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Rothschild & Cie "The Case for Inflation-Linked Corporate Bonds: Issuers' and Investors' Perspectives" Research Chair
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Alternative Investments Seminar, Singapore, 6-9 February, 2012
CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, San Francisco, 6-8 March, 2012
EDHEC-Risk Days Europe 2012, London, 27-29 March, 2012
Alternative Asset Allocation Seminar, New York, 11-13 April, 2012
Advances in Equity Portfolio Construction Seminar, London, 19-20 April, 2012
State-of-the-Art Commodities Investing Seminar, Singapore, 23-24 April, 2012
EDHEC-Risk Days Asia 2012, Singapore, 9-10 May, 2012
CFA Institute/EDHEC-Risk Institute Advances in Asset Allocation Seminar, New York, 12-14 June, 2012
Advanced Commodity Investment Seminar, London, 19-20 June, 2012
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 Asset Allocation & Derivative Instruments
This research programme focuses on the use of derivative instruments for portfolio management and on dynamic asset allocation methods in asset management and asset-liability management. Key themes include the optimal design of structured products, the role of structured products and derivatives in asset allocation, “passive” replication of “active” hedge fund indices through portfolios of derivatives, and
structured products and derivatives on underlying instruments that are illiquid or lack liquidity. This programme includes the “Structured Products and Derivatives Instruments” research chair, sponsored by the French Banking Federation. This programme also led EDHEC-Risk Institute to promote a new approach to measuring current volatility on the equity markets which no longer relies on the options market. This research examines the proportion of buy-and-hold investors' portfolios that should optimally be allocated to structured products. It is the first ever academic study to explore this topic. The findings, targeted to institutional investors, are relevant to all investors seeking to optimize the Risk-Return ratio of their portfolio.
Information about the FBF "Structured Products and Derivatives" Research chair.
Information about the Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" strategic research project.
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EDHEC Publications
Case Studies and Risk Management in Commodity Derivatives Trading
Stock Return Serial Dependence and Out-of-Sample Portfolio Performance What are the Risks of European ETFs?  |
