EDHEC PhD in Finance - About the EDHEC Risk and Asset Management Research Centre
The Support of Europe’s Premier Centre for Applied Financial Research
Noël Amenc, PhD, Dean of Research, EDHEC Business School, Director, EDHEC Risk and Asset Management Research Centre
EDHEC has an ambitious international research policy to become an academic institution of reference for the industry in a small number of areas in which it has reached critical mass in terms of expertise and research results. Among these areas, asset and risk management have occupied privileged positions, leading to the creation in 2001 of the EDHEC Risk and Asset Management Research Centre. Now boasting a team of 38 permanent professors, engineers, and support staff, and 17 research associates, it has established itself as Europe’s largest and most influential centre for applied financial research.
Implementing the school’s ‘Research for Business’ philosophy, the EDHEC Risk and Asset Management Research Centre conducts world-class academic research and highlights its applications to the industry.
In the context of six industry-sponsored programmes and ten corporate-endowed chairs, the Centre’s team of 47 researchers carries out a wealth of projects focusing on asset allocation and risk management in the traditional and alternative investment universes. The scientific quality and operational relevance of these research activities are guaranteed by the Centre’s dual management structure—the Centre is jointly headed by a director and a research director—and by the oversight exercised by the leading experts serving on its international advisory board.
In keeping with its mission, the Centre systematically seeks to validate the academic quality of its research through publications in leading scholarly journals, implements a multifaceted communications policy to inform investors and asset managers on state-of-the-art concepts and techniques, and forms business partnerships to launch innovative products.
To optimise exchanges between the academic and business worlds, the EDHEC Risk and Asset Management Research Centre maintains a website devoted to asset management research for the industry, circulates a monthly newsletter to over 250,000 practitioners, conducts regular industry surveys and consultations, and organises annual conferences attended by over 2,000 institutional investors and asset managers from some 40 countries.
Organised by the executive education arm of the EDHEC Risk and Asset Management Research Centre, the PhD in Finance at EDHEC Business School will not only enjoy the full support of the Centre in terms of access to research resources and industry relations but also benefit from the remarkable creative atmosphere the Centre creates for faculty and course participants.
EDHEC Risk and Asset Management Research Centre: The Choice of Asset Allocation and Risk Management
 | One of the most significant advances in asset pricing theory over the last few decades has perhaps been to emphasise the intimate relationship that exists between optimal allocation issues and derivatives pricing problems. These 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 truly take into account the specific constraints and objectives of the various types of investors. Following and paralleling these developments in research, a profound paradigm shift is currently affecting the whole financial industry, with asset allocation and risk management being increasingly recognised as the key ingredients on which to focus in order to design improved investment solutions. |
Consequently, the asset management and investment banking industries are converging to better meet the needs of investors.
It is against this backdrop that the EDHEC Risk and Asset Management Research Centre has decided to structure all of its work around asset allocation and risk management, thereby putting the collective expertise of its permanent staff and research associates at the service of key needs of financial institutions and investors.
This strategic choice is applied to all of the centre’s research programmes, whether they involve putting forward new asset allocation techniques that span traditional and alternative investments; measuring the performance of funds while controlling for their underlying dynamic factor exposures; identifying biases in existing indices and designing superior instruments for benchmarked asset allocation; taking extreme risks into account in the allocation process; using derivatives to implement active portfolio strategies and replicate indices; or improving asset-liability management techniques.
EDHEC Risk and Asset Management Research Centre: Six Research Programmes and Nine Research Chairs
Research programmes and chairs involve close partnerships with their financial sponsors and a commitment from the EDHEC Risk and Asset Management Research Centre to publish related articles in international academic journals and to organise the dissemination of research results in the investment management profession through wide distribution of practitioner-oriented publications and presentation at industry conferences.
Six Research Programmes
- Asset Allocation and Alternative Diversification
The research carried out focuses on the benefits, risks, and integration methods of the alternative classes in asset allocation and makes significant contributions to the field of multi-style/multi-class portfolio construction. In particular, EDHEC research has advanced non-parametric risk estimation methods and extended the Bayesian approach to portfolio construction in the presence of preferences about higher moments of return distributions. The programme includes the "Financial Engineering and Global Alternative Portfolios for Institutional Investors" research chair, sponsored by Morgan Stanley Investment Management.
- Performance and Style Analysis
The scientific goal of the research is to adapt the portfolio performance and style analysis models and methods to tactical allocation. The results of the research carried out by EDHEC thereby allow portfolio alphas to be measured not only for stock picking but also for style timing.
- Indices and Benchmarking
This research programme has given rise to extensive research on the subject of indices and benchmarks in both the hedge fund universe and more traditional investment classes. Its main focus is on analysing the quality of indices and the criteria for choosing indices for institutional investors. EDHEC also proposes an original proprietary style index construction methodology for both the traditional and alternative universes. These indices are intended to be a response to the critiques relating to the lack of representativeness of the style indices that are available on the market. EDHEC was the first to launch composite hedge fund strategy indices as early as 2003.
