EDHEC-Risk Executive Education

Advances in Asset Allocation Seminar - Overview

22-24 November, 2016 - London

EDHEC-Risk Institute has introduced seminars that take stock of the latest industry trends and research advances and clarify the distinction between true innovation and mere marketing claims.

The Advances in Asset Allocation seminar is an intensive three-day course that will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment management. The seminar will also equip them with practical tools to improve asset allocation and risk management processes, implement novel investment management approaches, and develop new products and solutions.

The first part of the seminar focuses on bridging the gap between portfolio theory and portfolio construction and outlines a coherent framework, which can be used to frame optimal decisions for the design of a well-diversified performance portfolio through an efficient harvesting of risk premia within and across asset classes.

The second part of the seminar shifts from static risk diversification to dynamic risk hedging and focuses on the design of optimal allocation strategies for investors endowed with long-term liabilities or consumption goals. It presents the state of the art in asset-liability management (ALM) with a specific emphasis on the liability-driven investment (LDI) paradigm in institutional money management and its counterpart in private wealth management and retail investment management, the life-cycle investment (LCI) paradigm.

The final part of the seminar shows how to account for regulatory, accounting, and other short-term constraints, which requires implementing risk insurance, in addition to risk diversification and risk hedging. It introduces the risk-controlled investing paradigm, which complements the LDI/LCI paradigm in the presence of short-term risk budgets.

Each section of the seminar includes integrative case studies providing practical applications in both the institutional and individual money management contexts, drawing examples from asset-only and asset-liability management perspectives, including the design of improved equity and bond benchmarks, the design of improved forms of target date funds and retirement solutions, the transposition of ALM techniques to private wealth management as well as the use of dynamic LDI strategies for corporate and state pension funds.

The seminar is presented in a highly accessible manner by Professor Lionel Martellini, who combines academic expertise and industry experience. lt strikes a balance between exploration of new models and a study of applications.

Seminar Instructor:

Lionel Martellini, PhD, Professor of Finance at EDHEC Business School and Director of EDHEC-Risk Institute.

Key Learning Benefits:

The seminar will enable participants to:

  • Bridge the gap between modern portfolio theory and practical portfolio construction to build stable models.

  • Understand optimal benchmark construction and its application to smart index construction.

  • Understand state-of-the-art ALM and LDI.

  • Use dynamic beta management, risk budgeting, and dynamic core-satellite allocation to refine investment management and risk management processes and design new investment solutions.

Who Should Attend:

The programme is intended for investment management professionals who advise on or participate in the design and implementation of asset allocation policies and portfolio models and for sell-side practitioners who develop new asset management and ALM solutions for investors.

It should be of particular interest to chief executive officers/managing directors; chief investment officers/directors of investments; heads of asset allocation/investment strategy/ALM; heads of investment solutions/structuring/financial services; portfolio managers; risk managers; senior analysts and investment officers; senior investment advisers/consultants; and senior research officers from asset management companies, consultancies, insurance and reinsurance companies, investment banks, non-financial companies, pension funds, endowments and foundations, private banks, regulatory authorities, research firms and sovereign investment vehicles.

Advances in Asset Allocation Seminar:



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