial risk management alongside hedging and insurance. In this first stage, the presentations will cover the following three main subjects:

 

  • Harvesting risk premia within asset classes – Smart beta in equity
  • Harvesting risk premia within asset classes – Smart beta in fixed-income
  • Harvesting risk premia across asset classes – Multi-asset products and solutions

 

Press release announcing the creation of the research chair (September 2017)

Please share your views on the research topics presented below by adding a twitter message to the existing discussions, or by sending an email to research@edhec-risk.com .

 

Risk Premia in Equity Markets

While cap-weighted indices are often used as default options for equity benchmark, they suffer from two main shortcomings, namely poor diversification of unrewarded risks and poor exposure to rewarded risk factors. 

For further reading on this topic, please visit our dedicated publications page.

 

 

Efficient Harvesting of Risk Premia in Equity Markets

This video is focusing on the limits and benefits of alternative weighting schemes, followed by the construction of "smart" or efficient factor benchmarks.

For further reading on this topic, please visit our dedicated publications page.

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Bond Portfolio Optimization

Lionel Martellini, Director of EDHEC-Risk starts with the key challenges involved in bond portfolio optimization and Nathalie Pistre, Head of Quantitative Research, Support and Development at Ostrum Asset Management follows up with discussion on how to introduce active views in the context of bond portfolio optimization.

For further reading on this topic, please visit our dedicated publications page.

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