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The aim of this textbook is to provide readers with an in-depth understanding of what an investment process would look like if it was to be grounded on intuitive and coherent first principles, and how this process would compare to state-of-the-art industry practices, which also have to account for the presence of practical implementation challenges. Most of the methodologies and approaches described in this book are already usefully implemented in various parts of the investment industry in a segmented way, and the main focus of this book is to show how using all these ingredients within a comprehensive investor-centric framework would lead to a substantial improvement in how investment expertise can help deal with some of the main investment problems faced by investors.

The textbook is currently under completion with an expected publication date in 2020.

Broadly speaking, investment management can be defined as the art and science of efficiently spending investors’ dollar and risk budgets so as to help them solve some of the important problems that they face. Asset owners’ problems typically involve securing a number of essential goals, defined as affordable (given their dollar budget, that is given their current wealth and future contributions) minimum levels of (replacement) income/consumption/liabilities, while generating a high probability to achieve their aspirational goals, defined as non-affordable target levels of income/consumption/liabilities, and without exceeding their risk budgets (such as max drawdown levels).


Meeting this challenge involves an efficient use by institutional/individual asset owners (or by investment managers servicing them) of the three form of risk management within a comprehensive disciplined investment framework known as liability-driven investing (LDI) in institutional money management or goal-based investing (GBI) in individual money management:


1. Diversification, which allows investors to construct for themselves well-rewarded performance-seeking portfolios, that is portfolios enjoying an efficient (meaning without excessive amount of unrewarded risks) harvesting of risk premia across and within asset classes.

2. Hedging, which allows investors to construct for themselves truly safe goal/liability hedging portfolios, through cash-flow or factor exposure matching.

3. Insurance, which allows investors to (dynamically) allocate to the risky performance portfolio more than the surplus available after securing all essential goals, thanks to a commitment to reducing this risk-taking when/if the margin for error disappears.





Not available.


The EDHEC-Risk Investment Solutions (Serious) Game is designed to facilitate engagement with graduate students or investment professionals enrolled on one of EDHEC-Risk’s various campus-based, blended or fully-digital educational programmes.


The game is designed as a series of steps or stages that take the participants through the whole process of designing and implementing a meaningful investment solution, including:

  • Defining the Holy Grail (investors’ meaningful goals);
  • Assessing the distance to cover (investors’ balance sheet and off-balance sheet information);
  • Understanding the choice of weapons (the safe goal-hedging portfolio as the “shield”, and the risky performance-seeking portfolio as the “sword”);
  • Efficiently using the shield and the sword on the path to the Holy Grail (designing a suitable dynamic allocation strategy with the GHP/shield and PSP/sword);
  • Measuring progress towards the Holy Grail (reporting probabilities of reaching goals); and
  • Reaching the Holy Grail and going beyond (securing goals and re-assessing the asset owner’s situation).


This tool is available since 2018 and is only accessible to registered attendees of our executive education programmes.


Not available.