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Asset Allocation and Alternative Diversification
Asset Allocation and Alternative Diversification
The research carried out focuses on establishing the benefits and risks of integrating the alternative class in asset allocation, and designing integration methods; and developing derivative-based techniques for active portfolio management and analysing the benefits of and the methods for incorporating structured products into strategic allocation.
EDHEC EUROPEAN ALTERNATIVE DIVERSIFICATION PRACTICES SURVEY
The findings of a major survey on the diversification practices of European institutional investors conducted by EDHEC.
HEDGE FUND STYLE ALLOCATION
A focus on two papers: The first strongly suggests that significant value can be added in a hedge fund portfolio through the systematic implementation of active style allocation decisions, both at the strategic and tactical levels. While this fact has long been recognized by market participants, the lack of reliable asset allocation tools has not facilitated the implementation of effective top-down approaches to investment in hedge funds. In this study, we argue that such techniques are actually already available and we show that a suitable extension to the Black-Litterman model can be used to implement active views on hedge fund style performance in a meaningful and consistent approach that avoids the pitfalls of standard optimization procedures. ii) The second paper attempts to evaluate the out-of-sample performance of an improved estimator of the covariance structure of hedge fund index returns, focusing on its use for optimal portfolio selection.
EDHEC FUNDS OF HEDGE FUNDS REPORTING SURVEY
The findings of the international consultation process for the implementation of a new framework for Funds of Hedge Funds reporting launched by EDHEC. The consultation process was based on a series of recommendations proposed by EDHEC with regard to the academic state-of-the-art on risk measurement in the alternative universe.
THE AMARANTH CASE
This research examines how Amaranth could have suffered such massive losses and draws lessons from this debacle for investors, funds of fund & energy fund risk managers, multi-strategy hedge fund managers, policy makers, and the alternative investment industry as a whole.
THE HEDGE FUND DEBATE
On several occasions, EDHEC has taken a stance on issues concerning the systemic risks of hedge funds, the problems posed by hedge funds to the stability of financial markets and hedge fund risks in general. EDHEC's related position papers are listed here.
CORE-SATELLITE INVESTING
In March 2004, within the context of a study dedicated to the use of EuroMTS trackers in institutional investment, the EDHEC Risk and Asset Management Research Centre began to advocate the core-satellite approach to investment management, by predicting that it would revolutionise asset management, not only in France but also in Europe. This section presents EDHEC's research in this area.
THE MORGAN STANLEY INVESTMENT MANAGEMENT "FINANCIAL ENGINEERING AND GLOBAL ALTERNATIVE PORTFOLIOS FOR INSTITUTIONAL INVESTORS" RESEARCH CHAIR
Information about the Morgan Stanley Investment Management "Financial Engineering and Global Alternative Portfolios for Institutional Investors" research chair.
THE NEWEDGE "ADVANCED MODELLING FOR ALTERNATIVE INVESTMENTS" RESEARCH CHAIR
Information about the Newedge "Advance Modelling for Alternative Investments" research chair.