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Risk Management The Long and the Short of the Risk-Return Trade-Off 27 August, 2014 - Singapore
An evening presentation with Professor René Garcia

At a special presentation in Singapore on 27 August, 2014, René Garcia, Academic Director of the EDHEC-Risk Institute PhD in Finance and Dean of Graduate Studies and Professor of Finance at EDHEC Business School, will be presenting his recent empirical work on the risk-return trade-off.

The debate over the existence and magnitude of the risk-return trade-off is a staple of finance. Researchers have looked for it at high- and low-frequency and have run many models to relate volatility measures to future returns. The recent research by Professor Garcia and his co-authors has a high ambition in that it aims at finding a model that reproduces a large collection of stylised facts regarding the risk-return trade-off at short and long horizons. Working at the daily frequency with their long-run risk model with volatility risk and generalised disappointment aversion preferences, Professor Garcia and his co-authors reproduce the first and second moments of the equity premium and the risk-free rate, the first moment of the variance premium and realised volatility, the predictability of returns by the dividend ratio, the long-run predictability of cumulative returns by the past cumulative variance, the short-run predictability of returns by the variance premium, the daily autocorrelation patterns at many lags of the VIX and of the variance premium, as well as the daily cross-correlations of these two measures with leads and lags of daily returns. As such, this latest research constitutes strong empirical support for the model.

Programme
  • 5:45pm
    Registration

  • 6:00pm
    Presentation: The Long and the Short of the Risk-Return Trade-Off
    René Garcia, Dean of Graduate Studies and Professor of Finance, EDHEC Business School and Academic Director of the PhD in Finance programme, EDHEC-Risk Institute
    • Setting up the model, deriving closed-form solutions for stylised facts
    • Model calibration
    • Risk-return implications

  • 7:30pm
    Question & Answer Session

  • 8.00pm
    Reception
About the Speaker

Professor Garcia’s research interests lie in the fields of asset pricing, portfolio and risk management and financial econometrics. Prior to joining EDHEC Business School, he was a professor at Université de Montréal and the scientific director of the interuniversity research centre CIRANO. He has published in leading journals including Econometrica, Journal of Econometrics, Journal of Finance, Management Science, and Review of Financial Studies. He is a co-founder of the Journal of Financial Econometrics. He holds a PhD in Economics from Princeton University.
Event Details
  When   Between 27/08/2014 05:30 PM and 27/08/2014 09:00 PM
Where   EDHEC Risk Institute—Asia, One George Street, Seventh Floor, Singapore
 
Contact Details
  Name   Syh Jiuan Ng
E-mail   syhjiuan.ng@edhec-risk.com
Phone   +65 6438 0030
 
Attachments
  Programme