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Risk Management - January 27, 2015

EDHEC-Risk Institute to present masterclass on risk allocation in New York

EDHEC-Risk Institute will be holding a special masterclass on risk allocation for policy and equity portfolios entitled "New Frontiers in Risk Allocation and Factor Investing" on April 22, 2015 at The Princeton Club in New York.

Recent research has highlighted that risk and allocation decisions could be best expressed in terms of rewarded risk factors, as opposed to standard asset class decompositions, which can be somewhat arbitrary and might lead to highly concentrated risk exposures hidden within a seemingly well-diversified portfolio. More generally, given that security and asset class returns can be explained by their exposure to pervasive systematic risk factors, looking through the asset class decomposition level to focus on the underlying factor decomposition level appears to be a perfectly legitimate approach for harvesting risk premia. While working at the level of underlying risk factors that impact or explain the returns on all asset classes is an intuitively meaningful approach, the practical implications of this paradigm shift for the organization of the asset allocation process still remain largely unexplored. In particular, very little is known about what underlying factors should be considered within the factor-mix, or about how much should optimally be allocated to replicating portfolios associated to such factors.

The aim of this masterclass is to identify factors and associated factor replicating portfolios that can be traded to harvest the corresponding premia and introduce a formal framework for efficiently allocating to these rewarded sources of risk. This exclusive event will be presented in a highly accessible manner by an instructor who combines academic expertise and industry experience.

For more information on the seminar, please visit the dedicated seminar webpage.

To register, please visit: https://www.regonline.co.uk/erimasterclass2015NY.