EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Investment Management Seminars New Frontiers in Retirement Investing Masterclass, Milan, 16 October, 2017 Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
EDHEC-Risk Executive Education

Advances in Asset Allocation Seminar - Course Contents

22-24 November, 2016 - London

    

Course Contents & Outline

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


Day One

Risk diversification: Efficiently harvesting risk premia across and within asset classes

Identifying paradigm shifts in the asset management industry, understanding when and why modern portfolio theory fails in the real world, making covariance matrix estimation manageable and improving parameter estimates, implementing factor investing and risk allocation, constructing well-diversified efficient benchmarks, and identifying alternative forms of indices and benchmarks.

Introduction

Paradigm shifts in the asset management industry

  • Alpha-beta separation and risk management
  • From asset management to risk and asset management

Constructing Efficient Asset Allocation Benchmarks

From Asset Allocation to Factor Allocation Decisions

  • From asset allocation to risk allocation
  • Measuring diversification
  • Managing diversification

Constructing Efficient Asset Class Benchmarks

  • Inefficient portfolios in efficient markets
  • From naive to scientific diversification
  • Smart beta benchmarks


Day Two

Risk hedging: Efficiently securing investors’ long-term liabilities and goals

Reviewing the latest advances in ALM and LDI; examining the inflation-hedging properties of traditional and alternative investments; designing new cost-efficient forms of inflation-hedging portfolios; hedging extreme inflation risk; incorporating the sponsor perspective into ALM; accounting for long-term objectives in portfolio construction and implementing new life cycle investing (LCI) strategies.

Towards Efficient Risk Hedging—From Asset Management to Asset-Liability Management

Implementing state-of-the-art liability-hedging

  • A brief history of ALM
  • Beyond LDI
  • Case studies of LDI strategies

Accounting for the presence of long-term objectives in portfolio construction

  • From short-term static portfolio selection to long-term intertemporal portfolio selection
  • Case study of LCI strategies


Day Three

Risk insurance: Efficiently generating upside potential with limited downside risk

Moving from static to dynamic beta management; optimising risk budgeting within the core−satellite architecture; using dynamic core−satellite investing to achieve dissymmetric management of the risk budget; blending active management and risk management in a unified framework; designing new asset management offerings and novel LDI solutions.

Towards Efficient Risk Insurance—From Asset-Liability Management to Risk and Asset-Liability Management

From static to dynamic beta management

  • From risk diversification to risk hedging

Dynamic core-satellite management and new approaches for improved investment management offerings

  • Using risk budgets as ingredients in the design of the optimal portfolio strategy

Case studies of new investment management offerings:

  • Designing improved forms of long-term investment strategies for institutional or individual investors
  • Designing dedicated ALM solutions for private wealth management
  • Designing dedicated retirement solutions


    

[View full seminar programme]


Advances in Asset Allocation Seminar: