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EDHEC-Risk Executive Education

Asset Allocation and Risk Management Seminar - Overview

23 January, 2013 - Singapore

An intensive course providing both an in-depth appreciation of the concepts and techniques that will shape the future of investment risk management, and the practical tools required to improve asset allocation and risk management processes, implement novel investment management approaches, and develop new products.


Having learned through the recent crises about the limited payoffs and significant risks of excessive reliance on asset selection models, investment managers and institutional investors are showing unprecedented interest in asset allocation and risk management approaches as sources of performance.

Meanwhile, recent advances in academic research have paved the way for the development of a new generation of welfare-improving financial engineering techniques aimed at designing optimal investment solutions that take into account the specific constraints and objectives of the various types of investors. These solutions rely on an innovative exploitation of the benefits of the three competing approaches to risk management, namely risk diversification, risk hedging, and risk insurance, each of which represents a so far largely unexplored source of added value for investment management.

It is against this backdrop that EDHEC-Risk Institute has structured its work on asset allocation and risk management. Now regarded as the premier international centre for research in these fields, it plays a noted role in furthering asset allocation concepts and techniques and systematically highlighting their practical uses to the investment management industry.

The Asset Allocation and Risk Management Seminar is an intensive one-day course that will provide participants with an in-depth appreciation of the concepts and techniques that will shape the future of investment risk 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.

The first part of the seminar focuses on bridging the gap between portfolio theory and portfolio construction to achieve efficient risk diversification. It discusses the limits of modern portfolio theory and presents solutions to address estimation issues. It includes a presentation of portfolio optimisation models that take non-normality risks and realistic preferences into account. It concludes with an application to enhanced index construction, looking at new forms of indices and benchmarks.

The second 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 addresses the presence of short-term risk budgets. It shows how long-term objectives and short-term constraints can be simultaneously taken into account in a comprehensive disciplined asset allocation framework. The seminar concludes with case studies of designs for long-only absolute return funds with maximum drawdown and trailing performance constraints, and for dynamic LDI strategies.

The seminar is presented in a highly accessible manner by instructors who combine academic expertise and industry experience. It strikes a balance between exploration of new models and a study of applications.

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.


Seminar Instructors:

  • Noël Amenc, PhD, Professor of Finance at EDHEC Business School, and Director of EDHEC-Risk Institute.

  • Felix Goltz, PhD, Head of Applied Research at EDHEC-Risk Institute, and Director of Research and Development at EDHEC-Risk Indices & Benchmarks.

  • Lionel Martellini, PhD, Professor of Finance at EDHEC Business School, and Scientific 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 enhanced index and optimal benchmark construction.

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


CFA Institute Continuing Education Credits:

As a participant in the CFA Institute Approved-Provider Programme, EDHEC-Risk Institute has determined that this programme qualifies for 7.5 credit hours. If you are a CFA Institute member, continuing education credit for your participation in this programme will be automatically recorded in your CE Diary. Please see www.cfainstitute.org/ceprogram for more information.


Asset Allocation and Risk Management Seminar: