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The success or failure of satisfying investors’ objectives does not critically depend upon the stand-alone performance of a particular fund nor that of a given asset class. It depends instead upon how well the performance of the investors’ portfolios dynamically interacts with the risk factors impacting the present value of investors’ goals as well as the present value of non-tradable assets and future income streams, if any.
A new EDHEC-Risk Institute publication entitled “Risk Allocation, Factor Investing and Smart Beta: Reconciling Innovations in Equity Portfolio Construction,” drawn from the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “ETF and Passive Investment Strategies,” shows that it is possible to reconcile the performance of smart beta with control over the risk of the investment.
A new paper entitled “Unlisted Infrastructure Debt Valuation and Performance Measurement”, drawn from the Natixis research chair at EDHEC-Risk Institute on the “Investment and Governance Characteristics of Infrastructure Debt Instruments,” proposes the first academically robust, yet operationally implementable valuation and risk measurement framework for illiquid infrastructure debt.
Nikolaos Tessaromatis, Professor of Finance at EDHEC Business School and Member of EDHEC-Risk Institute, recently participated in the 2014 European Financial Management Association Conference, organised in Rome on 25-26 June, 2014, where he presented his paper entitled, "Global Portfolio Management Under State Dependent Multiple Risk Premia", co-authored with Timotheos Angelidis.
On-line reviews are frequently used by consumers to make a judgment on products before purchase. The number of these reviews and the scope of their influence have increased lately due to the spread of social media such as Facebook and Twitter.
Latest research argues that the Australian superannuation industry could be further strengthened by the development of an industry-led reporting standard and certification scheme.
EDHEC Business School is proud to announce that Professor Monique Valcour has won the 2014 Rosabeth Moss Kanter Award for her contribution to the field of study related to work-family balance.
In a new study entitled “Towards Conditional Risk Parity – Improving Risk Budgeting Techniques in Changing Economic Environments”, drawn from the Lyxor research chair on “Risk Allocation Solutions,” EDHEC-Risk Institute develops a conditional approach to risk parity, which contrasts with standard unconditional risk parity portfolios based on historical volatility estimates.
In a new position paper, EDHEC-Risk Institute argues that benchmarking long-term infrastructure investments has become a sine qua non to match the supply and demand of long-term capital, improve asset allocation outcomes for investors, adapt prudential regulation and support economic development. It then details a roadmap towards infrastructure investment benchmarks and presents recent advances.
In a new study produced as part of the BNP Paribas Investment Partners research chair on “Asset-Liability Management and Institutional Investment Management,” EDHEC-Risk Institute attempts to assess the views of pension funds and sponsor companies as they relate to their reactions to dynamic liability-driven investing (LDI) strategies and their desire to integrate this approach into their processes.
In a new publication entitled “Improved Risk Reporting with Factor-Based Diversification Measures,” EDHEC-Risk Institute encourages institutional investors to look carefully at the effectiveness of their portfolio diversification. CACEIS supports the research chair on “New Frontiers in Risk Assessment and Performance Reporting” in which this research was produced.
EDHEC-Risk Institute has announced the results of the EDHEC European ETF Survey 2013, a comprehensive survey of 207 European ETF investors. The survey was conducted as part of the Amundi ETF & Indexing research chair at EDHEC-Risk Institute on “Core-Satellite and ETF Investment.”