EDHEC-Risk Concept Industry Analysis Featured Analysis Latest EDHEC-Risk Surveys Features Interviews Indexes and Benchmarking FTSE EDHEC-Risk Efficient Index Series FTSE EDHEC-Risk ERAFP SRI Index EDHEC-Risk Alternative Indexes EDHEC IEIF Quarterly Commercial Property Index (France) Hedge Fund Index Research Equity Index Research Amundi "ETF, Indexing and Smart Beta Investment Strategies" Research Chair Rothschild & Cie "Active Allocation to Smart Factor Indices" Research Chair Index Regulation and Transparency ERI Scientific Beta Performance and Risk Reporting Hedge Fund Performance Performance Measurement for Traditional Investment CACEIS "New Frontiers in Risk Assessment and Performance Reporting" Research Chair Asset Allocation and Alternative Diversification Real Assets Meridiam Infrastructure/Campbell Lutyens "Infrastructure Equity Investment Management and Benchmarking" Research Chair Natixis "Investment and Governance Characteristics of Infrastructure Debt Instruments" Research Chair Société Générale Prime Services (Newedge) "Advanced Modelling for Alternative Investments" Research Chair CME Group "Exploring the Commodity Futures Risk Premium: Implications for Asset Allocation and Regulation" Strategic Research Project Asset Allocation and Derivative Instruments Volatility Research Eurex "The Benefits of Volatility Derivatives in Equity Portfolio Management" Strategic Research Project SGCIB "Structured Investment Strategies" Research ALM and Asset Allocation Solutions ALM and Private Wealth Management AXA Investment Managers "Regulation and Institutional Investment" Research Chair BNP Paribas Investment Partners "ALM and Institutional Investment Management" Research Chair Deutsche Bank "Asset-Liability Management Techniques for Sovereign Wealth Fund Management" Research Chair Lyxor "Risk Allocation Solutions" Research Chair Merrill Lynch Wealth Management "Risk Allocation Framework for Goal-Driven Investing Strategies" Research Chair Ontario Teachers' Pension Plan "Advanced Investment Solutions for Liability Hedging for Inflation Risk" Research Chair Non-Financial Risks, Regulation and Innovations Risk and Regulation in the European Fund Management Industry Index Regulation and Transparency Best Execution: MiFID and TCA Mitigating Hedge Funds Operational Risks FBF "Innovations and Regulations in Investment Banking" Research Chair EDHEC-Risk Publications All EDHEC-Risk Publications EDHEC-Risk Position Papers IPE EDHEC-Risk Institute Research Insights AsianInvestor EDHEC-Risk Institute Research Insights P&I EDHEC-Risk Institute Research for Institutional Money Management Books EDHEC-Risk Newsletter Events Events organised by EDHEC-Risk Institute EDHEC-Risk Smart Beta Day Amsterdam 2017, Amsterdam, 21 November, 2017 EDHEC-Risk Smart Beta Day North America 2017, New York, 6 December, 2017 Events involving EDHEC-Risk Institute's participation EDHEC-Risk Institute Presentation Research Programmes Research Chairs and Strategic and Private Research Projects Partnership International Advisory Board Team EDHEC-Risk News EDHEC-Risk Newsletter EDHEC-Risk Press Releases EDHEC-Risk in the Press Careers EDHEC Risk Institute-Asia EDHEC Business School EDHEC-Risk Executive Education EDHEC-Risk Advances in Asset Allocation Blended Learning Programme 2017-2018 Yale School of Management - EDHEC-Risk Institute Certificate in Risk and Investment Management Yale SOM-EDHEC-Risk Harvesting Risk Premia in Alternative Asset Classes and Investment Strategies Seminar, New Haven, 5-7 February, 2018 Investment Management Seminars Contact EDHEC-Risk Executive Education Contact Us ERI Scientific Beta EDHEC PhD in Finance
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.

  • 5:45pm

  • 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
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