The research carried out focuses on the benefits, risks and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC-Risk research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions.
The programme has in the past included the “Advanced Modelling for Alternative Investments” research chair, in partnership with Société Générale Prime Services (Newedge), the “Investment and Governance Characteristics of Infrastructure Debt Investments” research chair, in partnership with Natixis, and the “Infrastructure Equity Investment Management and Benchmarking” research chair, in partnership with Meridiam Infrastructure and Campbell Lutyens.
Within the context of strategic research projects, this programme has also benefitted from the support of CME Group for research on “Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation”, from the support of Aberdeen Property Investors on the EDHEC European Real Estate Investment and Risk Management Survey, and from the support of Morgan Stanley Investment Management on “Financial Engineering and Global Alternative Portfolios for Institutional Investors”.
As part of this research programme, EDHEC-Risk Institute maintains a series of hedge fund indices as well as a real estate index for the French commercial property market produced in cooperation with IEIF.
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