Multi-Asset
For more than 50 years, the investment industry has mostly focused on security selection as the main source of added value. This focus has somewhat distracted the industry from another key source of added value: asset allocation decisions. In the face of recent crises, and given the intrinsic difficulty of delivering added value through security selection decisions alone, the relevance of the old paradigm has been questioned with heightened intensity, and a new paradigm is starting to emerge where asset allocation decisions appear as the main source of added value from the investment industry.
The ambition of this research programme is to develop new academic insights that can be used to design improved forms of asset allocation solutions. The core challenge in the design of such asset allocation solutions is essentially to find optimal ways of spending dollar and risk budgets that investors are reluctant to set, with a focus on allowing the greatest possible access to performance potential while respecting these budgets.
This programme has benefited from the support of Lyxor Asset Management for research on dynamic forms of risk parity strategies, as well as the efficient harvesting of alternative risk premia across asset classes.
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.