- Best Execution and Operational Performance
This research programme deals with two topics: best execution and, more generally, the issue of operational risk. The goal of the research programme is to develop a complete framework for measuring transaction costs: EBEX ("Estimated Best Execution") but also to develop the existing framework for specific situations (constrained orders, listed derivatives, etc.). Research also focuses on risk-adjusted performance measurement of execution strategies, analysis of market impact and opportunity costs on listed derivatives order books, impact of explicit and implicit transaction costs on portfolio performances and the impact of market fragmentation resulting from MiFID on the quality of execution in European listed securities markets. This programme includes the "MiFID and Best Execution" research chair, sponsored by CACEIS, NYSE Euronext and SunGard.
- Asset Allocation and Derivative Instruments
This research programme focuses on the usefulness of employing derivative instruments in the area of portfolio construction, whether it involves implementing active portfolio allocation or replicating indices. "Passive" replication of "active" hedge fund indices through portfolios of derivative instruments is a key area in the research carried out by EDHEC. This programme includes the "Structured Products and Derivatives Instruments" research chair sponsored by the French Banking Federation.
- ALM and Asset Management
The ALM and Asset Management research programme concentrates on the application of recent research in the area of asset-liability management for pension plans and insurance companies. The research centre is working on the idea that improving asset management techniques and particularly strategic allocation techniques has a positive impact on the performance of Asset-Liability Management programmes. The programme includes research on the benefits of alternative investments, such as hedge funds, in long-term portfolio management. Particular attention is given to the institutional context of ALM and notably the integration of the impact of the IFRS standards and the Solvency II directive project. It also aims to develop an ALM approach addressing the particular needs, constraints and objectives of the private banking clientele.
This programme includes the "Regulation and Institutional Investment" research chair, sponsored by AXA Investment Managers, the "Asset Liability Management and Institutional Investment Management" research chair, sponsored by BNP Paribas Investment Partners, the "Private ALM" research chair, in partnership with ORTEC Finance, and the "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" research chair, in partnership with Deutsche Bank.
- Regulation and Institutional Investment
in partnership with AXA Investment Managers
The chair investigates the interaction between regulation and institutional investment management on a European scale and highlights the challenges of regulatory developments for institutional investment managers.
- Asset-Liability Management and Institutional Investment Management, in partnership with BNP Paribas Investment Partners
The chair examines advanced Asset-Liability Management topics such as dynamic allocation strategies; rational pricing of liability schemes; and formulation of an ALM model integrating the financial circumstances of pension plan sponsors.
- MiFID and Best Execution, in partnership with NYSE Euronext, SunGard, and CACEIS Investor Services
The chair looks at two crucial issues linked to the Markets in Financial Services Directive: building a complete framework for transaction cost analysis and analysing the consequences of market fragmentation.
- Structured Products and Derivative Instruments, sponsored by the French Banking Federation (FBF)
The chair investigates the optimal design of structured products in an ALM context and studies structured products and derivatives on relatively illiquid underlying instruments.
- Financial Engineering and Global Alternative Portfolios for Institutional Investors, sponsored by Morgan Stanley Investment Management
The chair adapts risk budgeting and risk management concepts and techniques to the specificities of alternative investments, both in the context of asset management and asset-liability management.
- Private Asset-Liability Management, in partnership with ORTEC Finance
The chair explores the application of the Asset-Liability Management methodology in private wealth management.
- Asset-Liability Management Techniques for Sovereign Wealth Fund Management, sponsored by Deutsche Bank
The chair analyses the optimal investment policy of a sovereign wealth fund in an asset-liability management framework while taking account of the risk factors affecting the state surplus dynamics and the implicit or explicit liabilities the fund is facing.
- Dynamic Allocation Models and new Forms of Target Funds, in partnership with Groupe UFG
The chair consists of academic research that will be devoted to the analysis and improvement of dynamic allocation models and new forms of target funds.
- Advanced Modelling Techniques for Alternative Investments, in partnership with Newedge
The chair involves a three-year project whereby academic research dedicated to hedge funds and to the analysis and modelling of their returns will be conducted.
- Core-Satellite and ETF Investment, sponsored by Crédit Agricole Structured Asset Management (CASAM)
The chair will involve three years of academic research into ETFs (exchange-traded funds) and the use of ETFs as part of a core-satellite approach to asset management. It will examine advanced forms of risk budgeting in a dynamic core-satellite approach and the use of these techniques by investors and asset managers.
EDHEC Risk and Asset Management Research Centre: Constant dialogue with the industry
To maximise exchanges between the academic and business worlds, the EDHEC Risk and Asset Management Research Centre conducts regular industry surveys and consultations and produces practitioner-oriented documents presenting its results, organises annual conferences for the benefit of institutional investors and asset managers, maintains a website devoted to asset management research for the industry, circulates a monthly newsletter to over 250,000 practitioners worldwide, and has established working relationships with key media groups. To help institutions take full advantage of the research advances it engineers, the Centre provides consulting and executive training services and enters into business partnerships and joint-ventures.
