Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" research chair

The Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" Research Chair is under the scientific responsibility of Lionel Martellini, Scientific Director of the EDHEC Risk and Asset Management Research Centre.

The objective of the chair is to research new forms of welfare-improving financial innovation through the engineering of alternative solutions for institutional portfolios. The study will look at whether alternative investment strategies, such as hedge funds, commodities, real estate and private equity, can be useful in both the core and the satellite components of a performance-seeking portfolio. It will also look at where these strategies can potentially bring beta and alpha benefits respectively, given that their impact on relative and absolute risk budgets must be assessed properly.

The initial research project relates to the design of dedicated financial engineering techniques aimed at allowing for sound management of risk budgets when alternative investment strategies are introduced into institutional investors’ portfolios.

The research chair is a three-year research programme piloted by a joint MSIM/EDHEC committee.

[Press release announcing the launch of the research chair: 20/02/08]

 


Research output:

 

 

  1. Alternative Investments for Institutional Investors: Risk Budgeting Techniques in Asset Management and Asset-Liability Management (January 2009):